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Here is the backtest I used.
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Gage Riley Coon
Here is where I was directed: Reality Modeling
I am still having issues implementing this into my code, but there is the section you are looking for.
Amandeep Singh
I think I am going to Bitfinex for now. The brokerage thing works with that. I just added this line and changed the exchange of my symbols.
self.SetBrokerageModel(BrokerageName.Bitfinex , AccountType.Margin)
Derek Melchin
Hi Amandeep,
To include fees when using securities from the GDAX market, we need to call
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)The GDAX brokerage does not currently support margin trading, so it can only be used in the Algorithm Framework when we use the NullPortfolioConstructionModel and the NullExecutionModel. Using these models in a backtest ensures the algorithm won't place any trades.
To resolve this, we can either switch the market to Bitfinex or alter the code to follow the classic algorithm design. See the attached backtest for an example of the former.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Amandeep Singh
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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