Placing order based on the amount of the quote currency by Vronghel

Vronghel

, edit

Hi Everyone,

I just want to know what's the best way to place an order for crypto. Its not SetHoldings but MarketOrder.

But how can I define the correct size I want for each order.

In my case i want to start with a value of circa 10USD for each order

But I'm not sure what value I need to enter of _weight to get an amount of circa 10USD for each Order.

For exmample: I got 0,12 BTC (1367,36USD) but I want an amount for eacht order circa of 10USD.

I thought I needed to give _weight the value of .009m (equals 0.9%) and 0.9% of 0.12BTC (1367,36USD) is a USD value of circa 10USD.

Is this correct?

//_weight has a value of .008m = same as 0.9%?

var qnty =(_btc, _weight) / price);

and the market order.

MarketOrder(symbol, qnty, price);

Is this the correct way to do it?

Thanks in advance,

David

Update Backtest

5 Comments

Vronghel

, ,

Accepted Answer

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Derek Melchin

STAFF ,

Hi Vronghel,

The number we pass to the MarketOrder method represents the quantity of the base currency we'd like to purchase. We can calculate this number based on the value of the quote currency though. For example, if we want to purchase ETH using $x USD worth of BTC, the quantity of ETHBTC to purchase is

quantity = x / data[self.btcusd].Price / data[self.ethbtc].Price

See the attached backtest and plots for reference.

We recommend reviewing this crypto trading course.

Best,
Derek Melchin

Vronghel

1k ,

Then it is goin to be like this?

//Calculating the quantity to buy.



  var qnty = 15 / data["USDBTC"].Price / data[symbol].Price; //15 USD

        				

        				

//Placing order.

        				

  MarketOrder(symbol, qnty);

Greetings David

Vronghel

1k ,

Hi Derek,

Thanks for the answer.

I tried to add it to my code but there is an error

Runtime Error: The ticker USDBTC was not found in the SymbolCache. Use the Symbol object as key instead

I don't want to place the ticker USDBTC in my library cause I only want the data out of it and don't want to trade it.

Check code below. I just omitted a big part of the code because of the irrelevance.

using QuantConnect.Securities.Crypto;

using QuantConnect.Data;

using QuantConnect.Data.Market;

using QuantConnect.Indicators;

namespace QuantConnect.Algorithm.CSharp

{

    public class VentralTransdimensionalChamber : QCAlgorithm

    {

    	 

    	//	Trading bot that trades with the highest and lowest exchange rate of the last 24 hours.

    	//	Buying determined bacause the factor and the current price and selling price determined by the Macd.

    	

      

    	private Dictionary<Symbol, SymbolData> _dataBySymbol;



        // VARIABELEN DECLAREREN

        



        private decimal _weight = .006m;			///Percentage van portfolio dat je wilt investeren // % of portfolio for every trade.

        private decimal usd_trade_amount = 15;

        

        private decimal _targetPercent = .01m;   //1% winst dan verkopen // Sell when 1% profit

        private decimal _stopPercent = .10m;     //verkopen bij de 10% verlies / Sell when loss is 10%

        

        //decimal _maxPosition = .006m;                  // Max USD invested

        decimal _minPosition = .07m;                  // min USD needed to invest.

        public decimal _btc;

        public string valuta = "BTC";

        public decimal _holding; 

        public string usdbtc = "USDBTC";





       

    	Resolution res = Resolution.Minute;



        //MACD variabelen

        public int RollingWindow = 5;



        RollingWindow<IndicatorDataPoint> _macdWin;

        MovingAverageConvergenceDivergence _macd;

        

        public int fast = 12;		//12

        public int slow = 26;		//26

        public int sig = 9;			//9



        

        decimal macd_change;



        

        //INITIALIZE BLOCK

        public override void Initialize()

        {

            SetStartDate(2017, 1, 1); 

            SetEndDate(2018, 1, 1);

			SetCash("BTC", 1.0m);

            SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Cash);



 

    		_dataBySymbol = new Dictionary<Symbol, SymbolData>();

