/// <summary>
/// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
/// For cash accounts, leverage = 1 is used.
/// </summary>
/// <param name="security">The security to get a buying power model for</param>
/// <returns>The buying power model for this brokerage/security</returns>
public virtual IBuyingPowerModel GetBuyingPowerModel(Security security)
{
var leverage = GetLeverage(security);
IBuyingPowerModel model;
switch (security.Type)
{
case SecurityType.Crypto:
model = new CashBuyingPowerModel();
break;
case SecurityType.Forex:
case SecurityType.Cfd:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
case SecurityType.Option:
model = new OptionMarginModel(RequiredFreeBuyingPowerPercent);
break;
case SecurityType.FutureOption:
model = new FuturesOptionsMarginModel(RequiredFreeBuyingPowerPercent, (Option)security);
break;
case SecurityType.Future:
model = new FutureMarginModel(RequiredFreeBuyingPowerPercent, security);
break;
default:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
}
return(model);
}
public void Initialize()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_portfolio = _algorithm.Portfolio;
_portfolio.CashBook.Add("EUR", 0, 1.20m);
_portfolio.CashBook.Add("BTC", 0, 15000m);
_portfolio.CashBook.Add("ETH", 0, 1000m);
_algorithm.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_transactionHandler = new BacktestingTransactionHandler();
_brokerage = new BacktestingBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, _brokerage, new TestResultHandler());
_algorithm.Transactions.SetOrderProcessor(_transactionHandler);
var tz = TimeZones.NewYork;
_btcusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[Currencies.USD],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCUSD", Currencies.USD, 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_ethusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[Currencies.USD],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHUSD", Currencies.USD, 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_btceur = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["EUR"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_ethbtc = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["BTC"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHBTC, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHBTC", "BTC", 1, 0.00001m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_buyingPowerModel = new CashBuyingPowerModel();
_timeKeeper = new LocalTimeKeeper(new DateTime(2019, 4, 22), DateTimeZone.Utc);
_btcusd.SetLocalTimeKeeper(_timeKeeper);
_ethusd.SetLocalTimeKeeper(_timeKeeper);
_btceur.SetLocalTimeKeeper(_timeKeeper);
_ethbtc.SetLocalTimeKeeper(_timeKeeper);
}
public void Initialize()
{
_algorithm = new QCAlgorithm();
_portfolio = _algorithm.Portfolio;
_portfolio.CashBook.Add("EUR", 0, 1.20m);
_portfolio.CashBook.Add("BTC", 0, 15000m);
_portfolio.CashBook.Add("ETH", 0, 1000m);
_algorithm.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_transactionHandler = new BacktestingTransactionHandler();
_brokerage = new BacktestingBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, _brokerage, new TestResultHandler());
new Thread(_transactionHandler.Run)
{
IsBackground = true
}.Start();
_algorithm.Transactions.SetOrderProcessor(_transactionHandler);
var tz = TimeZones.NewYork;
_btcusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[CashBook.AccountCurrency],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCUSD", "USD", 1, 0.01m, 0.00000001m));
_ethusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[CashBook.AccountCurrency],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHUSD", "USD", 1, 0.01m, 0.00000001m));
_btceur = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["EUR"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m));
_ethbtc = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["BTC"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHBTC, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHBTC", "BTC", 1, 0.00001m, 0.00000001m));
_buyingPowerModel = new CashBuyingPowerModel();
}
