Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000.00
End Equity
100000
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
1.194
Tracking Error
0.156
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class QuoteTickConsolidator(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 7, 20)
        self.set_cash(100000)

        # Create a dict of consolidator keyed by Symbol
        self.consolidators = dict(self.add_forex_and_tick_consolidator(ticker)
            for ticker in ["EURUSD", "USDJPY", "GBPUSD", "USDCHF", "USDCAD", "AUDUSD", "NZDUSD"])

    def add_forex_and_tick_consolidator(self, ticker):
        symbol = self.add_forex(ticker, Resolution.TICK).symbol
        consolidator = self.consolidate(symbol, timedelta(minutes=1), TickType.Quote, self.consolidation_handler)
        return symbol, consolidator

    def consolidation_handler(self, quote_bar):
        pass