How to Manage Multiple Currencies and Cash Balances in Your Strategy

To manage different currency accounts (like USD and USDT) in QuantConnect, you utilize the CashBook feature. The LEAN engine is designed as a multi-currency platform, allowing you to hold, trade, and track assets quoted in different currencies simultaneously.

Here is a complete strategy example demonstrating how to initialize multiple currencies, access their specific balances, and execute trades that utilize those specific currencies.

Key Concepts

1. set_account_currency: Defines the "Base Currency" of your algorithm. All portfolio statistics (Total Portfolio Value, Drawdown) are converted to this currency for reporting.
2. set_cash: You can call this multiple times with different currency strings to seed your initial portfolio with various cash holdings.
3. self.portfolio.cash_book: A dictionary-like object containing all your currency holdings. You can access specific currencies (e.g., ["USDT"]) to check amounts.
4. Quote Currency: When you trade a pair like BTCUSDT, the engine automatically uses the USDT from your CashBook to settle the trade.

Python Implementation

# region imports
from AlgorithmImports import *
# endregion

class MultiCurrencyManagementAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2023, 1, 1)
        self.set_end_date(2023, 1, 5)
        
        # 1. Set the Brokerage Model
        # We use Binance here as it supports multi-currency crypto accounts (USDT, BUSD, BTC, etc.)
        self.set_brokerage_model(BrokerageName.BINANCE, AccountType.CASH)

        # 2. Set the Reporting (Base) Currency
        # This is the currency your total portfolio value will be displayed in.
        self.set_account_currency("USD")

        # 3. Seed the CashBook with multiple currencies
        # We start with $10,000 USD and 10,000 USDT
        self.set_cash("USD", 10000)
        self.set_cash("USDT", 10000)

        # 4. Add Assets
        # BTCUSDT is quoted in USDT. Buying this will consume USDT.
        self.btc_usdt = self.add_crypto("BTCUSDT", Resolution.MINUTE).symbol
        
        # BTCUSD is quoted in USD. Buying this will consume USD.
        self.btc_usd = self.add_crypto("BTCUSD", Resolution.MINUTE).symbol

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            # Check specific currency balances before trading
            usdt_cash = self.portfolio.cash_book["USDT"].amount
            usd_cash = self.portfolio.cash_book["USD"].amount
            
            self.log(f"Initial Balances -> USD: {usd_cash}, USDT: {usdt_cash}")

            # Buy BTC using USDT
            # This order uses the USDT balance because the pair is BTC/USDT
            if usdt_cash > 1000:
                self.set_holdings(self.btc_usdt, 0.5) # Allocate 50% of Total Portfolio Value
                self.debug("Purchased BTCUSDT (Consumes USDT)")

    def on_order_event(self, order_event: OrderEvent):
        if order_event.status == OrderStatus.FILLED:
            # Log the fill details
            self.debug(f"Order Filled: {order_event}")
            
            # 5. Monitor Cash Changes
            # After the trade, check the CashBook to see the USDT reduction
            usdt_record = self.portfolio.cash_book["USDT"]
            usd_record = self.portfolio.cash_book["USD"]
            
            self.log(f"Post-Trade Balances:")
            self.log(f"USD Amount: {usd_record.amount} (Value in Base: ${usd_record.value_in_account_currency})")
            self.log(f"USDT Amount: {usdt_record.amount} (Value in Base: ${usdt_record.value_in_account_currency})")
            
            # Note: value_in_account_currency automatically converts USDT to USD 
            # using the current conversion rate for reporting purposes.

Detailed Breakdown

1. Accessing Specific Balances

You do not need to manually calculate how much USDT you have. You can access it directly via the CashBook:

# Get the quantity of USDT tokens
usdt_amount = self.portfolio.cash_book["USDT"].amount

# Get the value of your USDT holdings converted to your base currency (e.g., USD)
usdt_value_in_usd = self.portfolio.cash_book["USDT"].value_in_account_currency

2. Currency Conversion Rates

LEAN automatically handles the conversion rates required to calculate your self.portfolio.total_portfolio_value.

• If your base currency is USD.
• And you hold USDT.
• LEAN looks for a conversion pair (like USDTUSD or derived via BTCUSDT and BTCUSD) to determine how much that USDT is worth in USD for the final statistics.

3. Trading Logic

When you place an order, LEAN looks at the Quote Currency of the symbol:

• Symbol: BTCUSDT
• Base Currency: BTC
• Quote Currency: USDT
• Action: Buying BTCUSDT increases your BTC holdings and decreases your USDT cash balance. Your USD cash balance remains untouched.

Common Pitfall: Insufficient Currency

If you try to buy BTCUSDT but only have USD in your cashbook (and 0 USDT), the order may be rejected depending on the brokerage model, or LEAN might attempt to perform an automatic currency conversion if the brokerage supports it (e.g., Oanda for Forex). For Crypto brokerages like Binance or Bitfinex, you generally must hold the specific quote currency to trade the pair.

Q&A

Q: Can I change the base currency of my algorithm to USDT?
A: Yes. Use self.set_account_currency("USDT") in initialize. All your profit/loss statistics and charts will then be denominated in Tether.

Q: How do I convert USD to USDT programmatically?
A: You must submit a trade for a pair that bridges the two currencies. For example, if you have USD and want USDT, you would buy the pair USDTUSD (if available) or sell USDUSDT. In crypto markets, you often trade stablecoin pairs like USDCUSDT.

Q: What happens if I don't set a specific cash amount for a currency?
A: The balance defaults to 0. If you attempt to buy a security quoted in a currency you don't possess (and you are in a Cash account), the order will be invalid due to insufficient buying power.

Q: Does self.portfolio.cash return USD or USDT?
A: self.portfolio.cash returns the estimated cash value of all your currency holdings converted into your algorithm's Account Currency (Base Currency). To get the specific amount of tokens/dollars in a specific wallet, you must use self.portfolio.cash_book["SYMBOL"].amount.