Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 1.677% Drawdown 0.500% Expectancy 0 Net Profit 1.560% Sharpe Ratio 1.408 Probabilistic Sharpe Ratio 67.498% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0.008 Annual Variance 0 Information Ratio 1.408 Tracking Error 0.008 Treynor Ratio 0 Total Fees $2.00 Estimated Strategy Capacity $2600000.00 Lowest Capacity Asset SPY R735QTJ8XC9X |
class InteractiveBrokersBrokerageExampleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 1, 1) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) self.symbol = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours = True).Symbol # Set default order properites self.DefaultOrderProperties = InteractiveBrokersOrderProperties() self.DefaultOrderProperties.Account = "TestAccount1" # Only for FA accounts self.DefaultOrderProperties.FaProfile = "TestProfile1" # Only for FA accounts self.DefaultOrderProperties.FaGroup = "TestGroup1" # Only for FA accounts self.DefaultOrderProperties.FaMethod = "EqualQuantity" # Only for FA accounts self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled self.DefaultOrderProperties.OutsideRegularTradingHours = False def OnData(self, data): if self.Portfolio.Invested: return # Place an order with the default order properties self.LimitOrder(self.symbol, 10, data[self.symbol].Price + 10) # Place an order and with new order properties orderProperties = InteractiveBrokersOrderProperties() orderProperties.Account = "TestAccount2" # Only for FA accounts orderProperties.FaProfile = "TestProfile2" # Only for FA accounts orderProperties.FaGroup = "TestGroup2" # Only for FA accounts orderProperties.FaMethod = "NetLiq" # Only for FA accounts orderProperties.OutsideRegularTradingHours = True ticket = self.LimitOrder(self.symbol, 10, round(data[self.symbol].Price * .9, 2), orderProperties = orderProperties) # Update the order update_fields = UpdateOrderFields() update_fields.Quantity = 8 update_fields.LimitPrice = round(data[self.symbol].Price + 10, 2) update_fields.Tag = "Informative order tag" response = ticket.Update(update_fields) if not self.LiveMode and response.IsSuccess: self.Debug("Order updated successfully")