Overall Statistics
Total Trades
23
Average Win
0%
Average Loss
0%
Compounding Annual Return
8.882%
Drawdown
0.100%
Expectancy
0
Net Profit
0.062%
Sharpe Ratio
12.971
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0.03
Beta
2.363
Annual Standard Deviation
0.004
Annual Variance
0
Information Ratio
11.01
Tracking Error
0.004
Treynor Ratio
0.022
Total Fees
$23.00
 
import datetime
class BasicTemplateAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2014, 10, 15) 
        #Set Start Date
        self.SetEndDate(2014, 10, 18)
        #Set End Date
        self.SetCash(100000)
        #Set Strategy Cash
        self.AddEquity("SPY", Resolution.Minute)
        self.openLimitOrders = []

    def OnData(self, data):
        open_orders = self.Transactions.GetOpenOrders("SPY")
        if len(open_orders) == 0:
            limitOrderTicket = self.LimitOrder("SPY", 1, float(self.Securities["SPY"].Price)*0.982)
            self.limitOrderSubmitTime = self.Time
            self.openLimitOrders.append(limitOrderTicket)
        if len(self.openLimitOrders) == 1 and self.openLimitOrders[0].Status == OrderStatus.Submitted:
            # if over 15 minutes since the limit order was submitted
            if self.Time > self.limitOrderSubmitTime + datetime.timedelta(minutes=15):
                self.Transactions.CancelOpenOrders("SPY") # cancle the limit order
                self.MarketOrder("SPY", 1) # sumbit the market order
                self.openLimitOrders = []