| Overall Statistics |
|
Total Trades 2 Average Win 0.10% Average Loss 0% Compounding Annual Return 1.607% Drawdown 10.200% Expectancy 0 Net Profit 4.724% Sharpe Ratio -0.159 Probabilistic Sharpe Ratio 5.131% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.012 Beta -0.07 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio 0.03 Tracking Error 0.362 Treynor Ratio 0.144 Total Fees â‚®4.03 Estimated Strategy Capacity â‚®39000000.00 Lowest Capacity Asset BTCUSDT 2V3 Portfolio Turnover 0.01% |
#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
public class BybitBrokerageExampleAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetAccountCurrency("USDT", 100_000);
SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin);
_symbol = AddCryptoFuture("BTCUSDT", Resolution.Minute).Symbol;
// Set default order properties
DefaultOrderProperties = new BybitOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
PostOnly = false,
ReduceOnly = false
};
}
public override void OnData(Slice data)
{
if (Portfolio.Invested)
return;
// Place an order with the default order properties
MarketOrder(_symbol, 0.1);
// Place an order with new order properties
var orderProperties = new BybitOrderProperties
{
TimeInForce = TimeInForce.GoodTilCanceled,
PostOnly = true,
ReduceOnly = false
};
var ticket = LimitOrder(_symbol, -0.5m, Math.Round(data[_symbol].Price + 5000, 1), orderProperties: orderProperties);
// Update the order
var orderFields = new UpdateOrderFields
{
Quantity = -0.4m,
LimitPrice = Math.Round(data[_symbol].Price + 1000, 1),
Tag = "Informative order tag"
};
var response = ticket.Update(orderFields);
if (!LiveMode && response.IsSuccess)
{
Debug("Order updated successfully");
}
}
}