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 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 |
from QuantConnect.Python import PythonData from dateutil import parser import decimal class CustomLocalFile(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource( self.url, SubscriptionTransportMedium.RemoteFile ) def Reader(self, config, line, date, isLiveMode): local_data = CustomLocalFile() local_data.Symbol = config.Symbol local_data.Time = parser.parse('2015-01-02 09:36') # local_data.EndTime = local_data.Time + timedelta(minutes=1) local_data.Value = decimal.Decimal(1) local_data["Close"] = 1.0 local_data["Open"] = 2.0 local_data["High"] = 3.0 local_data["Low"] = 4.0 return local_data class LocalVix(CustomLocalFile): url = 'file:///etc/resolv.conf' class GaboTrainingIntradayVix(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 1, 2) self.SetEndDate(2015, 1, 3) self.SetCash(100000) self.AddData(LocalVix, "VIX", Resolution.Minute) self.Schedule.On( self.DateRules.EveryDay('VIX'), self.TimeRules.At(9, 37), Action(self._trade), ) def OnData(self, data): pass def _trade(self): # history_minute = self.History(["XIV"], 3, Resolution.Minute) self.Log("time: %s" % self.Time) self.Log('Working with history') self.Log(str(self.History(["VIX"], 2, Resolution.Minute))) self.Log('Working with self.Securities') self.Log('Close=%.2f - Open=%.2f - High=%.02f - Low=%.02f' % ( self.Securities['VIX'].Close, self.Securities['VIX'].Open, self.Securities['VIX'].High, self.Securities['VIX'].Low, ) ) pass