If i set cash    100000$  set_holdings does not work, if i set 1000000$ everything works well

 

  1. class DydxTestAlgorithm(QCAlgorithm):
  3.     def initialize(self):
  4.         self.set_start_date(2025, 2, 12)
  5.         self.set_end_date(2025, 3, 31)
  6.         self.set_cash(100000)
  8.         self.set_brokerage_model(DydxPerpetualBrokerageModel())
  9.         symbolBTC = "BTC-USD"
  10.         symbolETH = "ETH-USD"
  12.         self._btc_symbol = self.add_data(DydxPerpetualData, symbolBTC, Resolution.DAILY).symbol
  13.         self._eth_symbol = self.add_data(DydxPerpetualData, symbolETH, Resolution.DAILY).symbol
  15.         self.set_benchmark(symbolBTC)
  16.         #self.set_benchmark(symbolETH)
  18.         self._btc_sma = self.sma(self._btc_symbol, 31)
  19.         self._btc_ema = self.ema(self._btc_symbol, 31)
  20.         self._eth_sma = self.sma(self._eth_symbol, 31)
  21.         self._eth_ema = self.sma(self._eth_symbol, 31)
  23.         self.debug(f"BTC Tradable: {self.securities[self._btc_symbol].is_tradable}, Leverage: {self.securities[self._btc_symbol].leverage}, Properties: {self.securities[self._btc_symbol].symbol_properties}")
  24.         self.debug(f"ETH Tradable: {self.securities[self._eth_symbol].is_tradable}, Leverage: {self.securities[self._eth_symbol].leverage}, Properties: {self.securities[self._eth_symbol].symbol_properties}")
  29.     def on_order_event(self, order_event):
  30.         self.debug(f"Order: {order_event.symbol}, Status: {order_event.status}, Qty: {order_event.quantity}, Message: {order_event.message},  Fer :{order_event.order_fee}, Fill price: {order_event.fill_price}, Time: {order_event.utc_time}")
  32.     def on_data(self, data: Slice):   
  33.         if not (self._btc_symbol in data and self._eth_symbol in data):
  34.             self.debug("Data not available for both symbols")
  35.             return
  37.         btc_current_price = data[self._btc_symbol].close
  39.         if not self.portfolio[self._btc_symbol].invested and self._btc_ema.current.value > self._btc_sma.current.value and data[self._btc_symbol].close < self._btc_ema.current.value:
  40.             self.set_holdings(self._btc_symbol, 0.5)
  41.             self.debug('LONG ' + str(self._btc_symbol) + ' price: ' + str(self.securities[self._btc_symbol].price))
  43.         elif not self.portfolio[self._btc_symbol].invested and self._eth_ema.current.value > self._eth_sma.current.value and data[self._eth_symbol].close < self._eth_ema.current.value:
  44.             self.set_holdings(self._eth_symbol, 0.5)
  45.             self.debug('LONG ' + str(self._eth_symbol) + ' price: ' + str(self.securities[self._eth_symbol].price))
  47.         elif not self.portfolio[self._eth_symbol].invested and self._btc_ema.current.value < self._btc_sma.current.value and data[self._btc_symbol].close > self._btc_ema.current.value:
  48.             self.set_holdings(self._btc_symbol, -0.5)
  49.             self.debug('SHORT ' + str(self._btc_symbol) + ' price: ' + str(self.securities[self._btc_symbol].price))
  51.         elif not self.portfolio[self._eth_symbol].invested and self._eth_ema.current.value < self._eth_sma.current.value and data[self._eth_symbol].close > self._eth_ema.current.value:
  52.             self.set_holdings(self._eth_symbol, -0.5)
  53.             self.debug('SHORT ' + str(self._eth_symbol) + ' price: ' + str(self.securities[self._eth_symbol].price))
  54.         
  55.         
  56.         #liquidate if opposite signal
  57.         elif self.portfolio[self._btc_symbol].quantity < 0 and self._btc_ema.current.value > self._btc_sma.current.value and data[self._btc_symbol].close < self._btc_ema.current.value:
  58.             self.liquidate(self._btc_symbol)
  59.             self.debug('LIQUID SHORT ' + str(self._btc_symbol) + ' price: ' + str(self.securities[self._btc_symbol].price))
  61.         elif self.portfolio[self._eth_symbol].quantity < 0 and self._eth_ema.current.value > self._eth_sma.current.value and data[self._eth_symbol].close < self._eth_ema.current.value:
  62.             self.liquidate(self._eth_symbol)
  63.             self.debug('LIQUID SHORT ' + str(self._eth_symbol) + ' price: ' + str(self.securities[self._eth_symbol].price))
  65.         elif self.portfolio[self._btc_symbol].quantity > 0 and self._btc_ema.current.value < self._btc_sma.current.value and data[self._btc_symbol].close > self._btc_ema.current.value:
  66.             self.liquidate(self._btc_symbol)
  67.             self.debug('LIQUID LONG ' + str(self._btc_symbol) + ' price: ' + str(self.securities[self._btc_symbol].price))
  69.         elif self.portfolio[self._eth_symbol].quantity > 0 and self._eth_ema.current.value < self._eth_sma.current.value and data[self._eth_symbol].close > self._eth_ema.current.value:
  70.             self.liquidate(self._eth_symbol)
  71.             self.debug('LIQUID LONG ' + str(self._eth_symbol) + ' price: ' + str(self.securities[self._eth_symbol].price))
+ Expand

Author

Oilan Online

16 days ago