Overall Statistics |
Total Trades 2 Average Win 0.49% Average Loss 0% Compounding Annual Return 11.394% Drawdown 15.100% Expectancy 0 Net Profit 10.564% Sharpe Ratio 0.612 Probabilistic Sharpe Ratio 31.660% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.088 Beta 0.203 Annual Standard Deviation 0.143 Annual Variance 0.02 Information Ratio -1.406 Tracking Error 0.554 Treynor Ratio 0.432 Total Fees $23.53 Estimated Strategy Capacity $2200000.00 Lowest Capacity Asset BTCUSD 2MN |
namespace QuantConnect.Algorithm.CSharp { public class FTXBrokerageExampleAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2021, 1, 1); SetCash(100000); SetBrokerageModel(BrokerageName.FTX, AccountType.Margin); _symbol = AddCrypto("BTCUSD", Resolution.Minute).Symbol; // Set default order properties DefaultOrderProperties = new FTXOrderProperties { TimeInForce = TimeInForce.Day, ReduceOnly = false, PostOnly = false }; } public override void OnData(Slice data) { if (Portfolio.Invested) { return; } // Place an order with the default order properties MarketOrder(_symbol, 1); // Place an order with new order properties var orderProperties = new FTXOrderProperties { TimeInForce = TimeInForce.GoodTilCanceled, ReduceOnly = true, PostOnly = true }; var ticket = LimitOrder(_symbol, -0.5, Math.Round(data[_symbol].Price + 5000, 0), orderProperties: orderProperties); // If we try to call `Update`, an exception is raised // ticket.Update(...) // Update the order ticket.Cancel(); LimitOrder(_symbol, -0.5, Math.Round(data[_symbol].Price + 1000, 0), orderProperties: orderProperties); } } }