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
-5.472
Tracking Error
0.186
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
# region imports
from AlgorithmImports import *
# endregion
class CurrencyFutureAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2019,1, 1)
        self.set_end_date(2019,1, 15)
        self._future = self.add_future("6A")
        self._future.set_filter(0,92)
        self.add_future_option(self._future, option_filter=lambda x: x.front_month().calls_only().strikes(0,1))

    def on_end_of_day(self, symbol: Symbol) -> None:
        s = self.securities[symbol]
        if s.type != SecurityType.FUTURE_OPTION:
            return
        if s.price:
            self.log(f'{symbol} -> {s.price}')