Overall Statistics |
Total Trades 2 Average Win 0% Average Loss 0% Compounding Annual Return 44.096% Drawdown 41.700% Expectancy 0 Net Profit 40.493% Sharpe Ratio 0.923 Probabilistic Sharpe Ratio 39.440% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.145 Beta 0.661 Annual Standard Deviation 0.461 Annual Variance 0.213 Information Ratio -1.815 Tracking Error 0.241 Treynor Ratio 0.644 Total Fees $122.73 Estimated Strategy Capacity $290000.00 Lowest Capacity Asset BTCUSD 10B |
namespace QuantConnect.Algorithm.CSharp { public class KrakenBrokerageExampleAlgorithm : QCAlgorithm { private Symbol _symbol; private bool _ordered = false; public override void Initialize() { SetStartDate(2021, 1, 1); SetCash(100000); SetBrokerageModel(BrokerageName.Kraken, AccountType.Cash); _symbol = AddCrypto("BTCUSD", Resolution.Minute).Symbol; // Set default order properties DefaultOrderProperties = new KrakenOrderProperties { TimeInForce = TimeInForce.GoodTilCanceled, PostOnly = false, FeeInBase = false, FeeInQuote = true, NoMarketPriceProtection = true }; } public override void OnData(Slice data) { if (Portfolio.Invested) { return; } // Place an order with the default order properties LimitOrder(_symbol, 1, Math.Round(data[_symbol].Price + 100, 1)); // Place an order and with new order properties var orderProperties = new KrakenOrderProperties { PostOnly = true, FeeInBase = true, FeeInQuote = false, NoMarketPriceProtection = false }; var ticket = LimitOrder(_symbol, 1, Math.Round(data[_symbol].Price * 0.9m, 1), orderProperties: orderProperties); // If we try to call `Update`, an exception is raised // ticket.Update(...) // Update the order ticket.Cancel(); orderProperties.ConditionalOrder = new MarketOrder(_symbol, -1, Time); LimitOrder(_symbol, 1, Math.Round(data[_symbol].Price * 0.99m, 1), orderProperties: orderProperties); } public override void OnOrderEvent(OrderEvent orderEvent) { if (orderEvent.Status == OrderStatus.Filled) { Debug($"Order fee: {orderEvent.OrderFee}"); // The fees are paid in different currencies if we flip FeeInBase and FeeInQuote } } } }