Backtest Management
Create Backtest
Request
Create a new backtest given a project Id and compile Id. The /backtests/create API accepts requests in the following format:
CreateBacktestRequest Model - Request to create a new backtest. | |
|---|---|
| projectId | integer Project Id we sent for compile. |
| compileId | string Compile Id for the project to backtest. |
| backtestName | string Name for the new backtest. |
| Example |
{
"projectId": 0,
"compileId": "string",
"backtestName": "string"
}
|
Responses
The /backtests/create API provides a response in the following format:
200 Success
BacktestResponse Model - Packet container for carrying Backtest results. | |
|---|---|
| name | string Name of the backtest. |
| note | string Note on the backtest attached by the user. |
| backtestId | string Assigned backtest Id. |
| completed | boolean Boolean true when the backtest is completed. |
| progress | number Progress of the backtest in percent 0-1. |
| result | BacktestResult object Results object class. Results are exhaust from backtest or live algorithms running in LEAN. |
| error | string Backtest error message. |
| stacktrace | string Backtest error stacktrace. |
| created | string($date-time) Backtest creation date and time. |
| success | boolean Indicate if the API request was successful. |
| errors | string Array List of errors with the API call. |
| Example |
{
"name": "string",
"note": "string",
"backtestId": "string",
"completed": true,
"progress": 0,
"result": {
"RollingWindow": {
"TradeStatistics": {
"StartDateTime": "2021-11-26T15:18:27.693Z",
"EndDateTime": "2021-11-26T15:18:27.693Z",
"TotalNumberOfTrades": 0,
"NumberOfWinningTrades": 0,
"NumberOfLosingTrades": 0,
"TotalProfitLoss": 0,
"TotalProfit": 0,
"TotalLoss": 0,
"LargestProfit": 0,
"LargestLoss": 0,
"AverageProfitLoss": 0,
"AverageProfit": 0,
"AverageLoss": 0,
"AverageTradeDuration": "string",
"AverageWinningTradeDuration": "string",
"AverageLosingTradeDuration": "string",
"MedianTradeDuration": "string",
"MedianWinningTradeDuration": "string",
"MedianLosingTradeDuration": "string",
"MaxConsecutiveWinningTrades": 0,
"MaxConsecutiveLosingTrades": 0,
"ProfitLossRatio": 0,
"WinLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"AverageMAE": 0,
"AverageMFE": 0,
"LargestMAE": 0,
"LargestMFE": 0,
"MaximumClosedTradeDrawdown": 0,
"MaximumIntraTradeDrawdown": 0,
"ProfitLossStandardDeviation": 0,
"ProfitLossDownsideDeviation": 0,
"ProfitFactor": 0,
"SharpeRatio": 0,
"SortinoRatio": 0,
"ProfitToMaxDrawdownRatio": 0,
"MaximumEndTradeDrawdown": 0,
"AverageEndTradeDrawdown": 0,
"MaximumDrawdownDuration": "string",
"TotalFees": 0
},
"PortfolioStatistics": {
"RiskFreeRate": 0,
"AverageWinRate": 0,
"AverageLossRate": 0,
"ProfitLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"Expectancy": 0,
"CompoundingAnnualReturn": 0,
"Drawdown": 0,
"TotalNetProfit": 0,
"SharpeRatio": 0,
"ProbabilisticSharpeRatio": 0,
"Alpha": 0,
"Beta": 0,
"AnnualStandardDeviation": 0,
"AnnualVariance": 0,
"InformationRatio": 0,
"TrackingError": 0,
"TreynorRatio": 0
},
"ClosedTrades": [
{
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"EntryTime": "2021-11-26T15:18:27.693Z",
"EntryPrice": 0,
"Direction": "Long",
"Quantity": 0,
"ExitTime": "2021-11-26T15:18:27.693Z",
"ExitPrice": 0,
"ProfitLoss": 0,
"TotalFees": 0,
"MAE": 0,
"MFE": 0,
"Duration": "string",
"EndTradeDrawdown": 0
}
]
},
"TotalPerformance": {
"TradeStatistics": {
"StartDateTime": "2021-11-26T15:18:27.693Z",
