| Overall Statistics |
|
Total Trades 2 Average Win 0.35% Average Loss 0% Compounding Annual Return 10.689% Drawdown 17.200% Expectancy 0 Net Profit 10.653% Sharpe Ratio 0.528 Probabilistic Sharpe Ratio 27.765% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.086 Beta 0.238 Annual Standard Deviation 0.164 Annual Variance 0.027 Information Ratio -1.235 Tracking Error 0.517 Treynor Ratio 0.364 Total Fees $82.67 Estimated Strategy Capacity $4500000.00 Lowest Capacity Asset BTCUSD E3 |
namespace QuantConnect.Algorithm.CSharp
{
public class BitfinexBrokerageExampleAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetCash(100000);
SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin);
_symbol = AddCrypto("BTCUSD", Resolution.Minute).Symbol;
// Set default order properties
DefaultOrderProperties = new BitfinexOrderProperties
{
TimeInForce = TimeInForce.Day,
Hidden = 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 BitfinexOrderProperties {
TimeInForce = TimeInForce.GoodTilCanceled,
PostOnly = true,
Hidden = true
};
var ticket = LimitOrder(_symbol, -0.5m, Math.Round(data[_symbol].Price + 5000, 2), orderProperties: orderProperties);
// Update the order
var response = ticket.Update(new UpdateOrderFields() {
Quantity = -0.4m,
LimitPrice = Math.Round(data[_symbol].Price + 1000, 2),
Tag = "Informative order tag"
});
if (!LiveMode && response.IsSuccess)
{
Debug("Order updated successfully");
}
}
}
}