Rebalancing Premium in Cryptocurrencies

1from AlgorithmImports import *
2
3class RebalancingPremiumInCryptocurrencies(QCAlgorithm):
4
5def Initialize(self):
6self.SetStartDate(2015, 1, 1)
7self.SetCash(100000000)
8
9self.cryptos = [
10    "BTCUSD", 
11    "BATUSD", 
12    # "BTGUSD", 
13    "DAIUSD",
14    "DGBUSD", "EOSUSD",
15    "ETHUSD", "FUNUSD",
16    "LTCUSD", "NEOUSD",
17    "OMGUSD", "SNTUSD",
18    "TRXUSD", "XLMUSD",
19    "XMRUSD", "XRPUSD",
20    "XVGUSD", "ZECUSD",
21    "ZRXUSD", "LRCUSD",
22    "REQUSD", "SANUSD",
23    "WAXUSD", "ZILUSD",
24    "IOTAUSD", 
25    "MANAUSD",
26    "DATAUSD"
27]
28
29self.short_side_percentage = 0.7
30self.data = {}
31self.SetBrokerageModel(BrokerageName.Bitfinex)
32
33for crypto in self.cryptos:
34    # GDAX is coinmarket, but it doesn't support this many cryptos, so we choose Bitfinex
35    data = self.AddCrypto(crypto, Resolution.Minute, Market.Bitfinex)
36    data.SetFeeModel(CustomFeeModel())
37    data.SetLeverage(10)
38    
39    self.data[crypto] = SymbolData()
40
41self.was_traded_already = False         # wait for the price data to come only once
42self.prev_short_portfolio_equity = 0    # short leg equity tracking
43
44def OnData(self, data):
45if not (self.Time.hour == 9 and self.Time.minute == 30):
46    return
47
48all_cryptos_are_ready = True       # data warmup flag
49
50# check if all cryptos has ready data
51for crypto in self.cryptos:
52    if crypto in data and data[crypto]:
53        # update crypto price for weight calculation
54        self.data[crypto].last_price = data[crypto].Value
55    # if there is at least one crypto, which doesn't have data, then don't trade and break cycle
56    else:
57        all_cryptos_are_ready = False
58        break
59
60if all_cryptos_are_ready or self.was_traded_already:
61    self.was_traded_already = True
62    
63    # long strategy equity calculation
64    long_portfolio_equity = self.Portfolio.TotalPortfolioValue
65    long_equity_to_trade = long_portfolio_equity / len(self.cryptos)
66    
67    # short strategy equity calculation
68    short_portfolio_equity = self.Portfolio.TotalPortfolioValue * self.short_side_percentage
69    short_equity_to_trade = short_portfolio_equity / len(self.cryptos)
70
71    # trading/rebalance
72    for crypto, symbol_obj in self.data.items():
73        if crypto in data and data[crypto]:
74            # short strategy
75            if not self.Portfolio[crypto].Invested:
76                short_q = np.floor(short_equity_to_trade / symbol_obj.last_price)
77                if abs(short_q) >= self.Securities[crypto].SymbolProperties.MinimumOrderSize:
78                    self.MarketOrder(crypto, -short_q)
79
80            # long strategy
81            long_q = np.floor(long_equity_to_trade / symbol_obj.last_price)
82            # currency was traded before
83            if symbol_obj.quantity is not None:
84                # calculate quantity difference
85                diff_q = long_q - symbol_obj.quantity
86            
87                # rebalance position
88                if abs(diff_q) >= self.Securities[crypto].SymbolProperties.MinimumOrderSize:
89                    self.MarketOrder(crypto, diff_q)
90                    
91                    # change new quantity
92                    symbol_obj.quantity += diff_q
93            else:
94                # rebalance position
95                if abs(long_q) >= self.Securities[crypto].SymbolProperties.MinimumOrderSize:
96                    self.MarketOrder(crypto, long_q)
97                
98                    # change new quantity
99                    symbol_obj.quantity = long_q
100
101class SymbolData():
102def __init__(self):
103self.last_price = None
104self.quantity = None
105
106# Custom fee model.
107class CustomFeeModel(FeeModel):
108def GetOrderFee(self, parameters):
109fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
110return OrderFee(CashAmount(fee, "USD"))