# 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>### Regression algorithm for fractional forex pair### </summary>### <meta name="tag" content="using data" />### <meta name="tag" content="trading and orders" />### <meta name="tag" content="regression test" />class FractionalQuantityRegressionAlgorithm(QCAlgorithm):def initialize(self):self.set_start_date(2015, 11, 12)self.set_end_date(2016, 4, 1)self.set_cash(100000)self.set_brokerage_model(BrokerageName.GDAX, AccountType.CASH)self.set_time_zone(TimeZones.UTC)security = self.add_security(SecurityType.CRYPTO, "BTCUSD", Resolution.DAILY, Market.GDAX, False, 1, True)### The default buying power model for the Crypto security type is now CashBuyingPowerModel.### Since this test algorithm uses leverage we need to set a buying power model with margin.security.set_buying_power_model(SecurityMarginModel(3.3))con = TradeBarConsolidator(1)self.subscription_manager.add_consolidator("BTCUSD", con)con.data_consolidated += self.data_consolidatedself.set_benchmark(security.symbol)def data_consolidated(self, sender, bar):quantity = math.floor((self.portfolio.cash + self.portfolio.total_fees) / abs(bar.value + 1))btc_qnty = float(self.portfolio["BTCUSD"].quantity)if not self.portfolio.invested:self.order("BTCUSD", quantity)elif btc_qnty == quantity:self.order("BTCUSD", 0.1)elif btc_qnty == quantity + 0.1:self.order("BTCUSD", 0.01)elif btc_qnty == quantity + 0.11:self.order("BTCUSD", -0.02)elif btc_qnty == quantity + 0.09:# should fail (below minimum order quantity)self.order("BTCUSD", 0.00001)self.set_holdings("BTCUSD", -2.0)self.set_holdings("BTCUSD", 2.0)self.quit()
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