Unable to compute order quantity of XXXXUSDT. Reason: The cash model does not allow shorting. Returning null.

To short a cryptocurrency in QuantConnect, you need to set the brokerage model to a margin account and override the default buying power model. Here is how you can do it:

# Add the crypto asset
crypto = self.AddCrypto('DASHUSDT', Resolution.Daily)

# Set the brokerage model to a margin account
self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)

# Override the default buying power model
crypto.BuyingPowerModel = SecurityMarginModel(3.3)

Then, you can use SetHoldings to short the crypto:

self.SetHoldings('DASHUSDT', -0.3)  # Short DASHUSDT with 0.3 * portfolio value

Please note that it's recommended to create orders manually for cryptocurrencies instead of using the SetHoldings method. The SetHoldings method isn't consistent when coins are added to the cashbook^1^.

in the code 

crypto.BuyingPowerModel = SecurityMarginModel(3.3)

What does 3.3 mean?

The 3.3 in SecurityMarginModel(3.3) represents the leverage you want to use for your trading. Leverage is a concept in trading where you borrow funds to increase your position size, thus potentially increasing your return on investment.

In this case, a leverage of 3.3 means that for every dollar of your own money, you can trade up to $3.3. This leverage should be set according to the maximum you want and below or equal to the maximum your broker authorizes^1^.

Please note that while higher leverage can increase potential returns, it also increases potential losses. Therefore, it's important to use leverage judiciously.

Thanks for the response, 

I tried the below code to short crypto, e.g. ALGO, with a Binance SubMarginAccount.

private bool _enableTest=true;

public override void Initialize()
{        
            var crypto2 = AddCrypto(Config.Symbol2, Config.ResolutionLevel, Market.Binance);
            // Set the brokerage model to a margin account
            SetBrokerageModel(BrokerageName.Binance, AccountType.Margin);
            // Override the default buying power model
            crypto2.BuyingPowerModel = new SecurityMarginModel(1.15m); 
}
public override void OnData(Slice data)
{  
            if(_enableTest == true)
            {
                // This is a one off short try
                SetHoldings(Config.Symbol2, -0.04m);
                _enableTest = false;
            }
}

And, got the below error through log.

New Order Event: Time: 07/25/2024 20:10:00 OrderID: 1 EventID: 1 Symbol: ALGOUSDT Status: Invalid Quantity: -59 Message: Binance Order Event

Live Handled Error: Brokerage Warning: Order failed, Order Id: 1 timestamp: 7/25/2024 8:13:00 PM quantity: -59 content: {"code":51122,"msg":"Portfolio Margin account users cannot use this function."}

Anything else I can try to short a crypto successfully?

The error message you received indicates that the Binance API does not support the operation you're trying to perform with a Portfolio Margin account. According to the Binance API documentation, certain types of accounts may not have access to all API functions.

Unfortunately, as of the current state of the QuantConnect platform, the Binance integration does not support trading with sub-accounts^1^. You must use your main account for trading.

If you want to short cryptocurrencies, you might want to consider using a different brokerage that supports this operation. For example, the Bitfinex brokerage model allows for crypto margin trading^2^^4^.

I tried two possible solution, Neither of them works.

1 to use main account instead of sub account

2 to recreate API with full permission

Since short is necessary for pair trading strategy,   can I know how to, the sample code, short perpetual futures, e.g. ALGOUSDT?

To short perpetual futures in QuantConnect, you can use the SetHoldings method similar to how you would short a spot cryptocurrency. However, you need to add the futures contract to your algorithm and set the appropriate brokerage model. Here is a sample code snippet in Python:

# Add the perpetual futures contract
future = self.AddFutureContract("ALGOUSDT", Resolution.Daily)

# Set the brokerage model to a margin account
self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)

# Override the default buying power model
future.BuyingPowerModel = SecurityMarginModel(1.15)

# In your OnData method
self.SetHoldings("ALGOUSDT", -0.04)  # Short ALGOUSDT with 0.04 * portfolio value

Please note that the symbol "ALGOUSDT" in the AddFutureContract method should be replaced with the actual symbol of the perpetual futures contract you want to trade. Also, ensure that your account has the necessary permissions and funds to trade futures contracts^1^.