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 |
namespace QuantConnect.Algorithm.CSharp { public class HorizontalVerticalAutosequencers : QCAlgorithm { string security = "MSFT"; RollingWindow<TradeBar> tradeBars; public override void Initialize() { SetCash(100000); SetStartDate(new DateTime(2020, 3, 1)); SetEndDate(new DateTime(2020, 3, 9)); AddEquity(security, Resolution.Minute); tradeBars = new RollingWindow<TradeBar>(50); SetWarmup(50); } public override void OnData(Slice data) { if(data.ContainsKey(security)){ var bar = data.Bars[security]; tradeBars.Add(bar); } if(!data.ContainsKey(security) || data[security] == null) { Debug(string.Format("Security {0} not found @ {1} and ContainsKey {2}.", security, Time, data.ContainsKey(security))); } if (IsWarmingUp) return; if(tradeBars.IsReady){ var firstBar = tradeBars.First(); var lastBar = tradeBars.Last(); var currentTrade = data.Bars[security]; Debug(string.Format("firstBar.Time: {0}, lastBar.Time {1}, currentTrade {2}", firstBar.Time, lastBar.Time, currentTrade.Time)); } } } }