Andrew
e6ec577a04
In order to test the GDAX FillModel and FeeModel that respects both lot size, the fractionalQuantityRegressionModel was changed to use the GDAX Brokerage. This drastically changed the regression statistics for the regression test. These statistics have been updated
78 lines
2.8 KiB
C#
78 lines
2.8 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using System;
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using QuantConnect.Brokerages;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm for fractional forex pair
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/// </summary>
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public class FractionalQuantityRegressionAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2015, 11, 12);
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SetEndDate(2016, 04, 01);
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//Set the cash for the strategy:
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SetCash(100000);
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SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
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SetTimeZone(NodaTime.DateTimeZone.Utc);
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var security = AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, false, 3.3m, true);
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var con = new QuoteBarConsolidator(1);
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SubscriptionManager.AddConsolidator("BTCUSD", con);
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con.DataConsolidated += DataConsolidated;
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SetBenchmark(security.Symbol);
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}
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private void DataConsolidated(object sender, QuoteBar e)
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{
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var quantity = Math.Truncate((Portfolio.Cash + Portfolio.TotalFees) / Math.Abs(e.Value + 1));
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if (!Portfolio.Invested)
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{
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Order("BTCUSD", quantity);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity)
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{
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Order("BTCUSD", 0.1);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity + 0.1m)
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{
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Order("BTCUSD", 0.01);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity + 0.11m)
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{
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Order("BTCUSD", -0.02);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity + 0.09m)
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{
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//should fail
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Order("BTCUSD", 0.001);
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SetHoldings("BTCUSD", -2.0m);
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SetHoldings("BTCUSD", 2.0m);
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Quit();
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}
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}
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}
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} |