Overall Statistics |
Total Trades 6 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 0 Tracking Error 0 Treynor Ratio 0 Total Fees $6.00 Estimated Strategy Capacity $0 Lowest Capacity Asset SPY R735QTJ8XC9X |
# region imports from AlgorithmImports import * import pickle # endregion class QuantumVerticalProcessor(QCAlgorithm): chart = None series = None def Initialize(self): self.SetStartDate(2019, 11, 8) # Set Start Date self.SetEndDate(2019,11,8) self.SetCash(100000) # Set Strategy Cash self.AddEquity("SPY", Resolution.Tick) self.dict = {} self.buy_orders = [] self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(timedelta(hours=1)), self.buying) sec_Consolidator = TickConsolidator(timedelta(seconds=45)) sec_Consolidator.DataConsolidated += self.Sec_BarHandler self.SubscriptionManager.AddConsolidator("SPY", sec_Consolidator) def OnData(self, data): if not data.ContainsKey("SPY"): return pass def buying(self): if self.Securities["SPY"].Exchange.ExchangeOpen: self.MarketOrder("SPY", 1) self.buy_orders.append(self.Time) serialized_buy_order = pickle.dumps(self.buy_orders) self.ObjectStore.SaveBytes('12833385/buy_o', serialized_buy_order) self.Debug(self.buy_orders[:-1]) def Sec_BarHandler(self, sender, consolidated): time = self.UtcTime self.dict.setdefault(consolidated.EndTime, []).append(consolidated.Open) self.dict.setdefault(consolidated.EndTime, []).append(consolidated.High) self.dict.setdefault(consolidated.EndTime, []).append(consolidated.Low) self.dict.setdefault(consolidated.EndTime, []).append(consolidated.Close) serialized_ohlc = pickle.dumps(self.dict) self.ObjectStore.SaveBytes('12833385/ohlc', serialized_ohlc)