Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
from AlgorithmImports import *
class ot(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2025, 6, 17)
        self.universe_settings.resolution = Resolution.TICK
        self._universe = self.add_universe(self.universe.dollar_volume.top(10))
        self.cutoff = time(9,32)
    def on_data(self, data: Slice):
        if self.time.time() > self.cutoff:
            return
        for symbol, ticks in data.ticks.items():
            for tick in [x for x in ticks if x.TickType == TickType.TRADE]:
                self.log(f'{self.time} : {tick} : {tick.sale_condition=} {tick.parsed_sale_condition=}')
    def on_securities_changed(self, changes):
        self.log(f"{self.time} on_securities_changed: {[k.value for k in self._universe.members.keys]}")