Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
10000000.00
End Equity
9997946.43
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
₮207.05
Estimated Strategy Capacity
₮8200000.00
Lowest Capacity Asset
BTCUSDT 18R
Portfolio Turnover
2.07%
Drawdown Recovery
0
 
# region imports
from AlgorithmImports import *
# endregion

class UglyFluorescentYellowMosquito(QCAlgorithm):
    def initialize(self):


        self.RESOLUTION = Resolution.MINUTE

        #parameters for grid

        self.num_grid = 20
        self.upper = 123000
        self.lower = 116000


        self.set_start_date(2025, 8, 10)
        self.set_end_date(2025,8,12)

        
        self.set_account_currency("USDT", 10000000)
        self.set_cash("CASH",10000000)
        self.set_brokerage_model(BrokerageName.BINANCE)
        future = self.add_crypto_future("BTCUSDT", fill_forward = True, market=Market.BINANCE, )
        
        self._future = future.symbol


        self.Range = self.upper - self.lower
        self.gridchange = self.Range/self.num_grid

        self.daily_history = self.history(self._future,1,Resolution.DAILY)
        if self.daily_history.empty == False:
            current_price = float(self.daily_history['close'].iloc[-1])
            
        self.sell_price = []
        self.buy_price = []

        for i in range(self.num_grid):
            if self.lower + i*self.gridchange < current_price:
                self.buy_price.append(self.lower + i*self.gridchange)
            elif self.lower + i*self.gridchange > current_price:
                self.sell_price.append(self.lower + i*self.gridchange)
    
    def on_data(self, slice: Slice):

        if not (self._future in slice.bars):
            return
        future_price = slice.bars[self._future].price
        try:
            if future_price < max(self.buy_price):
                quantity = self.calculate_order_quantity(self._future, 0.1)
                self.market_order(self._future,1)
                self.debug(str(future_price) + "bought")
                self.buy_price.pop()
            elif future_price > min(self.sell_price):
                quantity = self.calculate_order_quantity(self._future,0.1)
                self.market_order(self._future,1)
                self.debug(str(future_price) + "sold")
                self.sell_price.pop(0)
        except:
            pass