| Overall Statistics |
|
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 0.133% Drawdown 0.400% Expectancy 0 Start Equity 100000 End Equity 100441.72 Net Profit 0.442% Sharpe Ratio -15.3 Sortino Ratio -18.271 Probabilistic Sharpe Ratio 15.561% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.027 Beta 0.012 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.61 Tracking Error 0.14 Treynor Ratio -2.181 Total Fees $2.00 Estimated Strategy Capacity $2400000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.00% |
# region imports
from AlgorithmImports import *
# endregion
class QCPaperTradingBrokerageExampleAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2021, 1, 1)
self.set_cash(100000)
self.set_brokerage_model(BrokerageName.QuantConnectBrokerage, AccountType.MARGIN)
self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol
# Set default order properties
self.default_order_properties.time_in_force = TimeInForce.DAY
def on_data(self, data):
if self.portfolio.invested:
return
# Place an order with the default order properties
self.market_order(self._symbol, 1)
# Place an order with new order properties
order_properties = OrderProperties()
order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
ticket = self.limit_order(self._symbol, 1, data[self._symbol].price * 0.9, order_properties = order_properties)
# Update the order
update_fields = UpdateOrderFields()
update_fields.quantity = 2
update_fields.limit_price = data[self._symbol].price * 1.05
update_fields.tag = "Informative order tag"
response = ticket.update(update_fields)
if not self.live_mode and response.is_success:
self.debug("Order updated successfully")