"EndDateTime": "2021-11-26T15:18:27.693Z",
"TotalNumberOfTrades": 0,
"NumberOfWinningTrades": 0,
"NumberOfLosingTrades": 0,
"TotalProfitLoss": 0,
"TotalProfit": 0,
"TotalLoss": 0,
"LargestProfit": 0,
"LargestLoss": 0,
"AverageProfitLoss": 0,
"AverageProfit": 0,
"AverageLoss": 0,
"AverageTradeDuration": "string",
"AverageWinningTradeDuration": "string",
"AverageLosingTradeDuration": "string",
"MedianTradeDuration": "string",
"MedianWinningTradeDuration": "string",
"MedianLosingTradeDuration": "string",
"MaxConsecutiveWinningTrades": 0,
"MaxConsecutiveLosingTrades": 0,
"ProfitLossRatio": 0,
"WinLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"AverageMAE": 0,
"AverageMFE": 0,
"LargestMAE": 0,
"LargestMFE": 0,
"MaximumClosedTradeDrawdown": 0,
"MaximumIntraTradeDrawdown": 0,
"ProfitLossStandardDeviation": 0,
"ProfitLossDownsideDeviation": 0,
"ProfitFactor": 0,
"SharpeRatio": 0,
"SortinoRatio": 0,
"ProfitToMaxDrawdownRatio": 0,
"MaximumEndTradeDrawdown": 0,
"AverageEndTradeDrawdown": 0,
"MaximumDrawdownDuration": "string",
"TotalFees": 0
},
"PortfolioStatistics": {
"RiskFreeRate": 0,
"AverageWinRate": 0,
"AverageLossRate": 0,
"ProfitLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"Expectancy": 0,
"CompoundingAnnualReturn": 0,
"Drawdown": 0,
"TotalNetProfit": 0,
"SharpeRatio": 0,
"ProbabilisticSharpeRatio": 0,
"Alpha": 0,
"Beta": 0,
"AnnualStandardDeviation": 0,
"AnnualVariance": 0,
"InformationRatio": 0,
"TrackingError": 0,
"TreynorRatio": 0
},
"ClosedTrades": [
{
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"EntryTime": "2021-11-26T15:18:27.693Z",
"EntryPrice": 0,
"Direction": "Long",
"Quantity": 0,
"ExitTime": "2021-11-26T15:18:27.693Z",
"ExitPrice": 0,
"ProfitLoss": 0,
"TotalFees": 0,
"MAE": 0,
"MFE": 0,
"Duration": "string",
"EndTradeDrawdown": 0
}
]
},
"AlphaRuntimeStatistics": {
"MeanPopulationScore": {
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
},
"RollingAveragedPopulationScore": {
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
},
"LongCount": "string",
"ShortCount": "string",
"LongShortRatio": 0,
"TotalAccumulatedEstimatedAlphaValue": 0,
"KellyCriterionEstimate": 0,
"KellyCriterionProbabilityValue": 0,
"FitnessScore": 0,
"PortfolioTurnover": 0,
"ReturnOverMaxDrawdown": 0,
"SortinoRatio": 0,
"EstimatedMonthlyAlphaValue": 0,
"TotalInsightsGenerated": "string",
"TotalInsightsClosed": "string",
"TotalInsightsAnalysisCompleted": "string",
"MeanPopulationEstimatedInsightValue": 0
},
"Charts": {
"Name": "string",
"ChartType": "Overlay",
"Series": {
"Name": "string",
"Unit": "string",
"Index": 0,
"Values": [
{
"x": "string",
"y": 0
}
],
"SeriesType": "Line",
"Color": "string",
"ScatterMarkerSymbol": "none"
}
},
"Orders": {
"Id": 0,
"ContingentId": 0,
"BrokerId": [
"string"
],
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"Price": 0,
"PriceCurrency": "string",
"Time": "2021-11-26T15:18:27.693Z",
"CreatedTime": "2021-11-26T15:18:27.693Z",
"LastFillTime": "2021-11-26T15:18:27.693Z",
"LastUpdateTime": "2021-11-26T15:18:27.693Z",
"CanceledTime": "2021-11-26T15:18:27.693Z",
"Quantity": 0,
"Type": "Market",
"Status": "New",
"Tag": "string",
"SecurityType": "Base",
"Direction": "Buy",
"Value": 0,
"OrderSubmissionData": {
"BidPrice": 0,
"AskPrice": 0,
"LastPrice": 0
},
"IsMarketable": true
},
"OrderEvents": [
{
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": {
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": "New",
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
