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@Martin-Molinero @StefanoRaggi @mchandschuh
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/*
* 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.
*/
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Brokerages;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Interfaces;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// The demonstration algorithm shows some of the most common order methods when working with Crypto assets.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="using quantconnect" />
/// <meta name="tag" content="trading and orders" />
public class BasicTemplateCryptoAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
private ExponentialMovingAverage _fast;
private ExponentialMovingAverage _slow;
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2018, 4, 4); // Set Start Date
SetEndDate(2018, 4, 4); // Set End Date
// Although typically real brokerages as GDAX only support a single account currency,
// here we add both USD and EUR to demonstrate how to handle non-USD account currencies.
// Set Strategy Cash (USD)
SetCash(10000);
// Set Strategy Cash (EUR)
// EUR/USD conversion rate will be updated dynamically
SetCash("EUR", 10000);
// Add some coins as initial holdings
// When connected to a real brokerage, the amount specified in SetCash
// will be replaced with the amount in your actual account.
SetCash("BTC", 1m);
SetCash("ETH", 5m);
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
// You can uncomment the following line when live trading with GDAX,
// to ensure limit orders will only be posted to the order book and never executed as a taker (incurring fees).
// Please note this statement has no effect in backtesting or paper trading.
// DefaultOrderProperties = new GDAXOrderProperties { PostOnly = true };
// Find more symbols here: http://quantconnect.com/data
AddCrypto("BTCUSD");
AddCrypto("ETHUSD");
AddCrypto("BTCEUR");
var symbol = AddCrypto("LTCUSD").Symbol;
// create two moving averages
_fast = EMA(symbol, 30, Resolution.Minute);
_slow = EMA(symbol, 60, Resolution.Minute);
}
/// <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>
public override void OnData(Slice data)
{
if (Portfolio.CashBook["EUR"].ConversionRate == 0
|| Portfolio.CashBook["BTC"].ConversionRate == 0
|| Portfolio.CashBook["ETH"].ConversionRate == 0
|| Portfolio.CashBook["LTC"].ConversionRate == 0)
{
Log($"EUR conversion rate: {Portfolio.CashBook["EUR"].ConversionRate}");
Log($"BTC conversion rate: {Portfolio.CashBook["BTC"].ConversionRate}");
Log($"LTC conversion rate: {Portfolio.CashBook["LTC"].ConversionRate}");
Log($"ETH conversion rate: {Portfolio.CashBook["ETH"].ConversionRate}");
throw new Exception("Conversion rate is 0");
}
if (Time.Hour == 1 && Time.Minute == 0)
{
// Sell all ETH holdings with a limit order at 1% above the current price
var limitPrice = Math.Round(Securities["ETHUSD"].Price * 1.01m, 2);
var quantity = Portfolio.CashBook["ETH"].Amount;
LimitOrder("ETHUSD", -quantity, limitPrice);
}
else if (Time.Hour == 2 && Time.Minute == 0)
{
// Submit a buy limit order for BTC at 5% below the current price
var usdTotal = Portfolio.CashBook["USD"].Amount;
var limitPrice = Math.Round(Securities["BTCUSD"].Price * 0.95m, 2);
// use only half of our total USD
var quantity = usdTotal * 0.5m / limitPrice;
LimitOrder("BTCUSD", quantity, limitPrice);
}
else if (Time.Hour == 2 && Time.Minute == 1)
{
// Get current USD available, subtracting amount reserved for buy open orders
var usdTotal = Portfolio.CashBook["USD"].Amount;
var usdReserved = Transactions.GetOpenOrders(x => x.Direction == OrderDirection.Buy && x.Type == OrderType.Limit)
.Where(x => x.Symbol == "BTCUSD" || x.Symbol == "ETHUSD")
.Sum(x => x.Quantity * ((LimitOrder) x).LimitPrice);
var usdAvailable = usdTotal - usdReserved;
// Submit a marketable buy limit order for ETH at 1% above the current price
var limitPrice = Math.Round(Securities["ETHUSD"].Price * 1.01m, 2);
// use all of our available USD
var quantity = usdAvailable / limitPrice;
// this order will be rejected for insufficient funds
LimitOrder("ETHUSD", quantity, limitPrice);
// use only half of our available USD
quantity = usdAvailable * 0.5m / limitPrice;
LimitOrder("ETHUSD", quantity, limitPrice);
}
else if (Time.Hour == 11 && Time.Minute == 0)
{
// Liquidate our BTC holdings (including the initial holding)
SetHoldings("BTCUSD", 0m);
}
else if (Time.Hour == 12 && Time.Minute == 0)
{
// Submit a market buy order for 1 BTC using EUR
Buy("BTCEUR", 1m);
// Submit a sell limit order at 10% above market price
var limitPrice = Math.Round(Securities["BTCEUR"].Price * 1.1m, 2);
LimitOrder("BTCEUR", -1, limitPrice);
}
else if (Time.Hour == 13 && Time.Minute == 0)
{
// Cancel the limit order if not filled
Transactions.CancelOpenOrders("BTCEUR");
}
else if (Time.Hour > 13)
{
// To include any initial holdings, we read the LTC amount from the cashbook
// instead of using Portfolio["LTCUSD"].Quantity
if (_fast > _slow)
{
if (Portfolio.CashBook["LTC"].Amount == 0)
{
Buy("LTCUSD", 10);
}
}
else
{
if (Portfolio.CashBook["LTC"].Amount > 0)
{
// The following two statements currently behave differently if we have initial holdings:
// https://github.com/QuantConnect/Lean/issues/1860
Liquidate("LTCUSD");
// SetHoldings("LTCUSD", 0);
}
}
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
Debug(Time + " " + orderEvent);
}
public override void OnEndOfAlgorithm()
{
Log($"{Time} - TotalPortfolioValue: {Portfolio.TotalPortfolioValue}");
Log($"{Time} - CashBook: {Portfolio.CashBook}");
}
/// <summary>
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
/// </summary>
public bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
/// </summary>
public Language[] Languages { get; } = { Language.CSharp, Language.Python };
/// <summary>
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
/// </summary>
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Trades", "10"},
{"Average Win", "0%"},
{"Average Loss", "-0.13%"},
{"Compounding Annual Return", "-99.979%"},
{"Drawdown", "3.500%"},
{"Expectancy", "-1"},
{"Net Profit", "-2.288%"},
{"Sharpe Ratio", "-11.335"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "-5.739"},
{"Beta", "413.859"},
{"Annual Standard Deviation", "0.254"},
{"Annual Variance", "0.065"},
{"Information Ratio", "-11.39"},
{"Tracking Error", "0.254"},
{"Treynor Ratio", "-0.007"},
{"Total Fees", "$85.34"}
};
}
}
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