# 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 cmath import isclose from AlgorithmImports import * ###

### Algorithm demonstrating and ensuring that Bybit crypto futures brokerage model works as expected ###

class BybitCryptoFuturesRegressionAlgorithm(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 strategy cash (USD) self.set_cash(100000) self.set_brokerage_model(BrokerageName.BYBIT, AccountType.MARGIN) # Translate lines 44-59 to Python: self.add_crypto("BTCUSDT", Resolution.MINUTE) self.btc_usdt = self.add_crypto_future("BTCUSDT", Resolution.MINUTE) self.btc_usd = self.add_crypto_future("BTCUSD", Resolution.MINUTE) # create two moving averages self.fast = self.ema(self.btc_usdt.symbol, 30, Resolution.MINUTE) self.slow = self.ema(self.btc_usdt.symbol, 60, Resolution.MINUTE) self.interest_per_symbol = {} self.interest_per_symbol[self.btc_usd.symbol] = 0 self.interest_per_symbol[self.btc_usdt.symbol] = 0 # the amount of USDT we need to hold to trade 'BTCUSDT' self.btc_usdt.quote_currency.set_amount(200) # the amount of BTC we need to hold to trade 'BTCUSD' self.btc_usd.base_currency.set_amount(0.005) def on_data(self, data): interest_rates = data.get[MarginInterestRate]() for interest_rate in interest_rates: self.interest_per_symbol[interest_rate.key] += 1 cached_interest_rate = self.securities[interest_rate.key].cache.get_data(MarginInterestRate) if cached_interest_rate != interest_rate.value: raise AssertionError(f"Unexpected cached margin interest rate for {interest_rate.key}!") if not self.slow.is_ready: return if self.fast > self.slow: if not self.portfolio.invested and self.transactions.orders_count == 0: ticket = self.buy(self.btc_usd.symbol, 1000) if ticket.status != OrderStatus.INVALID: raise AssertionError(f"Unexpected valid order {ticket}, should fail due to margin not sufficient") self.buy(self.btc_usd.symbol, 100) margin_used = self.portfolio.total_margin_used btc_usd_holdings = self.btc_usd.holdings # Coin futures value is 100 USD holdings_value_btc_usd = 100 if abs(btc_usd_holdings.total_sale_volume - holdings_value_btc_usd) > 1: raise AssertionError(f"Unexpected TotalSaleVolume {btc_usd_holdings.total_sale_volume}") if abs(btc_usd_holdings.absolute_holdings_cost - holdings_value_btc_usd) > 1: raise AssertionError(f"Unexpected holdings cost {btc_usd_holdings.holdings_cost}") # margin used is based on the maintenance rate if (abs(btc_usd_holdings.absolute_holdings_cost * 0.05 - margin_used) > 1 or not isclose(self.btc_usd.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usd)).value, margin_used)): raise AssertionError(f"Unexpected margin used {margin_used}") self.buy(self.btc_usdt.symbol, 0.01) margin_used = self.portfolio.total_margin_used - margin_used btc_usdt_holdings = self.btc_usdt.holdings # USDT futures value is based on it's price holdings_value_usdt = self.btc_usdt.price * self.btc_usdt.symbol_properties.contract_multiplier * 0.01 if abs(btc_usdt_holdings.total_sale_volume - holdings_value_usdt) > 1: raise AssertionError(f"Unexpected TotalSaleVolume {btc_usdt_holdings.total_sale_volume}") if abs(btc_usdt_holdings.absolute_holdings_cost - holdings_value_usdt) > 1: raise AssertionError(f"Unexpected holdings cost {btc_usdt_holdings.holdings_cost}") if (abs(btc_usdt_holdings.absolute_holdings_cost * 0.05 - margin_used) > 1 or not isclose(self.btc_usdt.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usdt)).value, margin_used)): raise AssertionError(f"Unexpected margin used {margin_used}") # position just opened should be just spread here unrealized_profit = self.portfolio.total_unrealized_profit if (5 - abs(unrealized_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}") # let's revert our position elif self.transactions.orders_count == 3: self.sell(self.btc_usd.symbol, 300) btc_usd_holdings = self.btc_usd.holdings if abs(btc_usd_holdings.absolute_holdings_cost - 100 * 2) > 1: raise AssertionError(f"Unexpected holdings cost {btc_usd_holdings.holdings_cost}") self.sell(self.btc_usdt.symbol, 0.03) # USDT futures value is based on it's price holdings_value_usdt = self.btc_usdt.price * self.btc_usdt.symbol_properties.contract_multiplier * 0.02 if abs(self.btc_usdt.holdings.absolute_holdings_cost - holdings_value_usdt) > 1: raise AssertionError(f"Unexpected holdings cost {self.btc_usdt.holdings.holdings_cost}") # position just opened should be just spread here profit = self.portfolio.total_unrealized_profit if (5 - abs(profit)) < 0: raise AssertionError(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}") # we barely did any difference on the previous trade if (5 - abs(self.portfolio.total_profit)) < 0: raise AssertionError(f"Unexpected TotalProfit {self.portfolio.total_profit}") 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}") if any(x == 0 for x in self.interest_per_symbol.values()): raise AssertionError("Expected interest rate data for all symbols")