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
-2.817
Tracking Error
0.069
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class TestAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 12, 30)
        self.SetEndDate(2023, 1, 4)
        self.SetCash(300000)

        self.spy = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours=True).Symbol

        self.consolidator = TradeBarConsolidator(self.consolidation_period)
        self.consolidator.DataConsolidated += self.consolidation_handler
        self.SubscriptionManager.AddConsolidator(self.spy, self.consolidator)

    def consolidation_period(self, dt: datetime) -> CalendarInfo:
        return CalendarInfo(dt.date(), timedelta(hours=9, minutes=30))

    def consolidation_handler(self, sender, bar):
        endtime = bar.EndTime
        if endtime.hour == 9 and endtime.minute == 30:
            self.Log(f"{bar.Time}:{endtime} :: {bar.ToString()}")