Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe 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
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class CalmBlackGull(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 11)
        self.SetEndDate(2021,1,11)
        self.SetCash(100000) 
        self.symbol = self.AddEquity("SPY", Resolution.Second).Symbol
        self.window = RollingWindow[float](4)

    def OnData(self, data):
        if self.symbol in data.QuoteBars:
            spread = self.Securities[self.symbol].AskPrice-self.Securities[self.symbol].BidPrice
            self.window.Add(spread)
            self.Plot("spread plot","Spread value", spread)
        if self.window.IsReady:
           self.Debug(str(self.window[0])+"--"+str(self.window[1]))