Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe 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
-3.281
Tracking Error
0.16
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class VirtualBlackBeaver(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021,3, 1) 
        self.SetEndDate(2021,3,17)
        self.SetCash(100000) 
        tickers = ['OCGN','EXPR','SOLO','RIDE','GOTU','SPCE','HYLN','CLOV','ATOS','NKLA','XXII','VTNRV']
        self.Equities = []
        self.spreads = {}
        for Symbol in tickers:
            symbol = self.AddEquity(Symbol, Resolution.Second).Symbol
             
            self.Equities.append(symbol)
            self.spreads[symbol] = RollingWindow[float](2)

    def OnData(self, data):
        
        for Symbol in self.Equities:
            if Symbol not in data.Bars:continue
            AskPrice = self.Securities[Symbol].AskPrice
            BidPrice = self.Securities[Symbol].BidPrice
            Spread = (AskPrice - BidPrice)
            self.spreads[Symbol].Add(Spread)
            if self.spreads[Symbol].IsReady:
                if self.spreads[Symbol][0] == self.spreads[Symbol][1]:
                    self.Debug("spread same at "+str(self.Time))