},
"OrderFee": {
"Value": {
"Amount": 0,
"Currency": "string"
}
},
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
}
],
"ProfitLoss": "number",
"Statistics": "string",
"RuntimeStatistics": "string",
"ServerStatistics": "string"
},
"error": "string",
"stacktrace": "string",
"created": "2021-11-26T15:18:27.693Z",
"success": true,
"errors": [
"string"
]
}
|
BacktestResult Model - Results object class. Results are exhaust from backtest or live algorithms running in LEAN. | |
|---|---|
| RollingWindow | AlgorithmPerformance object Rolling window detailed statistics. |
| TotalPerformance | AlgorithmPerformance object The AlgorithmPerformance class is a wrapper for TradeStatistics and PortfolioStatistics. |
| AlphaRuntimeStatistics | AlphaRuntimeStatistics object Contains insight population run time statistics. |
| Charts | Chart object Charts updates for the live algorithm since the last result packet. |
| Orders | Order object Order updates since the last result packet. |
| OrderEvents | OrderEvent Array OrderEvent updates since the last result packet. |
| ProfitLoss | number object Trade profit and loss information since the last algorithm result packet. |
| Statistics | string object Statistics information sent during the algorithm operations. |
| RuntimeStatistics | string object Runtime banner/updating statistics in the title banner of the live algorithm GUI. |
| ServerStatistics | string object Server status information, including CPU and RAM usage. |
| Example |
{
"RollingWindow": {
"TradeStatistics": {
"StartDateTime": "2021-11-26T15:18:27.693Z",
"EndDateTime": "2021-11-26T15:18:27.693Z",
"TotalNumberOfTrades": 0,
"NumberOfWinningTrades": 0,
"NumberOfLosingTrades": 0,
"TotalProfitLoss": 0,
"TotalProfit": 0,
"TotalLoss": 0,
"LargestProfit": 0,
"LargestLoss": 0,
"AverageProfitLoss": 0,
"AverageProfit": 0,
"AverageLoss": 0,
"AverageTradeDuration": "string",
"AverageWinningTradeDuration": "string",
"AverageLosingTradeDuration": "string",
"MedianTradeDuration": "string",
"MedianWinningTradeDuration": "string",
"MedianLosingTradeDuration": "string",
"MaxConsecutiveWinningTrades": 0,
"MaxConsecutiveLosingTrades": 0,
"ProfitLossRatio": 0,
"WinLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"AverageMAE": 0,
"AverageMFE": 0,
"LargestMAE": 0,
"LargestMFE": 0,
"MaximumClosedTradeDrawdown": 0,
"MaximumIntraTradeDrawdown": 0,
"ProfitLossStandardDeviation": 0,
"ProfitLossDownsideDeviation": 0,
"ProfitFactor": 0,
"SharpeRatio": 0,
"SortinoRatio": 0,
"ProfitToMaxDrawdownRatio": 0,
"MaximumEndTradeDrawdown": 0,
"AverageEndTradeDrawdown": 0,
"MaximumDrawdownDuration": "string",
"TotalFees": 0
},
"PortfolioStatistics": {
"RiskFreeRate": 0,
"AverageWinRate": 0,
"AverageLossRate": 0,
"ProfitLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"Expectancy": 0,
"CompoundingAnnualReturn": 0,
"Drawdown": 0,
"TotalNetProfit": 0,
"SharpeRatio": 0,
"ProbabilisticSharpeRatio": 0,
"Alpha": 0,
"Beta": 0,
"AnnualStandardDeviation": 0,
"AnnualVariance": 0,
"InformationRatio": 0,
"TrackingError": 0,
"TreynorRatio": 0
},
"ClosedTrades": [
{
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"EntryTime": "2021-11-26T15:18:27.693Z",
"EntryPrice": 0,
"Direction": "Long",
"Quantity": 0,
"ExitTime": "2021-11-26T15:18:27.693Z",
"ExitPrice": 0,
"ProfitLoss": 0,
"TotalFees": 0,
"MAE": 0,
"MFE": 0,
"Duration": "string",
"EndTradeDrawdown": 0
}
]
},
"TotalPerformance": {
"TradeStatistics": {
"StartDateTime": "2021-11-26T15:18:27.693Z",
