| Overall Statistics |
|
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 1.071% Drawdown 2.100% Expectancy 0 Start Equity 100000 End Equity 104230.05 Net Profit 4.230% Sharpe Ratio -2.346 Sortino Ratio -2.756 Probabilistic Sharpe Ratio 25.919% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.029 Beta 0.074 Annual Standard Deviation 0.01 Annual Variance 0 Information Ratio -0.768 Tracking Error 0.127 Treynor Ratio -0.325 Total Fees $0.00 Estimated Strategy Capacity $37000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.00% |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
using QuantConnect.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Storage;
using QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class CharlesSchwabBrokerageExampleAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetCash(100000);
SetBrokerageModel(BrokerageName.CharlesSchwab, AccountType.Margin);
_symbol = AddEquity("SPY", Resolution.Minute).Symbol;
// Set default order properties
DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled;
}
public override void OnData(Slice data)
{
if (Portfolio.Invested)
{
return;
}
// Place an order with the default order properties
LimitOrder(_symbol, 10, data[_symbol].Price + 10);
// Place an order and with new order properties
var orderProperties = new CharlesSchwabOrderProperties
{
TimeInForce = TimeInForce.Day,
ExtendedRegularTradingHours = true
};
var ticket = LimitOrder(_symbol, 10, Math.Round(data[_symbol].Price * 0.9m, 2), orderProperties: orderProperties);
// Update the order
var updateFields = new UpdateOrderFields {
Quantity = 8,
LimitPrice = Math.Round(data[_symbol].Price + 10, 2),
Tag = "Informative order tag"
};
var response = ticket.Update(updateFields);
if (!LiveMode && response.IsSuccess)
{
Debug("Order updated successfully");
}
}
}
}