Problem with BTCUSDT conversion with custom unsupported brokerage

I am creating my own custom brokerage in the Lean engine (for dYdX), but I'm encountering some issues with currency conversions. How can I define my own conversion rules? If you check the logs, you'll see the problem.

20250423 12:39:30.567 TRACE:: Config.GetValue(): debug-mode - Using default value: False
20250423 12:39:30.574 TRACE:: Config.Get(): Configuration key not found. Key: version-id - Using default value:
20250423 12:39:30.574 TRACE:: Config.Get(): Configuration key not found. Key: cache-location - Using default value:
20250423 12:39:30.576 TRACE:: Config.GetValue(): project-id - Using default value: 0
20250423 12:39:30.576 TRACE:: Config.Get(): Configuration key not found. Key: api-url - Using default value: https://www.quantconnect.com/api/v2/
20250423 12:39:30.576 TRACE:: Config.Get(): Configuration key not found. Key: results-destination-folder - Using default value: D:\MyProjects\doxia-investing\DoxiaInvesting-QuantConnect-dYdx\Lean\Launcher\bin\Debug
20250423 12:39:30.577 TRACE:: Config.Get(): Configuration key not found. Key: plugin-directory - Using default value:
20250423 12:39:30.596 TRACE:: Config.Get(): Configuration key not found. Key: composer-dll-directory - Using default value:
20250423 12:39:30.598 TRACE:: Composer(): Loading Assemblies from D:\MyProjects\doxia-investing\DoxiaInvesting-QuantConnect-dYdx\Lean\Launcher\bin\Debug\
20250423 12:39:31.479 TRACE:: Python for .NET Assembly: Python.Runtime, Version=2.0.42.0, Culture=neutral, PublicKeyToken=5000fea6cba702dd
20250423 12:39:31.592 TRACE:: Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v2.5.0.0 Mode: DEBUG (64bit) Host: DESKTOP-057CRGC
20250423 12:39:31.607 TRACE:: Engine.Main(): Started 17:39
20250423 12:39:31.698 TRACE:: Config.Get(): Configuration key not found. Key: lean-manager-type - Using default value: LocalLeanManager
20250423 12:39:31.746 TRACE:: JobQueue.NextJob(): Selected QuantConnect.Algorithm.CSharp.dll
20250423 12:39:32.121 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-capacity - Using default value: 120
20250423 12:39:32.156 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-time-interval-minutes - Using default value: 1440
20250423 12:39:32.157 TRACE:: Config.GetValue(): scheduled-event-leaky-bucket-refill-amount - Using default value: 18
20250423 12:39:32.164 TRACE:: Config.GetValue(): storage-limit - Using default value: 10737418240
20250423 12:39:32.165 TRACE:: Config.GetValue(): storage-file-count - Using default value: 10000
20250423 12:39:32.165 TRACE:: Config.GetValue(): storage-permissions - Using default value: 3
20250423 12:39:32.165 TRACE:: Config.Get(): Configuration key not found. Key: algorithm-id - Using default value: MyTestTradingAlgorithm
20250423 12:39:32.181 TRACE:: Config.Get(): Configuration key not found. Key: history-provider - Using default value: SubscriptionDataReaderHistoryProvider
20250423 12:39:32.181 TRACE:: Config.Get(): Configuration key not found. Key: data-channel - Using default value:
20250423 12:39:32.182 TRACE:: Config.Get(): Configuration key not found. Key: python-venv - Using default value:
20250423 12:39:35.859 TRACE:: Config.Get(): Configuration key not found. Key: data-permission-manager - Using default value: DataPermissionManager
20250423 12:39:35.866 TRACE:: Config.GetValue(): streamed-chart-limit - Using default value: 12
20250423 12:39:35.867 TRACE:: Config.GetValue(): streamed-chart-group-size - Using default value: 3
20250423 12:39:35.876 TRACE:: Config.GetValue(): downloader-data-update-period - Using default value: 7
20250423 12:39:36.496 TRACE:: Config.GetValue(): zip-data-cache-provider - Using default value: 10
20250423 12:39:36.501 TRACE:: Config.Get(): Configuration key not found. Key: fundamental-data-provider - Using default value: CoarseFundamentalDataProvider
20250423 12:39:36.505 TRACE:: AlgorithmManager.CreateTokenBucket(): Initializing LeakyBucket: Capacity: 120 RefillAmount: 18 TimeInterval: 1440
