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Fix IB futures commission fees (#6557)
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* Adapted futures commission fees for IB

* Unit tests

* Some cleanup

* Fix exchange fees

* Update regression algorithms stats

* Update unit tests
This commit is contained in:
Jhonathan Abreu
2022-08-18 17:35:49 -04:00
committed by GitHub
parent 98fa4464ce
commit 8e35155c40
50 changed files with 489 additions and 295 deletions
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Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
+8 -8
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@@ -179,23 +179,23 @@ namespace QuantConnect.Algorithm.CSharp
{"Total Trades", "2"},
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "5522.734%"},
{"Compounding Annual Return", "5512.811%"},
{"Drawdown", "1.000%"},
{"Expectancy", "0"},
{"Net Profit", "5.335%"},
{"Sharpe Ratio", "64.207"},
{"Net Profit", "5.333%"},
{"Sharpe Ratio", "64.137"},
{"Probabilistic Sharpe Ratio", "95.977%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "25.762"},
{"Beta", "2.916"},
{"Alpha", "25.72"},
{"Beta", "2.914"},
{"Annual Standard Deviation", "0.423"},
{"Annual Variance", "0.179"},
{"Information Ratio", "66.183"},
{"Information Ratio", "66.11"},
{"Tracking Error", "0.403"},
{"Treynor Ratio", "9.326"},
{"Total Fees", "$7.40"},
{"Treynor Ratio", "9.315"},
{"Total Fees", "$8.60"},
{"Estimated Strategy Capacity", "$22000000.00"},
{"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
{"Fitness Score", "1"},