Jhonathan Abreu
c0801afdbe
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* Fix using custom data with Bybit brokerage model * Add unit tests
78 lines
3.0 KiB
Python
78 lines
3.0 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected with custom data types
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### </summary>
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class BybitCustomDataCryptoRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2022, 12, 13)
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self.SetEndDate(2022, 12, 13)
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self.SetAccountCurrency("USDT")
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self.SetCash(100000)
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self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Cash)
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symbol = self.AddCrypto("BTCUSDT").Symbol
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self.btcUsdt = self.AddData(CustomCryptoData, symbol, Resolution.Minute).Symbol;
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# create two moving averages
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self.fast = self.EMA(self.btcUsdt, 30, Resolution.Minute)
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self.slow = self.EMA(self.btcUsdt, 60, Resolution.Minute)
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def OnData(self, data):
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if not self.slow.IsReady:
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return
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if self.fast.Current.Value > self.slow.Current.Value:
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if self.Transactions.OrdersCount == 0:
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self.Buy(self.btcUsdt, 1)
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else:
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if self.Transactions.OrdersCount == 1:
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self.Liquidate(self.btcUsdt)
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def OnOrderEvent(self, orderEvent):
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self.Debug(f"{self.Time} {orderEvent}");
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class CustomCryptoData(PythonData):
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def GetSource(self, config, date, isLiveMode):
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tickTypeString = Extensions.TickTypeToLower(config.TickType)
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formattedDate = date.strftime("%Y%m%d")
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source = os.path.join(Globals.DataFolder, "crypto", "bybit", "minute",
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config.Symbol.Value.lower(), f"{formattedDate}_{tickTypeString}.zip")
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return SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv)
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def Reader(self, config, line, date, isLiveMode):
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csv = line.split(',')
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data = CustomCryptoData()
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data.Symbol = config.Symbol
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data_datetime = datetime.combine(date.date(), time()) + timedelta(milliseconds=int(csv[0]))
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data.Time = Extensions.ConvertTo(data_datetime, config.DataTimeZone, config.ExchangeTimeZone)
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data.EndTime = data.Time + timedelta(minutes=1)
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data["Open"] = float(csv[1])
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data["High"] = float(csv[2])
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data["Low"] = float(csv[3])
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data["Close"] = float(csv[4])
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data["Volume"] = float(csv[5])
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data.Value = float(csv[4])
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return data
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