Overall Statistics |
Total Orders 2 Average Win 0% Average Loss 0% Compounding Annual Return 1.071% Drawdown 2.100% Expectancy 0 Start Equity 100000 End Equity 104230.05 Net Profit 4.230% Sharpe Ratio -2.346 Sortino Ratio -2.756 Probabilistic Sharpe Ratio 25.919% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.029 Beta 0.074 Annual Standard Deviation 0.01 Annual Variance 0 Information Ratio -0.768 Tracking Error 0.127 Treynor Ratio -0.325 Total Fees $0.00 Estimated Strategy Capacity $37000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.00% |
#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 namespace QuantConnect.Algorithm.CSharp { public class CharlesSchwabBrokerageExampleAlgorithm : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2021, 1, 1); SetCash(100000); SetBrokerageModel(BrokerageName.CharlesSchwab, AccountType.Margin); _symbol = AddEquity("SPY", Resolution.Minute).Symbol; // Set default order properties DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled; } public override void OnData(Slice data) { if (Portfolio.Invested) { return; } // Place an order with the default order properties LimitOrder(_symbol, 10, data[_symbol].Price + 10); // Place an order and with new order properties var orderProperties = new CharlesSchwabOrderProperties { TimeInForce = TimeInForce.Day, ExtendedRegularTradingHours = true }; var ticket = LimitOrder(_symbol, 10, Math.Round(data[_symbol].Price * 0.9m, 2), orderProperties: orderProperties); // Update the order var updateFields = new UpdateOrderFields { Quantity = 8, LimitPrice = Math.Round(data[_symbol].Price + 10, 2), Tag = "Informative order tag" }; var response = ticket.Update(updateFields); if (!LiveMode && response.IsSuccess) { Debug("Order updated successfully"); } } } }