20250423 12:39:36.506 TRACE:: Config.GetValue(): algorithm-manager-time-loop-maximum - Using default value: 20
20250423 12:39:36.526 TRACE:: Engine.Run(): Resource limits '0' CPUs. 2147483647 MB RAM.
20250423 12:39:36.526 TRACE:: TextSubscriptionDataSourceReader.SetCacheSize(): Setting cache size to 71582788 items
20250423 12:39:36.532 TRACE:: Config.GetValue(): algorithm-creation-timeout - Using default value: 90
20250423 12:39:36.535 TRACE:: Loader.TryCreateILAlgorithm(): Loading only the algorithm assembly
20250423 12:39:36.562 TRACE:: Config.Get(): Configuration key not found. Key: databases-refresh-period - Using default value: 1.00:00:00
20250423 12:39:36.789 TRACE:: Loader.TryCreateILAlgorithm(): Loaded MyTestTradingAlgorithm
20250423 12:39:36.790 TRACE:: Config.Get(): Configuration key not found. Key: object-store-root - Using default value: ./storage
20250423 12:39:36.794 TRACE:: LocalObjectStore.Initialize(): Storage Root: D:\MyProjects\doxia-investing\DoxiaInvesting-QuantConnect-dYdx\Lean\Launcher\bin\Debug\storage. StorageFileCount 10000. StorageLimit 10240MB
20250423 12:39:36.795 TRACE:: LiveTradingDataFeed.GetDataChannelProvider(): will use DataChannelProvider
20250423 12:39:36.796 TRACE:: BrokerageSetupHandler.CreateBrokerage(): creating brokerage 'DydxBrokerage'
20250423 12:39:36.812 TRACE:: DydxBrokerage.Initialize(): found no data aggregator instance, creating QuantConnect.Lean.Engine.DataFeeds.AggregationManager
20250423 12:39:39.147 TRACE:: BrokerageMultiWebSocketSubscriptionManager(): WebSocket connections will be restarted every: 23:45:00
20250423 12:39:39.162 TRACE:: CompositeDataQueueHandler.SetJob(): will use [
  "DydxBrokerage"
]
20250423 12:39:39.168 TRACE:: BaseDataExchange(CustomDataExchange) Starting...
20250423 12:39:39.168 TRACE:: Config.GetValue(): zip-data-cache-provider - Using default value: 10
20250423 12:39:39.196 TRACE:: HistoryProviderManager.Initialize(): history providers [SubscriptionDataReaderHistoryProvider]
20250423 12:39:39.199 TRACE:: BaseSetupHandler.Setup(LocalPlatform): UID: 346944, PID: 0, Version: 2.5.0.0, Source: WebIDE
20250423 12:39:39.201 TRACE:: LiveTradingResultHandler.SendStatusUpdate(): status: 'LoggingIn'.  Logging into brokerage...
20250423 12:39:39.201 TRACE:: BrokerageSetupHandler.Setup(): Connecting to brokerage...
20250423 12:39:39.202 TRACE:: BrokerageSetupHandler.Setup(): dydx account base currency: USD
20250423 12:39:39.203 TRACE:: BrokerageSetupHandler.Setup(): Initializing algorithm...
20250423 12:39:39.203 TRACE:: LiveTradingResultHandler.SendStatusUpdate(): status: 'Initializing'.  Initializing algorithm...
20250423 12:39:39.208 TRACE:: Config.Get(): Configuration key not found. Key: security-data-feeds - Using default value:
20250423 12:39:39.216 TRACE:: SecurityPortfolioManager.SetAccountCurrency(): setting account currency to USD
20250423 12:39:39.260 TRACE:: BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...
20250423 12:39:39.262 TRACE:: BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...
20250423 12:39:39.263 TRACE:: BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...
20250423 12:39:39.264 TRACE:: AggregationManager.Initialize(): daily strict end times: True
20250423 12:39:39.279 TRACE:: LiveTradingDataFeed.CreateUniverseSubscription(): Creating user defined universe: QC-UNIVERSE-USERDEFINED-BINANCE-CRYPTOFUTURE 18R
20250423 12:39:39.284 TRACE:: DataManager.AddSubscription(): Added QC-UNIVERSE-USERDEFINED-BINANCE-CRYPTOFUTURE,#0,QC-UNIVERSE-USERDEFINED-BINANCE-CRYPTOFUTURE,Tick,Tick,Trade,Adjusted,OpenInterest,Internal. Start: 23.04.2025 12:39:39. End: 31.12.2050 00:00:00
20250423 12:39:39.297 ERROR:: No tradeable pair was found for currency BTC, conversion rate to account currency (USD) will be set to zero. Markets: [Forex:oanda,Cfd:oanda,Crypto:coinbase]
20250423 12:39:39.317 TRACE:: Failed to assign conversion rates for the following cash: BTC. Attempting to request daily resolution history to resolve conversion rate
20250423 12:39:39.322 TRACE:: BaseSetupHandler.SetupCurrencyConversions():
Account Type: Margin

