Overall Statistics |
Total Trades 2 Average Win 0.10% Average Loss 0% Compounding Annual Return 1.607% Drawdown 10.200% Expectancy 0 Net Profit 4.724% Sharpe Ratio -0.159 Probabilistic Sharpe Ratio 5.131% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.012 Beta -0.07 Annual Standard Deviation 0.064 Annual Variance 0.004 Information Ratio 0.03 Tracking Error 0.362 Treynor Ratio 0.144 Total Fees â‚®4.03 Estimated Strategy Capacity â‚®39000000.00 Lowest Capacity Asset BTCUSDT 2V3 Portfolio Turnover 0.01% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion public class BybitBrokerageExampleAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2021, 1, 1); SetAccountCurrency("USDT", 100_000); SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin); _symbol = AddCryptoFuture("BTCUSDT", Resolution.Minute).Symbol; // Set default order properties DefaultOrderProperties = new BybitOrderProperties { TimeInForce = TimeInForce.GoodTilCanceled, PostOnly = false, ReduceOnly = false }; } public override void OnData(Slice data) { if (Portfolio.Invested) return; // Place an order with the default order properties MarketOrder(_symbol, 0.1); // Place an order with new order properties var orderProperties = new BybitOrderProperties { TimeInForce = TimeInForce.GoodTilCanceled, PostOnly = true, ReduceOnly = false }; var ticket = LimitOrder(_symbol, -0.5m, Math.Round(data[_symbol].Price + 5000, 1), orderProperties: orderProperties); // Update the order var orderFields = new UpdateOrderFields { Quantity = -0.4m, LimitPrice = Math.Round(data[_symbol].Price + 1000, 1), Tag = "Informative order tag" }; var response = ticket.Update(orderFields); if (!LiveMode && response.IsSuccess) { Debug("Order updated successfully"); } } }