| 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 |
class BitfinexBrokerageExampleAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetCash(100000)
self.SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin)
self.symbol = self.AddCrypto("BTCUSD", Resolution.Minute).Symbol
# Set default order properties
self.DefaultOrderProperties = BitfinexOrderProperties()
self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
self.DefaultOrderProperties.Hidden = False
self.DefaultOrderProperties.PostOnly = False
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 = BitfinexOrderProperties()
order_properties.TimeInForce = TimeInForce.GoodTilCanceled
order_properties.PostOnly = True
order_properties.Hidden = True
ticket = self.LimitOrder(self.symbol, -0.5, round(data[self.symbol].Price + 5000, 2), orderProperties = order_properties)
# Update the order
order_fields = UpdateOrderFields()
order_fields.Quantity = -0.4
order_fields.LimitPrice = round(data[self.symbol].Price + 1000, 2)
order_fields.Tag = "Informative order tag"
response = ticket.Update(order_fields)
if not self.LiveMode and response.IsSuccess:
self.Debug("Order updated successfully")