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@multidis
Created February 15, 2018 21:57
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QuantConnect Crypto GDAX CashBuyingPower SetHoldings issue
// QuantConnect Crypto GDAX CashBuyingPower SetHoldings issue
using NodaTime;
namespace QuantConnect
{
public class ExampleAlgorithm : QCAlgorithm
{
private const string UnderlyingTicker = "BTCUSD";
private const string UnderlyingCoin = "BTC";
// slippage: NEED it for BTC
private const decimal constSlippage = 0.002m;
public override void Initialize()
{
// set UTC clock
// https://www.quantconnect.com/forum/discussion/1995/time-zone-of-time
SetTimeZone(TimeZones.Utc);
SetStartDate(2015, 9, 1);
SetEndDate(2015, 9, 5);
SetCash(1000000);
//// TODO Live trading caution:
//// https://www.quantconnect.com/forum/discussion/3178/quotbtcusdquot---what-are-virtual-positions/p1
//// use CashBook holdings instead of "BTCUSD" for algo restart consistency.
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
AddCrypto(UnderlyingTicker, Resolution.Minute);
Securities[UnderlyingTicker].SlippageModel = new ConstantSlippageModel(constSlippage);
// buy-and-hold benchmark
SetBenchmark(UnderlyingTicker);
}
public void OnData(TradeBars bars)
{
if (bars == null) { return; }
if (!Portfolio.Invested)
{
// initial entry: fractional holding
SetHoldings(UnderlyingTicker, 0.1m);
return;
}
if (Time > new DateTime(2015, 9, 3, 20, 2, 59) && Time < new DateTime(2015, 9, 3, 20, 3, 59))
{
decimal und_value_now = Portfolio.CashBook[UnderlyingCoin].Amount * bars[UnderlyingTicker].Close;
decimal und_frac_current = und_value_now / (und_value_now + Portfolio.CashBook["USD"].Amount);
Debug(string.Format(@"Current fraction held = {0:0.00}", und_frac_current));
Debug(string.Format(@"Current cash available = {0:0.00}", Portfolio.CashBook["USD"].Amount));
SetHoldings(UnderlyingTicker, 1.0m);
}
return;
}
}
}
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