"EndDateTime": "2021-11-26T15:18:27.693Z",
"TotalNumberOfTrades": 0,
"NumberOfWinningTrades": 0,
"NumberOfLosingTrades": 0,
"TotalProfitLoss": 0,
"TotalProfit": 0,
"TotalLoss": 0,
"LargestProfit": 0,
"LargestLoss": 0,
"AverageProfitLoss": 0,
"AverageProfit": 0,
"AverageLoss": 0,
"AverageTradeDuration": "string",
"AverageWinningTradeDuration": "string",
"AverageLosingTradeDuration": "string",
"MedianTradeDuration": "string",
"MedianWinningTradeDuration": "string",
"MedianLosingTradeDuration": "string",
"MaxConsecutiveWinningTrades": 0,
"MaxConsecutiveLosingTrades": 0,
"ProfitLossRatio": 0,
"WinLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"AverageMAE": 0,
"AverageMFE": 0,
"LargestMAE": 0,
"LargestMFE": 0,
"MaximumClosedTradeDrawdown": 0,
"MaximumIntraTradeDrawdown": 0,
"ProfitLossStandardDeviation": 0,
"ProfitLossDownsideDeviation": 0,
"ProfitFactor": 0,
"SharpeRatio": 0,
"SortinoRatio": 0,
"ProfitToMaxDrawdownRatio": 0,
"MaximumEndTradeDrawdown": 0,
"AverageEndTradeDrawdown": 0,
"MaximumDrawdownDuration": "string",
"TotalFees": 0
},
"PortfolioStatistics": {
"RiskFreeRate": 0,
"AverageWinRate": 0,
"AverageLossRate": 0,
"ProfitLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"Expectancy": 0,
"CompoundingAnnualReturn": 0,
"Drawdown": 0,
"TotalNetProfit": 0,
"SharpeRatio": 0,
"ProbabilisticSharpeRatio": 0,
"Alpha": 0,
"Beta": 0,
"AnnualStandardDeviation": 0,
"AnnualVariance": 0,
"InformationRatio": 0,
"TrackingError": 0,
"TreynorRatio": 0
},
"ClosedTrades": [
{
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"EntryTime": "2021-11-26T15:18:27.693Z",
"EntryPrice": 0,
"Direction": "Long",
"Quantity": 0,
"ExitTime": "2021-11-26T15:18:27.693Z",
"ExitPrice": 0,
"ProfitLoss": 0,
"TotalFees": 0,
"MAE": 0,
"MFE": 0,
"Duration": "string",
"EndTradeDrawdown": 0
}
]
},
"AlphaRuntimeStatistics": {
"MeanPopulationScore": {
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
},
"RollingAveragedPopulationScore": {
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
},
"LongCount": "string",
"ShortCount": "string",
"LongShortRatio": 0,
"TotalAccumulatedEstimatedAlphaValue": 0,
"KellyCriterionEstimate": 0,
"KellyCriterionProbabilityValue": 0,
"FitnessScore": 0,
"PortfolioTurnover": 0,
"ReturnOverMaxDrawdown": 0,
"SortinoRatio": 0,
"EstimatedMonthlyAlphaValue": 0,
"TotalInsightsGenerated": "string",
"TotalInsightsClosed": "string",
"TotalInsightsAnalysisCompleted": "string",
"MeanPopulationEstimatedInsightValue": 0
},
"Charts": {
"Name": "string",
"ChartType": "Overlay",
"Series": {
"Name": "string",
"Unit": "string",
"Index": 0,
"Values": [
{
"x": "string",
"y": 0
}
],
"SeriesType": "Line",
"Color": "string",
"ScatterMarkerSymbol": "none"
}
},
"Orders": {
"Id": 0,
"ContingentId": 0,
"BrokerId": [
"string"
],
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"Price": 0,
"PriceCurrency": "string",
"Time": "2021-11-26T15:18:27.693Z",
"CreatedTime": "2021-11-26T15:18:27.693Z",
"LastFillTime": "2021-11-26T15:18:27.693Z",
"LastUpdateTime": "2021-11-26T15:18:27.693Z",
"CanceledTime": "2021-11-26T15:18:27.693Z",
"Quantity": 0,
"Type": "Market",
"Status": "New",
"Tag": "string",
"SecurityType": "Base",
"Direction": "Buy",
"Value": 0,
"OrderSubmissionData": {
"BidPrice": 0,
"AskPrice": 0,
"LastPrice": 0
},
"IsMarketable": true
},
"OrderEvents": [
{
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": {
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": "New",
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