    		

            foreach (var ticker in new [] {"ETHBTC", "XRPBTC","NEOBTC", "OMGBTC","XMRBTC"})  //"XRPBTC","ETHBTC","DSHBTC", "VETBTC", "NEOBTC", "OMGBTC"

            {																		

            																		//coins wel maar niet in lijst Gerry

            																		//XMRBTC

            

            	var crypto = AddCrypto(ticker, res);

            	_dataBySymbol.Add(crypto.Symbol, new SymbolData(this, crypto));

            }

            SetWarmUp(3 * SymbolData.MinutesOfTrading, res);

            //SetWarmUp(SymbolData.MinutesOfTrading, Resolution.Minute);

        }

            

        	





        // ON DATA BLOCK (waar bestanden/data binnenkomt in het programma)

        public override void OnData(Slice data)

        {

        	if (IsWarmingUp) return;

        	

        	foreach (var kvp in _dataBySymbol)

        	{

        		var symbolData = kvp.Value;

        		if (!symbolData.IsReady)

        		{

        		continue;

        		}



        		var symbol = kvp.Key;

        		if (!data.Bars.ContainsKey(symbol))

        		{

        			continue;

        		}



        		var price = data[symbol].Price;

        		var invested = Portfolio[symbol].Invested;

            	_btc = Portfolio.CashBook[valuta].Amount;



        		if (!invested && symbolData.Factor >= 3 && symbolData.LowestAverage >= price && _btc > _minPosition)

        		{



        			if (symbolData.MacdChange >= 0)

        			{

        				

        				

        				//Calculating the quantity to buy.



        				var qnty = usd_trade_amount / data[usdbtc].Price / data[symbol].Price;        //usd_trade_amount has value 15

        				Log($"Bestelhoeveelheid {qnty}");

        				

        				

        				//Placing order.

        				

        				MarketOrder(symbol, qnty);



						symbolData.TargetPrice = price * (1 + _targetPercent);   //Bepalen welke verkoopprijs bij winst (huidige prijs + 1%) // determine wich selling price at profit

						symbolData.StopPrice = price * (1 - _stopPercent);       //bepalen welke verkoopprijs bij verlies (huidige -10 %)     // determine wich selling price at loss.



        			}   				

        				

        				

        		}



                if (invested)

                {

                	

                	if (price >= symbolData.TargetPrice)

                	{

                		

                    	MarketOrder(symbol, symbolData.Holding);

               	

                	}



                	if (price < symbolData.StopPrice)

                	{

                    	MarketOrder(symbol, symbolData.Holding);

            	}	

                }

                

        	}

        }

Thanks in advance,

David

Derek Melchin

STAFF ,

Hi Vronghel,

Our data library doesn't have data for USDBTC, we should use BTCUSD instead.

The quantity formula depends on the currency we're trading. For example:

// Buy $10 of BTC

MarketOrder(btcusd, usdAmount / data[btcusd].Close);

                

 // Buy $10 of ETH

MarketOrder(ethusd, usdAmount / data[ethusd].Close);

See the attached backtest for reference.

Best,
Derek Melchin

Vronghel

1k ,

Hi Derek,

I didn't told it right I think. I'm trading altcoins with bitcoin and I'm not trading with USD or EUR.

I wanna place orders in BTC but with a USD value of circa 10 usd.

10 usd = 0.00076 btc

But for example my portfolio is 0.12 btc and I want every order in btc but with a value of circa 10 usd.

But I want to calculate the amount of bitcoin from my portfolio. So 0.12 btc * 0.0065 (weight = percentage of port I want to use for an order) = 0.00078btc and 0.00078 btc = 10.23 usd.

But how do I need to implement this in my code?

Cause when I implement it in my code I get errors like this the whole time.

"Backtest Handled Error: Order Error: id: 1186, Insufficient buying power to complete order (Value:10007413447.3689), Reason: Your portfolio holds 1 BTC, 0 BTC of which are reserved for open orders, but your Buy order is for 1008180202.36 ETH. Your order requires a total value of 11140391.236078 BTC, but only a total value of 0.996047 BTC is available."

Thanks in advance!

David