Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-4.569
Tracking Error
0.118
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class RetrospectiveTanButterfly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 8, 24)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.symbolData = {}
        self.bidPrice = {}
        self.askPrice = {}
        
        tickers = ["SPY", "QQQ"]
        for ticker in tickers:
            symbol = self.AddEquity(ticker, Resolution.Tick).Symbol
            
            self.symbolData[symbol] = SymbolData()
            self.bidPrice[symbol] = self.Securities[symbol].BidPrice
            self.askPrice[symbol] = self.Securities[symbol].AskPrice
            
            
    def OnData(self, data):
        for symbol, symbolData in self.symbolData.items():
            if not data.Ticks.ContainsKey(symbol): continue
        
            ticks = data.Ticks[symbol]
            for tick in ticks:
                if tick.TickType == TickType.Quote:
                    self.bidPrice[symbol] = tick.BidPrice
                    self.askPrice[symbol] = tick.AskPrice
                elif tick.TickType == TickType.Trade:
                    if tick.Price - self.bidPrice[symbol] > self.askPrice[symbol] - tick.Price:
                        symbolData.sellVolume += tick.Quantity
                    else:
                        symbolData.buyVolume += tick.Quantity
    
    
    def OnEndOfDay(self, symbol):
        symbolData = self.symbolData[symbol]
        self.Debug(f"{symbol.Value}'s buy volume is {symbolData.buyVolume} and sell volume is {symbolData.sellVolume} for today")
        
        symbolData.Clear()
        
class SymbolData:
    
    def __init__(self):
        self.buyVolume = 0
        self.sellVolume = 0
        
    def Clear(self):
        self.buyVolume = 0
        self.sellVolume = 0