Bitcoin Leads Altcoins on Intraday Basis

1from AlgorithmImports import *
2import data_tools
3from dateutil.relativedelta import relativedelta
4import numpy as np
5# endregion
6
7class BitcoinLeadsAltcoinsonIntradayBasis(QCAlgorithm):
8
9def Initialize(self):
10self.SetStartDate(2017, 1, 1)
11self.SetCash(100000)
12
13self.period:int = 24
14self.alpha:float = 2.0
15self.beta:float = 1.25
16self.percentile:float = 98
17self.top_count:int = 10
18self.max_traded_duration:int = 4
19self.portion:float = .1
20self.consolidation_bar_count:int = 15
21
22self.crypto_tickers:List[str] = ['BTCUSD', 'ETHUSD', 'SOLUSD', 'ADAUSD', 'XRPUSD', 'DOTUSD', 'DOGEUSD', 'LUNAUSD', 'AVAXUSD', 'UNIUSD',
23                                'LINKUSD', 'LTCUSD', 'BCHABCUSD', 'BSVUSD', 'FILUSD', 'XLMUSD', 'XTZUSD', 'NEOUSD', 'ATOMUSD', 'IOTAUSD', 
24                                'ETCUSD', 'DASHUSD', 'EGLDUSD', 'AAVEUSD', 'ENJUSD', 'EOSUSD', 'MKRUSD', 'MANAUSD', 'SNXUSD',  
25                                'OMGUSD', 'SUSHIUSD', 'YFIUSD', 'WBTCUSD', 'XMRUSD', 'ZECUSD', 'ZRXUSD', 'XRAUSD', 'AMPLUSD', 'GRTUSD', 
26                                'DGBUSD', '1INCHUSD'] # 'FTTUSD'
27
28self.data:Dict[Symbol, SymbolData] = {}
29self.btc_returns:List[float] = []
30self.symbol_performance:Dict[Symbol, float] = {}
31self.top_perf_symbols:List[Symbol] = []
32
33# data subscription
34for ticker in self.crypto_tickers:
35    data = self.AddCrypto(ticker, Resolution.Minute, Market.Bitfinex)
36    data.SetFeeModel(data_tools.CustomFeeModel())
37
38    self.Consolidate(data.Symbol, timedelta(minutes=self.consolidation_bar_count), self.ConsolidatedBarHandler)
39
40    self.data[data.Symbol] = data_tools.SymbolData(self.period)
41
42self.trade_flag:bool = False
43self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
44
45self.current_year:int = -1
46
47def OnData(self, data: Slice):
48if self.trade_flag:
49    self.trade_flag = False
50
51# pick top 10 performing cryptos each year
52if self.Time.year == self.current_year:
53    return
54self.current_year = self.Time.year
55
56self.cancel_open_orders(None)
57self.top_perf_symbols.clear()
58self.btc_returns = self.btc_returns[-self.period:]
59
60top_perf_symbols:Dict[Symbol, float] = { symbol: symbol_data._performance for symbol, symbol_data in self.data.items() if symbol_data._performance != 0 }
61self.top_perf_symbols = sorted(top_perf_symbols, key=top_perf_symbols.get, reverse=True)[:self.top_count]
62
63def ConsolidatedBarHandler(self, consolidated: Slice) -> None:
64symbol_data = self.data[consolidated.Symbol]
65
66# save performance on each crypto
67if symbol_data.is_traded():
68    symbol_data._count += 1
69
70    # count in performance for optimization
71    if consolidated.High > symbol_data._tp_price and consolidated.Low < symbol_data._sl_price:
72        symbol_data.update_performance(symbol_data._sl_price / symbol_data._open_price - 1)
73    elif consolidated.High >= symbol_data._tp_price and consolidated.Low > symbol_data._sl_price:
74        symbol_data.update_performance(symbol_data._tp_price / symbol_data._open_price - 1)
75    elif consolidated.High < symbol_data._tp_price and consolidated.Low <= symbol_data._sl_price:
76        symbol_data.update_performance(symbol_data._sl_price / symbol_data._open_price - 1)
77    elif symbol_data._count >= self.max_traded_duration:
78        symbol_data.update_performance(consolidated.Close / symbol_data._open_price - 1)
79        
80        if self.Portfolio[consolidated.Symbol].Invested:
81            self.cancel_open_orders(consolidated.Symbol)
82            self.MarketOrder(consolidated.Symbol, -self.Portfolio[consolidated.Symbol].Quantity, tag='1 hour threshold')
83
84if consolidated.Symbol in self.data:
85    if consolidated.Symbol.Value == 'BTCUSD':
86        if len(self.btc_returns) >= self.period:
87            if np.log(consolidated.Close / consolidated.Open) > np.percentile(self.btc_returns, self.percentile):
88                if not any(symbol_data.is_traded() for symbol, symbol_data in self.data.items()):
89                    self.trade_flag = True
90
91        self.btc_returns.append(np.log(consolidated.Close / consolidated.Open))
92    else:
93        # execute trade
94        if self.trade_flag:
95            if symbol_data.is_ready():
96                price_std:float = symbol_data.get_std()
97                if price_std != 0.:
98                    sl_price:float = round(consolidated.Close - self.beta * price_std, 5)
99                    tp_price:float = round(consolidated.Close + self.alpha * price_std, 5)
100
101                    symbol_data.trade(consolidated.Close, tp_price, sl_price)
102                    
103                    # trading when symbol is in actual selection
104                    if consolidated.Symbol in self.top_perf_symbols:
105                        quantity:int = self.Portfolio.TotalPortfolioValue // len(self.top_perf_symbols) * self.portion // consolidated.Close
106                        self.MarketOrder(consolidated.Symbol, quantity, tag='MarketOrder')
107
108        self.data[consolidated.Symbol].update_price(consolidated.Close)
109
110def OnOrderEvent(self, orderEvent: OrderEvent) -> None:
111if orderEvent.Status == OrderStatus.Filled:
112    order_ticket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
113    
114    # NOTE tag text can be altered by LEAN, for example:
115    # MarketOrder - Warning: fill at stale price {datetime}, using QuoteBar data.
116    # that's the reason 'in' keyword is used
117    if 'MarketOrder' in order_ticket.Tag:
118        self.StopMarketOrder(order_ticket.Symbol, -order_ticket.Quantity, self.data[order_ticket.Symbol]._sl_price)
119        self.LimitOrder(order_ticket.Symbol, -order_ticket.Quantity, self.data[order_ticket.Symbol]._tp_price)
120
121    # either SL or TP
122    else:
123        self.cancel_open_orders(order_ticket.Symbol)
124
125def cancel_open_orders(self, symbol:Union[Symbol, None]) -> None:
126# cancel all opened orders
127orders_to_cancel = self.Transactions.GetOrderTickets(lambda order_ticket: order_ticket.Status not in [OrderStatus.Filled, OrderStatus.Canceled, OrderStatus.Invalid] and order_ticket.Symbol == symbol) if symbol is not None else \
128                   self.Transactions.GetOrderTickets(lambda order_ticket: order_ticket.Status not in [OrderStatus.Filled, OrderStatus.Canceled, OrderStatus.Invalid])
129
130for ticket in orders_to_cancel:
131    response = ticket.Cancel()