},
"OrderFee": {
"Value": {
"Amount": 0,
"Currency": "string"
}
},
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
}
],
"ProfitLoss": "number",
"Statistics": "string",
"RuntimeStatistics": "string",
"ServerStatistics": "string"
}
|
AlgorithmPerformance Model - The AlgorithmPerformance class is a wrapper for TradeStatistics and PortfolioStatistics. | |
|---|---|
| TradeStatistics | TradeStatistics object A set of statistics calculated from a list of closed trades. |
| PortfolioStatistics | PortfolioStatistics object Represents a set of statistics calculated from equity and benchmark samples. |
| ClosedTrades | Trade Array The algorithm statistics on portfolio. |
| Example |
{
"TradeStatistics": {
"StartDateTime": "2021-11-26T15:18:27.693Z",
"EndDateTime": "2021-11-26T15:18:27.693Z",
"TotalNumberOfTrades": 0,
"NumberOfWinningTrades": 0,
"NumberOfLosingTrades": 0,
"TotalProfitLoss": 0,
"TotalProfit": 0,
"TotalLoss": 0,
"LargestProfit": 0,
"LargestLoss": 0,
"AverageProfitLoss": 0,
"AverageProfit": 0,
"AverageLoss": 0,
"AverageTradeDuration": "string",
"AverageWinningTradeDuration": "string",
"AverageLosingTradeDuration": "string",
"MedianTradeDuration": "string",
"MedianWinningTradeDuration": "string",
"MedianLosingTradeDuration": "string",
"MaxConsecutiveWinningTrades": 0,
"MaxConsecutiveLosingTrades": 0,
"ProfitLossRatio": 0,
"WinLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"AverageMAE": 0,
"AverageMFE": 0,
"LargestMAE": 0,
"LargestMFE": 0,
"MaximumClosedTradeDrawdown": 0,
"MaximumIntraTradeDrawdown": 0,
"ProfitLossStandardDeviation": 0,
"ProfitLossDownsideDeviation": 0,
"ProfitFactor": 0,
"SharpeRatio": 0,
"SortinoRatio": 0,
"ProfitToMaxDrawdownRatio": 0,
"MaximumEndTradeDrawdown": 0,
"AverageEndTradeDrawdown": 0,
"MaximumDrawdownDuration": "string",
"TotalFees": 0
},
"PortfolioStatistics": {
"RiskFreeRate": 0,
"AverageWinRate": 0,
"AverageLossRate": 0,
"ProfitLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"Expectancy": 0,
"CompoundingAnnualReturn": 0,
"Drawdown": 0,
"TotalNetProfit": 0,
"SharpeRatio": 0,
"ProbabilisticSharpeRatio": 0,
"Alpha": 0,
"Beta": 0,
"AnnualStandardDeviation": 0,
"AnnualVariance": 0,
"InformationRatio": 0,
"TrackingError": 0,
"TreynorRatio": 0
},
"ClosedTrades": [
{
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"EntryTime": "2021-11-26T15:18:27.693Z",
"EntryPrice": 0,
"Direction": "Long",
"Quantity": 0,
"ExitTime": "2021-11-26T15:18:27.693Z",
"ExitPrice": 0,
"ProfitLoss": 0,
"TotalFees": 0,
"MAE": 0,
"MFE": 0,
"Duration": "string",
"EndTradeDrawdown": 0
}
]
}
|
TradeStatistics Model - A set of statistics calculated from a list of closed trades. | |
|---|---|
| StartDateTime | string($date-time) The entry date/time of the first trade. |
| EndDateTime | string($date-time) The exit date/time of the first trade. |
| TotalNumberOfTrades | integer The total number of trades. |
| NumberOfWinningTrades | integer The total number of winning trades. |
| NumberOfLosingTrades | integer The total number of losing trades. |
| TotalProfitLoss | number The total profit/loss for all trades (as symbol currency). |
| TotalProfit | number The total profit for all winning trades (as symbol currency). |
| TotalLoss | number The total loss for all losing trades (as symbol currency). |
| LargestProfit | number The largest profit in a single trade (as symbol currency). |
| LargestLoss | number The largest loss in a single trade (as symbol currency). |
