Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
10000.00
End Equity
10000
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
1.291
Tracking Error
0.369
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
from AlgorithmImports import *

class BtcUsdtGapRepro(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2022, 3, 5)
        self.set_end_date(2022, 3, 9)
        self.set_cash(10000)
        self.set_time_zone(TimeZones.UTC)
        self.symbol = self.add_crypto_future(
            "BTCUSDT", Resolution.HOUR, Market.BINANCE, fill_forward=False
        ).symbol
        self.count = 0
        self.last_time = None

    def on_data(self, slice: Slice):
        self.count += 1
        has_bar = self.symbol in slice.bars
        bar_time = slice.bars[self.symbol].end_time if has_bar else None
        self.log(f"ONDATA time={self.time} has_bar={has_bar} bar_end_time={bar_time}")
        self.last_time = self.time

    def on_end_of_algorithm(self):
        self.log(f"TOTAL_ONDATA_CALLS={self.count} LAST_TIME={self.last_time} ALGO_END={self.end_date}")