Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 0.281% Drawdown 0.100% Expectancy 0 Net Profit 0.262% Sharpe Ratio 1.48 Probabilistic Sharpe Ratio 70.552% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0 Beta 0.012 Annual Standard Deviation 0.001 Annual Variance 0 Information Ratio -1.698 Tracking Error 0.104 Treynor Ratio 0.157 Total Fees $0.00 Estimated Strategy Capacity $2700000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class TradierBrokerageExampleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 1, 1) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.TradierBrokerage, AccountType.Margin) self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol # Set default order properties self.DefaultOrderProperties.TimeInForce = TimeInForce.Day def OnData(self, data): if self.Portfolio.Invested: return # Place an order with the default order properties self.MarketOrder(self.symbol, 1) # Place an order with new order properties order_properties = OrderProperties() order_properties.TimeInForce = TimeInForce.GoodTilCanceled ticket = self.LimitOrder(self.symbol, 1, data[self.symbol].Price * 0.9, orderProperties = order_properties) # Update the order quantity ticket.Cancel() ticket = self.LimitOrder(self.symbol, 2, data[self.symbol].Price * 0.9, orderProperties = order_properties) # Update the order fields that are not the quantity update_fields = UpdateOrderFields() update_fields.LimitPrice = data[self.symbol].Price * 1.05 update_fields.Tag = "Informative order tag" response = ticket.Update(update_fields) if not self.LiveMode and response.IsSuccess: self.Debug("Order updated successfully")