| Overall Statistics |
|
Total Orders 3 Average Win 0.01% Average Loss 0% Compounding Annual Return 2.716% Drawdown 11.900% Expectancy 0 Start Equity 200000.00 End Equity 218565.77 Net Profit 9.283% Sharpe Ratio 0.029 Sortino Ratio 0.038 Probabilistic Sharpe Ratio 16.420% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha -0.048 Beta 0.095 Annual Standard Deviation 0.062 Annual Variance 0.004 Information Ratio -0.923 Tracking Error 0.562 Treynor Ratio 0.019 Total Fees $43.88 Estimated Strategy Capacity $150000.00 Lowest Capacity Asset BTCUSDT 18N Portfolio Turnover 0.02% |
# region imports
from AlgorithmImports import *
# endregion
class BinanceBrokerageExampleAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2021, 1, 1)
self.set_cash('USDT', 100000)
self.set_brokerage_model(BrokerageName.BINANCE, AccountType.CASH)
self._symbol = self.add_crypto("BTCUSDT", Resolution.MINUTE).symbol
# Set default order properties
self.default_order_properties = BinanceOrderProperties()
self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
self.default_order_properties.post_only = False
def on_data(self, data):
if self.portfolio.invested:
return
# Place an order with the default order properties
self.market_order(self._symbol, 1)
# Place an order with new order properties
order_properties = BinanceOrderProperties()
order_properties.time_in_force = TimeInForce.DAY
order_properties.post_only = True
ticket = self.limit_order(self._symbol, -0.5, round(data[self._symbol].price + 1000, 2), order_properties = order_properties)
# If we try to call `Update`, an exception is raised
# ticket.update()
# Update the order
ticket.cancel()
ticket = self.limit_order(self._symbol, -0.5, round(data[self._symbol].price + 100, 2), order_properties = order_properties)