namespace QuantConnect.Algorithm.CSharp
{
public class VentralTransdimensionalChamber : QCAlgorithm
{
/*
Buying Ethereum with Bitcoin when bitcoin drops -20%
Selling Ethereum for Bitcoin when bitcoin rises +20%.
At the same time:
Buying Bitcoin with USD when bitcoin drops -20%
Selling Bitcoin for USD when bitcoin rise +20%.
*/
// VARIABELEN DECLAREREN
private string _ticker1 = "ETHBTC"; //virtueel paar - tracks the current USD value of 1 ether.
private string _ticker2 = "BTCUSD";
public string valuta1 = "BTC";
public string valuta2 = "USD";
private decimal _startingCash1 = 1.0m;
private decimal _startingCash2 = 1000;
private decimal _weight = .5m; ///Percentage van portfolio dat je wilt investeren // % of portfolio for every trade.
public decimal _targetPrice1;
public decimal _targetPrice2;
private decimal _targetPercent = .2m; //x% winst dan verkopen // Sell when x% profit
private decimal _btcDaling = -20;
private decimal _stopPercent = .10m;
public decimal _stopPrice1; //verkopen bij de x% verlies / Sell when loss is x%
public decimal _stopPrice2;
public decimal _trailPercent = .03m;
int _maxPosition = 900; // Max USD invested
decimal _minPosition1 = .45m; // min USD needed to invest.
decimal _minposition2 = 250;
public decimal _btc; //Amount of USD in our Cashbook.
public decimal _usd;
MomentumPercent _momentumPercent;
//PROGRAMMA VARIABELEN
public decimal _price1;
public decimal _price2;
public decimal _holding1; //Het aantal Ether we in onze portfolio hebben zitten.
public decimal _holding2;
public string _baseSymbol1; //vertegenwoordigt de basesymbool dat we houden ETH
public string _baseSymbol2;
//INITIALIZE BLOCK
public override void Initialize()
{
SetStartDate(2017, 1, 1);
SetEndDate(2018, 1, 1);
SetAccountCurrency(valuta1);
SetAccountCurrency(valuta2);
SetCash("BTC", _startingCash1);
SetCash("USD", _startingCash2);
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
var _crypto1 = AddCrypto("ETHBTC", Resolution.Minute);
_baseSymbol1 = _crypto1.BaseCurrencySymbol;
var _crypto2 = AddCrypto("BTCUSD", Resolution.Minute);
_baseSymbol2 = _crypto2.BaseCurrencySymbol;
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
int MomentumPercentPeriod = 1440;
_momentumPercent = MOMP("BTCUSD", MomentumPercentPeriod, Resolution.Minute);
SetWarmUp(MomentumPercentPeriod, Resolution.Minute);
}
// ON DATA BLOCK (waar bestanden/data binnenkomt in het programma)
public override void OnData(Slice data)
{
if (!_momentumPercent.IsReady) return;
_price1 = data[_ticker1].Price;
_btc = Portfolio.CashBook["BTC"].Amount;
_price2 = data[_ticker2].Price;
_usd = Portfolio.CashBook["USD"].Amount;
if (!Portfolio.Invested)
{
if (_momentumPercent <= _btcDaling && _btc > _minPosition1)
{
SetHoldings(_ticker1, _weight); // om een order te maken ==>percentage van portfolio dat je wilt investeren
}
if (_momentumPercent <= _btcDaling && _btc > _minposition2)
{
SetHoldings(_ticker2, _weight);
}
}
if (Portfolio.Invested)
{
_holding1 = Portfolio.CashBook[_baseSymbol1].Amount;
_holding2 = Portfolio.CashBook[_baseSymbol2].Amount;
if(_price1 >= _targetPercent)
{
Sell(_ticker1, _holding1);
Log($"prijs {_price1}");
}
/*
if(_price2 >= _targetPercent)
{
Sell(_ticker2, _holding2);
Log($"prijs {_price2}");
}
*/
}
}
}
}namespace QuantConnect.Algorithm.CSharp
{
}
/*
using QuantConnect.Securities.Crypto;
namespace QuantConnect.Algorithm.CSharp
{
public class VentralTransdimensionalChamber : QCAlgorithm
{
// Trading bot that trades with the highest and lowest exchange rate of the last 24 hours.
