| 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 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 |
from QuantConnect.Python import PythonData
from dateutil import parser
import decimal
class CustomLocalFile(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource(
self.url,
SubscriptionTransportMedium.RemoteFile
)
def Reader(self, config, line, date, isLiveMode):
local_data = CustomLocalFile()
local_data.Symbol = config.Symbol
local_data.Time = parser.parse('2015-01-02 09:36')
# local_data.EndTime = local_data.Time + timedelta(minutes=1)
local_data.Value = decimal.Decimal(1)
local_data["Close"] = 1.0
local_data["Open"] = 2.0
local_data["High"] = 3.0
local_data["Low"] = 4.0
return local_data
class LocalVix(CustomLocalFile):
url = 'file:///etc/resolv.conf'
class GaboTrainingIntradayVix(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 1, 2)
self.SetEndDate(2015, 1, 3)
self.SetCash(100000)
self.AddData(LocalVix, "VIX", Resolution.Minute)
self.Schedule.On(
self.DateRules.EveryDay('VIX'),
self.TimeRules.At(9, 37),
Action(self._trade),
)
def OnData(self, data):
pass
def _trade(self):
# history_minute = self.History(["XIV"], 3, Resolution.Minute)
self.Log("time: %s" % self.Time)
self.Log('Working with history')
self.Log(str(self.History(["VIX"], 2, Resolution.Minute)))
self.Log('Working with self.Securities')
self.Log('Close=%.2f - Open=%.2f - High=%.02f - Low=%.02f' % (
self.Securities['VIX'].Close,
self.Securities['VIX'].Open,
self.Securities['VIX'].High,
self.Securities['VIX'].Low,
)
)
pass