| Overall Statistics |
|
Total Trades 2 Average Win 0.10% Average Loss 0% Compounding Annual Return 1.607% Drawdown 10.200% Expectancy 0 Net Profit 4.724% Sharpe Ratio -0.159 Probabilistic Sharpe Ratio 5.131% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.012 Beta -0.07 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio 0.03 Tracking Error 0.362 Treynor Ratio 0.144 Total Fees ₮4.03 Estimated Strategy Capacity ₮39000000.00 Lowest Capacity Asset BTCUSDT 2V3 Portfolio Turnover 0.01% |
# region imports
from AlgorithmImports import *
# endregion
class BybitBrokerageExampleAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetAccountCurrency("USDT", 100_000)
self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin)
self.symbol = self.AddCryptoFuture("BTCUSDT", Resolution.Minute).Symbol
# Set default order properties
self.DefaultOrderProperties = BybitOrderProperties()
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
self.DefaultOrderProperties.PostOnly = False
self.DefaultOrderProperties.ReduceOnly = False
def OnData(self, data):
if self.Portfolio.Invested:
return
# Place an order with the default order properties
self.MarketOrder(self.symbol, 0.1)
# Place an order with new order properties
order_properties = BybitOrderProperties()
order_properties.TimeInForce = TimeInForce.GoodTilCanceled
order_properties.PostOnly = True
order_properties.ReduceOnly = False
ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 5000, 1), orderProperties = order_properties)
# Update the order
order_fields = UpdateOrderFields()
order_fields.Quantity = -0.4
order_fields.LimitPrice = round(data[self.symbol].Price + 1000, 1)
order_fields.Tag = "Informative order tag"
response = ticket.Update(order_fields)
if not self.LiveMode and response.IsSuccess:
self.Debug("Order updated successfully")