// Buying determined bacause the factor and the current price.
private Dictionary<Symbol, SymbolData> _dataBySymbol;
// VARIABELEN DECLAREREN
private string _ticker = "ETHEUR"; //virtueel paar - tracks the current USD value of 1 ether.
private int _startingCash = 2000;
private decimal _weight = 1m; ///Percentage van portfolio dat je wilt investeren // % of portfolio for every trade.
private decimal _targetPercent = .01m; //1% winst dan verkopen // Sell when 1% profit
private decimal _stopPercent = .10m; //verkopen bij de 10% verlies / Sell when loss is 10%
int _maxPosition = 900; // Max USD invested
int _minPosition = 750; // min USD needed to invest.
//INITIALIZE BLOCK
public override void Initialize()
{
SetStartDate(2017, 1, 3);
SetEndDate(2018, 1, 1);
SetCash("EUR", _startingCash);
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_dataBySymbol = new Dictionary<Symbol, SymbolData>();
foreach (var ticker in new [] { "ETHEUR" })
{
var crypto = AddCrypto(ticker, Resolution.Minute);
_dataBySymbol.Add(crypto.Symbol, new SymbolData(this, crypto));
}
SetWarmUp(SymbolData.MinutesOfTrading, Resolution.Minute);
}
// ON DATA BLOCK (waar bestanden/data binnenkomt in het programma)
public override void OnData(Slice data)
{
if (IsWarmingUp) return;
foreach (var kvp in _dataBySymbol)
{
var symbolData = kvp.Value;
if (!symbolData.IsReady)
{
continue;
}
var symbol = kvp.Key;
if (!data.Bars.ContainsKey(symbol))
{
continue;
}
var price = data[symbol].Price;
var invested = Portfolio[symbol].Invested;
if (!invested &&
symbolData.Factor >= 3)// &&
//symbolData.LowestAverage > price)
{
var qnty = CalculateOrderQuantity(symbol, _weight);
SetHoldings(symbol, _weight); // om een order te maken ==>percentage van portfolio dat je wilt investeren
Debug($"Purchased Stock: {symbol}"); // Als het order gemaakt is word dit bevestigd door de debug
//Log($"prijs {price} en Max 24uur {symbolData.MaxExchange} en MIN 24uur symbolData.MinExchange}");
symbolData.TargetPrice = price * (1 + _targetPercent); //Bepalen welke verkoopprijs bij winst (huidige prijs + 1%) // determine wich selling price at profit
symbolData.StopPrice = price * (1 - _stopPercent); //bepalen welke verkoopprijs bij verlies (huidige - 2%) // determine wich selling price at loss.
}
if (invested)
{
if (price >= symbolData.TargetPrice)
{
Sell(symbol, symbolData.Holding);
//Log($"prijs {price}");
}
if (price < symbolData.StopPrice)
{
Sell(symbol, symbolData.Holding);
//Log($"prijs {price}");
}
}
}
}
}
public class SymbolData
{
private Cash _cash;
public static int MinutesOfTrading = 1140;
public decimal StopPrice;
public decimal TargetPrice;
//Het aantal Ether we in onze portfolio hebben zitten.
public decimal Holding => _cash.Amount;
public Maximum MaxExchange { get; private set; }
public Minimum MinExchange { get; private set; }
public bool IsReady => MaxExchange.IsReady && MinExchange.IsReady;
public decimal Factor => (((MaxExchange - MinExchange)/2)/MaxExchange)*100;
public decimal LowestAverage => ((MaxExchange + MinExchange)/2 + MinExchange)/2;
public SymbolData(QCAlgorithm algorithm, Crypto crypto)
{
_cash = algorithm.Portfolio.CashBook[crypto.BaseCurrencySymbol];
MaxExchange = algorithm.MAX(crypto.Symbol, MinutesOfTrading, Resolution.Minute);
MinExchange = algorithm.MIN(crypto.Symbol, MinutesOfTrading, Resolution.Minute);
}
}
}
*/
