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
 
class DeterminedRedOrangeButterfly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 25)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Tick).Symbol
        self.calls = 0


    def OnData(self, data):
        if not data.ContainsKey(self.symbol): 
            return
        
        self.calls += 1
        if self.calls > 10:
            self.Quit()
            return
        
        self.Log(f"OnData at {self.Time}")
        trade_ticks = []
        timestamps = []
        for tick in data.Ticks[self.symbol]:
            if tick.TickType == TickType.Trade:
                trade_ticks.append(1)
                timestamps.append(tick)        
                self.Log(f"At {self.Time}: {tick.ToString()}")
            if tick.TickType == TickType.Quote:
                trade_ticks.append(0)
                
        self.Log(f"Ticks at {self.Time}:  {trade_ticks}")
        self.Log(f"--------------------------\n")