Computing Power Factor in Cryptocurrencies

1from AlgorithmImports import *
2from typing import Dict, List
3class ComputingPowerFactorinCryptocurrencies(QCAlgorithm):
4def Initialize(self) -> None:
5 self.SetStartDate(2015, 1, 1)
6 self.SetCash(1_000_000)
7 self.period: int = 14
8 self.percentage_traded: float = 0.1
9 self.segment: int = 7
10 
11 self.crypto_symbols: Dict[str, str] = {
12     'BTC' : 'BTCUSD',
13     'ETH' : 'ETHUSD', 
14     'LTC' : 'LTCUSD', 
15 }
16                 
17 # Daily hash rate.
18 self.hash_rate: Dict[Symbol, RollingWindow] = {}
19 
20 for crypto, ticker in self.crypto_symbols.items():
21     data = self.AddCrypto(ticker, Resolution.Daily, Market.Bitfinex)
22     self.AddData(CryptoNetworkData, crypto, Resolution.Daily)
23     
24     # Crypto data.
25     self.hash_rate[crypto] = RollingWindow[float](self.period)
26 
27 self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
28 self.settings.daily_precise_end_time = False
29 self.SetWarmUp(self.period, Resolution.Daily)
30def OnData(self, data: Slice) -> None: 
31 crypto_data_last_update_date: Dict[Symbol, datetime.date] = CryptoNetworkData.get_last_update_date()
32 # Store daily data.
33 for crypto, ticker in self.crypto_symbols.items():
34     if crypto in data and data[crypto]:
35         hash_rate: float = data[crypto].Value
36         if hash_rate != 0:
37             self.hash_rate[crypto].Add(hash_rate)
38 if self.Time.date().weekday() != 0 and self.Time.hour == 0:
39     return
40 growth: Dict[str, float] = {}
41 for crypto, ticker in self.crypto_symbols.items():
42     if self.Securities[crypto].GetLastData() and self.Time.date() > crypto_data_last_update_date[crypto]:
43         self.liquidate(ticker)
44         continue
45     if self.hash_rate[crypto].IsReady:
46         if all(x == 0 for x in list(self.hash_rate[crypto])):
47             continue
48         week_t1_hash_rates: List[float] = [np.log(x) for x in self.hash_rate[crypto]][:self.segment]
49         week_t2_hash_rates: List[float] = [np.log(x) for x in self.hash_rate[crypto]][self.segment:]
50         
51         growth[ticker] = np.mean(week_t1_hash_rates) - np.mean(week_t2_hash_rates)
52 
53 total_growth_abs: float = sum(abs(x[1]) for x in growth.items())
54 weight: Dict[str, float] = {x[0] : (x[1] / total_growth_abs) for x in growth.items()}
55 
56 # trade 
57 invested: List[str] = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
58 for symbol in invested:
59     if symbol not in weight:
60         self.Liquidate(symbol)
61 portfolio:List[PortfolioTarget] = [PortfolioTarget(ticker, w * self.percentage_traded) for ticker, w in weight.items() if ticker in data and data[ticker] and w > 0]
62 self.SetHoldings(portfolio)
63 
64# Crypto network data.
65# NOTE: IMPORTANT: Data order must be ascending (datewise)
66# Data source: https://coinmetrics.io/community-network-data/
67class CryptoNetworkData(PythonData):
68_last_update_date: Dict[Symbol, datetime.date] = {}
69@staticmethod
70def get_last_update_date() -> Dict[Symbol, datetime.date]:
71return CryptoNetworkData._last_update_date
72def GetSource(self, config: SubscriptionDataConfig, date: datetime, isLiveMode: bool) -> SubscriptionDataSource:
73 return SubscriptionDataSource(f"data.quantpedia.com/backtesting_data/crypto/{config.Symbol.Value}_network_data.csv", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
74# File exmaple:
