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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class FormalYellowGreenCat(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 10, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Tick).Symbol
        consolidator = TickConsolidator(timedelta(minutes=1))
        consolidator.DataConsolidated += self.ConsolidatedBarHandler
        self.SubscriptionManager.AddConsolidator(self.spy, consolidator)
        self.data = None

    def OnData(self, data):
        self.data = data
    
    def ConsolidatedBarHandler(self, sender, bar):
        if self.Time.hour == 15 and self.Time.minute == 30:
            self.Debug(bar.Close)
            
            # First tick
            if self.data.ContainsKey(self.spy):
                ticks = self.data.Ticks[self.spy]
                last_price = ticks[0].LastPrice
                self.Debug(ticks[0].LastPrice)
            else:
                self.Debug("no data 1")
            
            # Submit a crazy amount of SPY orders
            self.orderticket = self.LimitOrder(self.spy, 999, self.Securities[self.spy].Close)
            
            # Second tick
            if self.data.ContainsKey(self.spy):
                ticks = self.data.Ticks[self.spy]
                ast_price = ticks[0].LastPrice
                self.Debug(ticks[0].LastPrice)
            else:
                self.Debug("no data 2")
            
    def OnOrderEvent(self, orderevent):
        if orderevent.Status == OrderStatus.PartiallyFilled:
            pass # How do I update the order price here? If possible.