Symbol      Quantity    Conversion = Value in USD
USD: $           0.00 @       1.00 = $0
BTC: ₿           0.00 @       0.00 = $0
-------------------------------------------------
CashBook Total Value:                $0

20250423 12:39:39.325 TRACE:: Total margin information: TotalMarginUsed: 0.00, MarginRemaining: 0.00
20250423 12:39:39.329 TRACE:: JOB HANDLERS:
         DataFeed:             QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed
         Setup:                QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler
         RealTime:             QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler
         Results:              QuantConnect.Lean.Engine.Results.LiveTradingResultHandler
         Transactions:         QuantConnect.Lean.Engine.TransactionHandlers.DydxBrokerageTransactionHandler
         Object Store:         QuantConnect.Lean.Engine.Storage.LocalObjectStore
         History Provider:     QuantConnect.Lean.Engine.HistoricalData.HistoryProviderManager
         Brokerage:            QuantConnect.Brokerages.DydxBrokerage
         Data Provider:        QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider

20250423 12:39:39.347 TRACE:: Event Name "Daily Sampling", scheduled to run.
20250423 12:39:39.347 TRACE:: AlgorithmManager.Run(): Begin DataStream - Start: 23.04.2025 00:00:00 Stop: 31.12.2050 00:00:00 Time: 23.04.2025 08:39:39 Warmup: False

public class MyTestTradingAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private decimal _lastTradePrice;
    public override void Initialize()
    {
        SetAccountCurrency("USD");

        const string market = "dydx";
        Transactions.MarketOrderFillTimeout = TimeSpan.FromMinutes(15);

        SetBrokerageModel(new DydxBrokerageModel());
        var marketHoursDatabase = QuantConnect.Securities.MarketHoursDatabase.FromDataFolder();
        var alwaysOpen = QuantConnect.Securities.SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc);
        marketHoursDatabase.SetEntry(market, "[*]", SecurityType.CryptoFuture, alwaysOpen);

        _symbol = AddCryptoFuture("BTCUSD", Resolution.Tick).Symbol;
        SetBenchmark(_symbol);
    }

    public override void OnData(Slice data)
    {
        // .................
    }
}

{

  "environment": "live-dydx", // "live-dydx", "backtesting"

  //"algorithm-type-name": "DydxBacktestAlgorithm", // Algorithm for backtesting using historical data.
  "algorithm-type-name": "MyTestTradingAlgorithm", // Algorithm for Testing Integration with dYdX


  // Algorithm language selector - options CSharp, Python
  "algorithm-language": "CSharp",

  "algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
  //"algorithm-location": "../../../Algorithm.Python/BasicTemplateFrameworkAlgorithm.py",

  //Research notebook
  //"composer-dll-directory": ".",

  // engine
  "data-folder": "../../../Data/",

  // debugging configuration - options for debugging-method LocalCmdLine, VisualStudio, Debugpy, PyCharm
  "debugging": false,
  "debugging-method": "LocalCmdline",

  // location of a python virtual env to use libraries from
  //"python-venv": "/venv",

  // handlers
  "log-handler": "QuantConnect.Logging.CompositeLogHandler",
  "messaging-handler": "QuantConnect.Messaging.Messaging",
  "job-queue-handler": "QuantConnect.Queues.JobQueue",
  "api-handler": "QuantConnect.Api.Api",
  "map-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskMapFileProvider",
  "factor-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskFactorFileProvider",
  "data-provider": "QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider",
  "data-channel-provider": "DataChannelProvider",
  "object-store": "QuantConnect.Lean.Engine.Storage.LocalObjectStore",
  "data-aggregator": "QuantConnect.Lean.Engine.DataFeeds.AggregationManager",

  // limits on number of symbols to allow
  "symbol-minute-limit": 10000,
  "symbol-second-limit": 10000,
  "symbol-tick-limit": 10000,

  // log missing data files, useful for debugging
  "show-missing-data-logs": false,

  // For live trading during warmup we limit the amount of historical data fetched from the history provider and expect the data to be on disk for older data
  "maximum-warmup-history-days-look-back": 5,

  // limits the amount of data points per chart series. Applies only for backtesting
  "maximum-data-points-per-chart-series": 1000000,
  "maximum-chart-series": 30,

  // if one uses true in following token, market hours will remain open all hours and all days.
  // if one uses false will make lean operate only during regular market hours.
  "force-exchange-always-open": false,

  // save list of transactions to the specified csv file
  "transaction-log": "",

  // Prefix for Windows reserved filenames
  "reserved-words-prefix": "@",

  // To get your api access token go to quantconnect.com/account
  "job-user-id": "346944",
  "api-access-token": "c52abbbde7140ffc1bd86293a24b25d524278f7c18f743f7b0b7f3f93267fc35",
  "job-organization-id": "",

