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
-20.671
Tracking Error
0.264
Treynor Ratio
0
Total Fees
$0.00
 
class MarketImpactModelTesting(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 6, 15)  # Set Start Date
        self.SetEndDate(2020, 6, 17)
        self.SetCash(1000000)  # Set Strategy Cash
        self.AddEquity("SPY", Resolution.Tick)
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA)

    def OnData(self, data):
        
        if not data.ContainsKey(self.symbol) : return
        ticks = data[self.symbol]
        quote_ticks = [x for x in ticks if x.TickType == 1]
        trade_ticks = [x for x in ticks if x.TickType == 0]
        self.Debug("Quote Ticks:{}".format(quote_ticks))