# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.## Licensed under the Apache License, Version 2.0 (the "License");# you may not use this file except in compliance with the License.# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0## Unless required by applicable law or agreed to in writing, software# distributed under the License is distributed on an "AS IS" BASIS,# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.# See the License for the specific language governing permissions and# limitations under the License.from AlgorithmImports import *### <summary>### Minute resolution regression algorithm trading Coin and USDT binance futures long and short asserting the behavior### </summary>class BasicTemplateCryptoFutureAlgorithm(QCAlgorithm):# <summary># Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.# </summary>def initialize(self):self.set_start_date(2022, 12, 13)self.set_end_date(2022, 12, 13)self.set_time_zone(TimeZones.UTC)try:self.set_brokerage_model(BrokerageName.BINANCE_FUTURES, AccountType.CASH)except:# expected, we don't allow cash account typepassself.set_brokerage_model(BrokerageName.BINANCE_FUTURES, AccountType.MARGIN)self.btc_usd = self.add_crypto_future("BTCUSD")self.ada_usdt = self.add_crypto_future("ADAUSDT")self.fast = self.ema(self.btc_usd.symbol, 30, Resolution.MINUTE)self.slow = self.ema(self.btc_usd.symbol, 60, Resolution.MINUTE)self.interest_per_symbol = {self.btc_usd.symbol: 0, self.ada_usdt.symbol: 0}self.set_cash(1000000)# the amount of BTC we need to hold to trade 'BTCUSD'self.btc_usd.base_currency.set_amount(0.005)# the amount of USDT we need to hold to trade 'ADAUSDT'self.ada_usdt.quote_currency.set_amount(200)# <summary># OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.# </summary># <param name="data">Slice object keyed by symbol containing the stock data</param>def on_data(self, slice):interest_rates = slice.Get(MarginInterestRate)for interest_rate in interest_rates:self.interest_per_symbol[interest_rate.key] += 1self.cached_interest_rate = self.securities[interest_rate.key].cache.get_data(MarginInterestRate)if self.cached_interest_rate != interest_rate.value:raise AssertionError(f"Unexpected cached margin interest rate for {interest_rate.key}!")if self.fast > self.slow:if self.portfolio.invested == False and self.transactions.orders_count == 0:self.ticket = self.buy(self.btc_usd.symbol, 50)if self.ticket.status != OrderStatus.INVALID:raise AssertionError(f"Unexpected valid order {self.ticket}, should fail due to margin not sufficient")self.buy(self.btc_usd.symbol, 1)self.margin_used = self.portfolio.total_margin_usedself.btc_usd_holdings = self.btc_usd.holdings# Coin futures value is 100 USDself.holdings_value_btc_usd = 100if abs(self.btc_usd_holdings.total_sale_volume - self.holdings_value_btc_usd) > 1:raise AssertionError(f"Unexpected TotalSaleVolume {self.btc_usd_holdings.total_sale_volume}")if abs(self.btc_usd_holdings.absolute_holdings_cost - self.holdings_value_btc_usd) > 1:raise AssertionError(f"Unexpected holdings cost {self.btc_usd_holdings.holdings_cost}")# margin used is based on the maintenance rateif BuyingPowerModelExtensions.get_maintenance_margin(self.btc_usd.buying_power_model, self.btc_usd) != self.margin_used:raise AssertionError(f"Unexpected margin used {self.margin_used}")self.buy(self.ada_usdt.symbol, 1000)self.margin_used = self.portfolio.total_margin_used - self.margin_usedself.ada_usdt_holdings = self.ada_usdt.holdings# USDT/BUSD futures value is based on it's priceself.holdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 1000if abs(self.ada_usdt_holdings.total_sale_volume - self.holdings_value_usdt) > 1:raise AssertionError(f"Unexpected TotalSaleVolume {self.ada_usdt_holdings.total_sale_volume}")if abs(self.ada_usdt_holdings.absolute_holdings_cost - self.holdings_value_usdt) > 1:raise AssertionError(f"Unexpected holdings cost {self.ada_usdt_holdings.holdings_cost}")if BuyingPowerModelExtensions.get_maintenance_margin(self.ada_usdt.buying_power_model, self.ada_usdt) != self.margin_used:raise AssertionError(f"Unexpected margin used {self.margin_used}")# position just opened should be just spread hereself.profit = self.portfolio.total_unrealized_profitif (5 - abs(self.profit)) < 0:raise AssertionError(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")if (self.portfolio.total_profit != 0):raise AssertionError(f"Unexpected TotalProfit {self.portfolio.total_profit}")else:if self.time.hour > 10 and self.transactions.orders_count == 3:self.sell(self.btc_usd.symbol, 3)self.btc_usd_holdings = self.btc_usd.holdingsif abs(self.btc_usd_holdings.absolute_holdings_cost - 100 * 2) > 1:raise AssertionError(f"Unexpected holdings cost {self.btc_usd_holdings.holdings_cost}")self.sell(self.ada_usdt.symbol, 3000)ada_usdt_holdings = self.ada_usdt.holdings# USDT/BUSD futures value is based on it's priceholdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 2000if abs(ada_usdt_holdings.absolute_holdings_cost - holdings_value_usdt) > 1:raise AssertionError(f"Unexpected holdings cost {ada_usdt_holdings.holdings_cost}")# position just opened should be just spread hereprofit = self.portfolio.total_unrealized_profitif (5 - abs(profit)) < 0:raise AssertionError(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")# we barely did any difference on the previous tradeif (5 - abs(self.portfolio.total_profit)) < 0:raise AssertionError(f"Unexpected TotalProfit {self.portfolio.total_profit}")def on_end_of_algorithm(self):if self.interest_per_symbol[self.ada_usdt.symbol] != 1:raise AssertionError(f"Unexpected interest rate count {self.interest_per_symbol[self.ada_usdt.symbol]}")if self.interest_per_symbol[self.btc_usd.symbol] != 3:raise AssertionError(f"Unexpected interest rate count {self.interest_per_symbol[self.btc_usd.symbol]}")def on_order_event(self, order_event):self.debug("{0} {1}".format(self.time, order_event))
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