加密市场折价

1from AlgorithmImports import *
2import data_tools
3# endregion
4class CryptomarketDiscounts(QCAlgorithm):
5def Initialize(self):
6self.SetStartDate(2015, 1, 1)
7self.SetCash(100000)
8# exchanges
9tickers:list[str] = [
10    'ABUCOINS_BTCUSD', 'BITBAY_BTCUSD', 'BITSTAMP_BTCUSD', 'BITTREX_BTCUSD',
11    'CEX_BTCUSD', 'COINBASE_BTCUSD', 'EXMO_BTCUSD', 'GEMINI_BTCUSD',
12    'HITBTC_BTCUSD', 'ITBIT_BTCUSD', 'KRAKEN_BTCUSD', 'OKCOIN_BTCUSD', 
13    'YOBIT_BTCUSD'
14]
15bitfinex_btc_ticker:str = 'BITFINEX_BTCUSD'
16self.quantile:int = 5
17self.portfolio_percentage:float = .1
18self.exchange_btc_symbols:list[Symbol] = []
19# subscribe symbols
20for ticker in tickers + [bitfinex_btc_ticker]:
21    security:Security = self.AddData(data_tools.QuantpediaBTCExchanges, ticker, Resolution.Daily)
22    security.SetFeeModel(data_tools.CustomFeeModel())
23    security.SetLeverage(5)
24    if ticker == bitfinex_btc_ticker:
25        self.bitfinex_btc_symbol:Symbol = security.Symbol
26    else:
27        self.exchange_btc_symbols.append(security.Symbol)
28def OnData(self, data: Slice):
29premium_by_symbol:dict[Symbol, float] = {}
30# calculate discount (premium)
31if data.ContainsKey(self.bitfinex_btc_symbol):
32    bitfinex_btc_price:float = data[self.bitfinex_btc_symbol].Value
33    for exch_symbol in self.exchange_btc_symbols:
34        if data.ContainsKey(exch_symbol):
35            exch_price:float = data[exch_symbol].Value
36            
37            premium:float = exch_price / bitfinex_btc_price - 1
38            premium_by_symbol[exch_symbol] = premium
39
40if len(premium_by_symbol) < self.quantile:
41    self.Liquidate()
42    return
43quantile:int = int(len(premium_by_symbol) / self.quantile)
44sorted_by_discount:list[Symbol] = [x[0] for x in sorted(premium_by_symbol.items(), key=lambda item: item[1])]
45# investing in the markets with the highest discounts
46long_leg:list[Symbol] = sorted_by_discount[:quantile]
47long_length = len(long_leg)
48# liquidate
49invested = [x.Key for x in self.Portfolio if x.Value.Invested]
50for exch_symbol in invested:
51    if exch_symbol not in long_leg and exch_symbol != self.bitfinex_btc_symbol:
52        self.Liquidate(exch_symbol)
53# trade arbitrage
54for exch_symbol in long_leg:
55    self.SetHoldings(exch_symbol, (1 / long_length) * self.portfolio_percentage)
56self.SetHoldings(self.bitfinex_btc_symbol, -1 * self.portfolio_percentage)