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
0
Tracking Error
0
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, 15)
        self.SetCash(1000000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Tick).Symbol

        self.quote_ticks = False
        self.trade_ticks = False

    def OnData(self, data):
        if not data.ContainsKey(self.symbol): 
            return
    
        for tick in data.Ticks[self.symbol]:
            if tick.TickType == TickType.Trade:
                self.trade_ticks = True
            
            if tick.TickType == TickType.Quote:
                self.quote_ticks = True
    
    def OnEndOfAlgorithm(self):
        self.Log(f"Quotes: {self.quote_ticks}; Trades: {self.trade_ticks}")