Overall Statistics
Total Trades
1
Average Win
0%
Average Loss
0%
Compounding Annual Return
22.516%
Drawdown
0.300%
Expectancy
0
Net Profit
0%
Sharpe Ratio
4.37
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.001
Beta
0.156
Annual Standard Deviation
0.03
Annual Variance
0.001
Information Ratio
-4.409
Tracking Error
0.163
Treynor Ratio
0.843
Total Fees
$1.00
 
namespace QuantConnect 
{   
    public class BasicMarketOnCloseOrderAlgorithm : QCAlgorithm
    {
    	private bool _send = true;
        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
        
        
        public override void Initialize()
        {
            SetStartDate(2013, 10, 07);  //Set Start Date
            SetEndDate(2013, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
            // Find more symbols here: http://quantconnect.com/data
            AddEquity("SPY", Resolution.Second);
        }

        public override void OnData(Slice data)
        {
            if (_send)
            {
                MarketOnCloseOrder(_spy, 100);
                Debug("Order sent at " + Time);
                _send = false;
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (!orderEvent.Status.IsFill()) return;
            Debug("Order filled at " + Time);
        }
    }
}