Fix dydx holdings value

Algorithm.CSharp/DYDXCryptoFuturesRegressionAlgorithm.cs

@@ -0,0 +1,128 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Securities.CryptoFuture;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting DYDX Crypto Future support
+    /// </summary>
+    public class DYDXCryptoFuturesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private CryptoFuture _cryptoFuture;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2026, 1, 1);
+            SetEndDate(2026, 1, 1);
+
+            SetBrokerageModel(Brokerages.BrokerageName.DYDX, AccountType.Margin);
+            _cryptoFuture = AddCryptoFuture("BTCUSD");
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                Buy("BTCUSD", 1);
+            }
+            else
+            {
+                if (Math.Abs(Portfolio.TotalFees - Portfolio.TotalHoldingsValue * 0.0005m) > 1
+                    || Math.Abs(Portfolio.TotalFees - _cryptoFuture.Price * 0.0005m) > 1)
+                {
+                    throw new RegressionTestException("Unexpected fees value!");
+                }
+                if (Math.Abs(Portfolio.TotalHoldingsValue - _cryptoFuture.Price) > 1)
+                {
+                    throw new RegressionTestException("Unexpected holdings value!");
+                }
+                Quit();
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 5;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 15;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99929.57"},
+            {"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", "$43.71"},
+            {"Estimated Strategy Capacity", "$33000.00"},
+            {"Lowest Capacity Asset", "BTCUSD 38Z"},
+            {"Portfolio Turnover", "87.48%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "637a937cda83ce88d29a3b279832401d"}
+        };
+    }
+}

Common/Orders/Fees/dYdXFeeModel.cs

@@ -14,7 +14,6 @@
  */
 
 using QuantConnect.Securities;
-using QuantConnect.Util;
 
 namespace QuantConnect.Orders.Fees;
 

Common/Securities/CryptoFuture/CryptoFutureHolding.cs

@@ -40,6 +40,11 @@ public CryptoFutureHolding(Security security, ICurrencyConverter currencyConvert
         /// <returns>The value of the quantity of shares in the account currency</returns>
         public override ConvertibleCashAmount GetQuantityValue(decimal quantity, decimal price)
         {
+            if (Symbol.ID.Market == Market.DYDX)
+            {
+                // common math quantity * quote price
+                return base.GetQuantityValue(quantity, price);
+            }
             var cryptoFuture = (CryptoFuture)Security;
 
             Cash cash;