  // live data configuration
  "live-data-url": "ws://www.quantconnect.com/api/v2/live/data/",
  "live-data-port": 8020,

  // live portfolio state
  "live-cash-balance": "",
  "live-holdings": "[]",


  // parameters to set in the algorithm (the below are just samples)
  "parameters": {
    // Intrinio account user and password
    "intrinio-username": "",
    "intrinio-password": "",

    "ema-fast": 10,
    "ema-slow": 20
  },

  // specify supported languages when running regression tests
  "regression-test-languages": [ "CSharp", "Python" ],

  // Additional paths to include in python for import resolution
  "python-additional-paths": [],

  "environments": {

    // defines the 'backtesting' environment
    "backtesting": {
      "live-mode": false,
      "setup-handler": "QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler",
      "result-handler": "QuantConnect.Lean.Engine.Results.BacktestingResultHandler",
      "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed",
      "real-time-handler": "QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler",
      "history-provider": [ "QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider" ],
      "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
    },
    "live-dydx": {
      "live-mode": true,
      "live-mode-brokerage": "DydxBrokerage",
      "setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
      "result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
      "data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
      //"data-queue-handler": [ "DydxBrokerageDataQueue" ],
      "data-queue-handler": [ "DydxBrokerage" ],
      "real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
      //"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler",
      "transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.DydxBrokerageTransactionHandler"
    }
  }
}

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Here is a custom brokerage converter for dYdX in Lean, which defines specific currency conversion rules, focusing on the conversion from BTC to USD. This implementation includes error handling for unsupported currencies and integrates with the CashBook class to fetch conversion data when available.

from AlgorithmImports import *

class DydxAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Instantiate the custom dYdX currency converter
        self._converter = DydxCurrencyConverter(self)

        # Example usage to test currency conversion logic
        converted_value = self._converter.convert_to_account_currency(
            Symbol.create("BTC", SecurityType.CRYPTO, Market.GDAX), 
            1
        )
        self.debug(f"Converted 1 BTC to USD -> {converted_value}")

class DydxCurrencyConverter:
    def __init__(self, algorithm: QCAlgorithm) -> None:
        self._algorithm = algorithm
        self._cash_book = self._algorithm.portfolio.cash_book

        # Ensure we have a BTC entry in the CashBook
        if "BTC" not in self._cash_book:
            self._cash_book.add("BTC", 0, 1)

        # Example of integrating with EnsureCurrencyDataFeed
        # Build parameters that match the method signature
        market_map = {SecurityType.CRYPTO: Market.GDAX}
        changes = SecurityChanges([], [])
        # The last argument sets the default resolution
        self._cash_book["BTC"].ensure_currency_data_feed(
            self._algorithm.securities,
            self._algorithm.subscription_manager,
            market_map,
            changes,
            self._algorithm.securities,     # As the ISecurityService
            self._algorithm.account_currency,
            Resolution.MINUTE
        )

        # Hard-coded BTC->USD fallback rate used if no valid market data exists
        self._hard_coded_btc_usd_rate: float = 50000.0

    def convert_to_account_currency(self, symbol: Symbol, amount: float) -> float:
        if amount == 0.0:
            return 0.0

        currency = symbol.value.upper()
        # If the currency is already USD, just return the amount
        if currency == "USD":
            return amount

        if currency in self._cash_book:
            # Try using live conversion from the CashBook
            conversion_rate = self._cash_book[currency].conversion_rate
            if conversion_rate != 0.0:
                return amount * conversion_rate
            # If rate is zero, provide fallback for BTC or return zero for unsupported
            if currency == "BTC":
                return amount * self._hard_coded_btc_usd_rate
            else:
                self._algorithm.debug(f"No direct market data for {currency}, unsupported fallback.")
                return 0.0
        else:
            # Currency not recognized in the CashBook, fallback for BTC or error
            if currency == "BTC":
                return amount * self._hard_coded_btc_usd_rate
            else:
                self._algorithm.debug(f"Unsupported currency: {currency}")
                return 0.0

This code includes a DydxCurrencyConverter class that performs currency conversion primarily for BTC to USD using a predefined conversion rate as a fallback. It also includes necessary error handling for unsupported currencies and leverages the CashBook to ensure currency data feeds when available.

Sources: Cashbook - QuantConnect.com, Two Leg Currency Conversion Regression Algorithm, Basic Set Account Currency Algorithm, Bybit Custom Data Crypto Regression Algorithm, Requesting Data - QuantConnect.com

Mia Alissi

STAFF ,

Oilan Online

84 ,

Can you convert it to c#?

Oilan Online INVESTOR

Update Backtest

Notebook

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