| Overall Statistics |
|
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 44.096% Drawdown 41.700% Expectancy 0 Net Profit 40.493% Sharpe Ratio 0.923 Probabilistic Sharpe Ratio 39.440% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.145 Beta 0.661 Annual Standard Deviation 0.461 Annual Variance 0.213 Information Ratio -1.815 Tracking Error 0.241 Treynor Ratio 0.644 Total Fees $122.73 Estimated Strategy Capacity $290000.00 Lowest Capacity Asset BTCUSD 10B |
class KrakenBrokerageExampleAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(100000)
self.SetBrokerageModel(BrokerageName.Kraken, AccountType.Cash)
self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol
# Set default order properites
self.DefaultOrderProperties = KrakenOrderProperties()
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
self.DefaultOrderProperties.PostOnly = False
self.DefaultOrderProperties.FeeInBase = False
self.DefaultOrderProperties.FeeInQuote = True
self.DefaultOrderProperties.NoMarketPriceProtection = True
def OnData(self, data):
if self.Portfolio.Invested:
return
# Place an order with the default order properties
self.LimitOrder(self.symbol, 1, round(data[self.symbol].Price + 100, 1))
# Place an order and with new order properties
order_properties = KrakenOrderProperties()
order_properties.PostOnly = True
order_properties.FeeInBase = True
order_properties.FeeInQuote = False
order_properties.NoMarketPriceProtection = False
ticket = self.LimitOrder(self.symbol, 1, round(data[self.symbol].Price * .9, 1), orderProperties = order_properties)
# If we try to call `Update`, an exception is raised
# ticket.Update()
# Update the order
ticket.Cancel()
order_properties.ConditionalOrder = MarketOrder(self.symbol, -1)
self.LimitOrder(self.symbol, 1, round(data[self.symbol].Price * .99, 1), orderProperties = order_properties)
def OnOrderEvent(self, order_event):
if order_event.Status == OrderStatus.Filled:
self.Debug(f"Order fee: {order_event.OrderFee}") # The fees are paid in different currencies if we flip FeeInBase and FeeInQuote