Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0.006%
Drawdown
0.100%
Expectancy
0
Net Profit
0.037%
Sharpe Ratio
0.254
Probabilistic Sharpe Ratio
2.017%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-0.587
Tracking Error
0.162
Treynor Ratio
0.344
Total Fees
$0.00
namespace QuantConnect 
{
public partial class Base
{
	public class Alpha_BTCUSD : AlphaModel
    {   
    	private readonly Symbol _symbol;
        public Alpha_BTCUSD(Symbol symbol)
        {
            _symbol = symbol;
        }

		public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
        {  
	        foreach (var SY1D in D1D.Values)
	        {
	            if (SY1D.BQIsReady && SY1D.WasJustUpdated(algorithm.Time))
	            {
	            	algorithm.Debug("dgssdff" + SY1D.Symbol);
	            	if (SY1D.Symbol.Equals("BTCUSD"))
	            	{
	            		var prices_ASK_Open = SY1D.BQ.Select(x => x.Ask.Open).ToList();
	            		
	            		algorithm.Debug("dgssdff" + prices_ASK_Open[0]);
						
	                         yield return Insight.Price(SY1D.Symbol, Resolution.Daily, 7, InsightDirection.Down);
	                         algorithm.MarketOrder(SY1D.Symbol, 1, false, "BTCUSD_OCO1_Entry_TP1");
	                         yield break;
	                 }

	            }
	        }
	    }
	}
}
}
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Selection;

namespace QuantConnect
{   
    public partial class Base : QCAlgorithm
    {
        public QCAlgorithm algorithm {get; set;}

        public static TimeSpan BP1m = TimeSpan.FromMinutes(1);
        public readonly int SMAP = 6;
        public static int RLLWS = 1440;
        
        public static Symbol _BTCUSD;

        public static Dictionary<string, SY1D> D1D = new Dictionary<string, SY1D>();

        public override void Initialize()
	    {
	        SetStartDate(2014, 7, 1);         
	        SetEndDate(DateTime.Now - TimeSpan.FromDays(1));
	        
	        SetAccountCurrency("USD");
	        SetCash("USD", 25000000);
	        SetCash("BTC", 1m);

	        //SetBrokerageModel(BrokerageName.FxcmBrokerage);
	        SetBrokerageModel(BrokerageName.AlphaStreams);

            _BTCUSD = "BTCUSD";
            var BTCUSD_crypto = AddCrypto("BTCUSD", Resolution.Minute, Market.Bitfinex);
            D1D.Add(_BTCUSD, new SY1D(BTCUSD_crypto.Symbol, BP1m, RLLWS));

	        foreach (var kvp in D1D)
	        {
	            var SY1D = kvp.Value;
	            var consolidator1D_Q = (IDataConsolidator)new QuoteBarConsolidator(BP1m);

	            consolidator1D_Q.DataConsolidated += (sender, baseData) =>
	            {
	                var bar = (QuoteBar)baseData;
	                SY1D.BQ.Add(bar);
	            };
	            SubscriptionManager.AddConsolidator(SY1D.Symbol, consolidator1D_Q);
	        }

	        AddAlpha(new Alpha_BTCUSD(_BTCUSD));

	    }

	    public override void OnOrderEvent(OrderEvent orderEvent)
	    {
	    	Debug(Time + " " + orderEvent);
	    }

        public void OnInsightsGeneratedVerifier(IAlgorithm algorithm, GeneratedInsightsCollection insightsCollection)
    	{
	        if (insightsCollection.Insights.Count(insight => insight.Symbol.Value.Equals("BTCUSD")) != 1)
	        {
	            throw new Exception("Unexpected insights were emitted");
	        }
        }
    }
    
    public class SY1D
    {
        public readonly Symbol Symbol;
        public readonly RollingWindow<QuoteBar> BQ;
        public readonly TimeSpan BP1m;
        public SimpleMovingAverage SMA;

        public SY1D(Symbol symbol, TimeSpan bP1m, int RLLWS)
        {
            Symbol = symbol;
            BP1m = bP1m;
            BQ = new RollingWindow<QuoteBar>(RLLWS);
        }
        
        public bool BQIsReady
        {
            get {return BQ.IsReady;}
        }

        public bool WasJustUpdated(DateTime current)
        {
            return BQ.Count > 0 && BQ[0].Time == current - BP1m;
        }
    }
}