# 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>### Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected### </summary>class BybitCryptoRegressionAlgorithm(QCAlgorithm):def initialize(self):'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''self.set_start_date(2022, 12, 13)self.set_end_date(2022, 12, 13)# Set account currency (USDT)self.set_account_currency("USDT")# Set strategy cash (USD)self.set_cash(100000)# Add some coin as initial holdings# When connected to a real brokerage, the amount specified in SetCash# will be replaced with the amount in your actual account.self.set_cash("BTC", 1)self.set_brokerage_model(BrokerageName.BYBIT, AccountType.CASH)self.btc_usdt = self.add_crypto("BTCUSDT").symbol# create two moving averagesself.fast = self.ema(self.btc_usdt, 30, Resolution.MINUTE)self.slow = self.ema(self.btc_usdt, 60, Resolution.MINUTE)self.liquidated = Falsedef on_data(self, data):if self.portfolio.cash_book["USDT"].conversion_rate == 0 or self.portfolio.cash_book["BTC"].conversion_rate == 0:self.log(f"USDT conversion rate: {self.portfolio.cash_book['USDT'].conversion_rate}")self.log(f"BTC conversion rate: {self.portfolio.cash_book['BTC'].conversion_rate}")raise AssertionError("Conversion rate is 0")if not self.slow.is_ready:returnbtc_amount = self.portfolio.cash_book["BTC"].amountif self.fast > self.slow:if btc_amount == 1 and not self.liquidated:self.buy(self.btc_usdt, 1)else:if btc_amount > 1:self.liquidate(self.btc_usdt)self.liquidated = Trueelif btc_amount > 0 and self.liquidated and len(self.transactions.get_open_orders()) == 0:# Place a limit order to sell our initial BTC holdings at 1% above the current pricelimit_price = round(self.securities[self.btc_usdt].price * 1.01, 2)self.limit_order(self.btc_usdt, -btc_amount, limit_price)def on_order_event(self, order_event):self.debug("{} {}".format(self.time, order_event.to_string()))def on_end_of_algorithm(self):self.log(f"{self.time} - TotalPortfolioValue: {self.portfolio.total_portfolio_value}")self.log(f"{self.time} - CashBook: {self.portfolio.cash_book}")btc_amount = self.portfolio.cash_book["BTC"].amountif btc_amount > 0:raise AssertionError(f"BTC holdings should be zero at the end of the algorithm, but was {btc_amount}")
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