intraday-seasonality-in-bitcoin.py

# https://quantpedia.com/strategies/intraday-seasonality-in-bitcoin/
#
# The investment universe consists of Bitcoin and the data are obtained from Gemini exchange. To exploit the seasonality, open a long position in the BTC at 22:00 (UTC +0) and hold it for two hours. The position is closed after the two hour holding period.
#
# QC implementation changes:
#   - BTC data are obtained from Bitfinex exchange.

# region imports
from AlgorithmImports import *
# endregion

class OvernightSeasonalityinBitcoin(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 1)
        self.SetCash(100000)
        
        # NOTE Coinbase Pro, CoinAPI, and Bitfinex data is all set in UTC Time. This means that when accessing data from this brokerage, all data will be time stamped in UTC Time.
        self.crypto = self.AddCrypto("BTCUSD", Resolution.Minute, Market.Bitfinex)
        self.crypto.SetLeverage(10)
        self.crypto.SetFeeModel(CustomFeeModel())
        self.crypto = self.crypto.Symbol

        self.open_trade_hour:int = 22
        self.close_trade_hour:int = 0

    def OnData(self, data):
        if self.crypto in data and data[self.crypto]:
            time:datetime.datetime = self.UtcTime

            # open long position
            if time.hour == self.open_trade_hour and time.minute == 0:
                self.SetHoldings(self.crypto, 1)
            
        # close position
        if time.hour == self.close_trade_hour and time.minute == 0:
            if self.Portfolio[self.crypto].Invested:
                self.Liquidate(self.crypto)

class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
        return OrderFee(CashAmount(fee, "USD"))