Overall Statistics |
Total Trades 2 Average Win 0.35% Average Loss 0% Compounding Annual Return 10.689% Drawdown 17.200% Expectancy 0 Net Profit 10.653% Sharpe Ratio 0.528 Probabilistic Sharpe Ratio 27.765% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.086 Beta 0.238 Annual Standard Deviation 0.164 Annual Variance 0.027 Information Ratio -1.235 Tracking Error 0.517 Treynor Ratio 0.364 Total Fees $82.67 Estimated Strategy Capacity $4500000.00 Lowest Capacity Asset BTCUSD E3 |
namespace QuantConnect.Algorithm.CSharp { public class BitfinexBrokerageExampleAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2021, 1, 1); SetCash(100000); SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin); _symbol = AddCrypto("BTCUSD", Resolution.Minute).Symbol; // Set default order properties DefaultOrderProperties = new BitfinexOrderProperties { TimeInForce = TimeInForce.Day, Hidden = false, PostOnly = false }; } public override void OnData(Slice data) { if (Portfolio.Invested) { return; } // Place an order with the default order properties MarketOrder(_symbol, 1); // Place an order with new order properties var orderProperties = new BitfinexOrderProperties { TimeInForce = TimeInForce.GoodTilCanceled, PostOnly = true, Hidden = true }; var ticket = LimitOrder(_symbol, -0.5m, Math.Round(data[_symbol].Price + 5000, 2), orderProperties: orderProperties); // Update the order var response = ticket.Update(new UpdateOrderFields() { Quantity = -0.4m, LimitPrice = Math.Round(data[_symbol].Price + 1000, 2), Tag = "Informative order tag" }); if (!LiveMode && response.IsSuccess) { Debug("Order updated successfully"); } } } }