75# date,AdrActCnt,AdrBal1in100KCnt,AdrBal1in100MCnt,AdrBal1in10BCnt,AdrBal1in10KCnt,AdrBal1in10MCnt,AdrBal1in1BCnt,AdrBal1in1KCnt,AdrBal1in1MCnt,AdrBalCnt,AdrBalNtv0.001Cnt,AdrBalNtv0.01Cnt,AdrBalNtv0.1Cnt,AdrBalNtv100Cnt,AdrBalNtv100KCnt,AdrBalNtv10Cnt,AdrBalNtv10KCnt,AdrBalNtv1Cnt,AdrBalNtv1KCnt,AdrBalNtv1MCnt,AdrBalUSD100Cnt,AdrBalUSD100KCnt,AdrBalUSD10Cnt,AdrBalUSD10KCnt,AdrBalUSD10MCnt,AdrBalUSD1Cnt,AdrBalUSD1KCnt,AdrBalUSD1MCnt,AssetEODCompletionTime,BlkCnt,BlkSizeMeanByte,BlkWghtMean,BlkWghtTot,CapAct1yrUSD,CapMVRVCur,CapMVRVFF,CapMrktCurUSD,CapMrktFFUSD,CapRealUSD,DiffLast,DiffMean,FeeByteMeanNtv,FeeMeanNtv,FeeMeanUSD,FeeMedNtv,FeeMedUSD,FeeTotNtv,FeeTotUSD,FlowInExNtv,FlowInExUSD,FlowOutExNtv,FlowOutExUSD,FlowTfrFromExCnt,HashRate,HashRate30d,IssContNtv,IssContPctAnn,IssContPctDay,IssContUSD,IssTotNtv,IssTotUSD,NDF,NVTAdj,NVTAdj90,NVTAdjFF,NVTAdjFF90,PriceBTC,PriceUSD,ROI1yr,ROI30d,RevAllTimeUSD,RevHashNtv,RevHashRateNtv,RevHashRateUSD,RevHashUSD,RevNtv,RevUSD,SER,SplyAct10yr,SplyAct180d,SplyAct1d,SplyAct1yr,SplyAct2yr,SplyAct30d,SplyAct3yr,SplyAct4yr,SplyAct5yr,SplyAct7d,SplyAct90d,SplyActEver,SplyActPct1yr,SplyAdrBal1in100K,SplyAdrBal1in100M,SplyAdrBal1in10B,SplyAdrBal1in10K,SplyAdrBal1in10M,SplyAdrBal1in1B,SplyAdrBal1in1K,SplyAdrBal1in1M,SplyAdrBalNtv0.001,SplyAdrBalNtv0.01,SplyAdrBalNtv0.1,SplyAdrBalNtv1,SplyAdrBalNtv10,SplyAdrBalNtv100,SplyAdrBalNtv100K,SplyAdrBalNtv10K,SplyAdrBalNtv1K,SplyAdrBalNtv1M,SplyAdrBalUSD1,SplyAdrBalUSD10,SplyAdrBalUSD100,SplyAdrBalUSD100K,SplyAdrBalUSD10K,SplyAdrBalUSD10M,SplyAdrBalUSD1K,SplyAdrBalUSD1M,SplyAdrTop100,SplyAdrTop10Pct,SplyAdrTop1Pct,SplyCur,SplyExpFut10yr,SplyFF,SplyMiner0HopAllNtv,SplyMiner0HopAllUSD,SplyMiner1HopAllNtv,SplyMiner1HopAllUSD,TxCnt,TxCntSec,TxTfrCnt,TxTfrValAdjNtv,TxTfrValAdjUSD,TxTfrValMeanNtv,TxTfrValMeanUSD,TxTfrValMedNtv,TxTfrValMedUSD,VelCur1yr,VtyDayRet180d,VtyDayRet30d
76# 2009-01-09,19,19,19,19,19,19,19,19,19,19,19,19,19,0,0,19,0,19,0,0,0,0,0,0,0,0,0,0,1614334886,19,215,860,16340,0,0,0,0,0,0,1,1,0,0,0,0,0,0,0,0,0,0,0,0,9.44495122962963E-7,0,950,36500,100,0,950,0,1,0,0,0,0,1,0,0,0,0,11641.53218269,1005828380.584716757433,0,0,950,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,950,950,950,950,950,950,950,950,950,950,950,950,950,0,0,0,0,0,0,0,0,0,0,0,0,0,950,50,50,950,17070250,950,1000,0,1000,0,0,0,0,0,0,0,0,0,0,0,0,0
77def Reader(self, config: SubscriptionDataConfig, line: str, date: datetime, isLiveMode: bool) -> BaseData:
78 data: CryptoNetworkData = CryptoNetworkData()
79 data.Symbol = config.Symbol
80 try:
81     cols:str = ['HashRate']
82     if not line[0].isdigit():
83         header_split = line.split(',')
84         self.col_index = [header_split.index(x) for x in cols]
85         return None
86     split = line.split(',')
87     
88     data.Time = datetime.strptime(split[0], "%Y-%m-%d") + timedelta(days=1)
89     
90     for i, col in enumerate(cols):
91         data[col] = float(split[self.col_index[i]])
92     data.Value = float(split[self.col_index[0]])
93     if config.Symbol.Value not in CryptoNetworkData._last_update_date:
94         CryptoNetworkData._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
95     if data.Time.date() > CryptoNetworkData._last_update_date[config.Symbol.Value]:
96         CryptoNetworkData._last_update_date[config.Symbol.Value] = data.Time.date()
97 
98 except:
99     return None
100 return data