| AverageProfitLoss | number The average profit/loss (a.k.a. Expectancy or Average Trade) for all trades (as symbol currency). |
| AverageProfit | number The average profit for all winning trades (as symbol currency). |
| AverageLoss | number The average loss for all winning trades (as symbol currency). |
| AverageTradeDuration | string The average duration for all trades. |
| AverageWinningTradeDuration | string The average duration for all winning trades. |
| AverageLosingTradeDuration | string The average duration for all losing trades. |
| MedianTradeDuration | string The median duration for all trades. |
| MedianWinningTradeDuration | string The median duration for all winning trades. |
| MedianLosingTradeDuration | string The median duration for all losing trades. |
| MaxConsecutiveWinningTrades | integer The maximum number of consecutive winning trades. |
| MaxConsecutiveLosingTrades | integer The maximum number of consecutive losing trades. |
| ProfitLossRatio | number The ratio of the average profit per trade to the average loss per trade. |
| WinLossRatio | number The ratio of the number of winning trades to the number of losing trades. |
| WinRate | number The ratio of the number of winning trades to the total number of trades. |
| LossRate | number The ratio of the number of losing trades to the total number of trades. |
| AverageMAE | number The average Maximum Adverse Excursion for all trades. |
| AverageMFE | number The average Maximum Adverse Excursion for all trades. |
| LargestMAE | number The average Maximum Favorable Excursion for all trades. |
| LargestMFE | number The largest Maximum Adverse Excursion in a single trade (as symbol currency). |
| MaximumClosedTradeDrawdown | number The maximum closed-trade drawdown for all trades (as symbol currency). |
| MaximumIntraTradeDrawdown | number The maximum intra-trade drawdown for all trades (as symbol currency). |
| ProfitLossStandardDeviation | number The standard deviation of the profits/losses for all trades (as symbol currency). |
| ProfitLossDownsideDeviation | number The downside deviation of the profits/losses for all trades (as symbol currency). |
| ProfitFactor | number The ratio of the total profit to the total loss. |
| SharpeRatio | number The ratio of the average profit/loss to the standard deviation. |
| SortinoRatio | number The ratio of the average profit/loss to the downside deviation. |
| ProfitToMaxDrawdownRatio | number The ratio of the total profit/loss to the maximum closed trade drawdown. |
| MaximumEndTradeDrawdown | number The maximum amount of profit given back by a single trade before exit (as symbol currency). |
| AverageEndTradeDrawdown | number The average amount of profit given back by all trades before exit (as symbol currency). |
| MaximumDrawdownDuration | string The maximum amount of time to recover from a drawdown (longest time between new equity highs or peaks). |
| TotalFees | number The sum of fees for all trades. |
| Example |
{
"StartDateTime": "2021-11-26T15:18:27.693Z",
"EndDateTime": "2021-11-26T15:18:27.693Z",
"TotalNumberOfTrades": 0,
"NumberOfWinningTrades": 0,
"NumberOfLosingTrades": 0,
"TotalProfitLoss": 0,
"TotalProfit": 0,
"TotalLoss": 0,
"LargestProfit": 0,
"LargestLoss": 0,
"AverageProfitLoss": 0,
"AverageProfit": 0,
"AverageLoss": 0,
"AverageTradeDuration": "string",
"AverageWinningTradeDuration": "string",
"AverageLosingTradeDuration": "string",
"MedianTradeDuration": "string",
"MedianWinningTradeDuration": "string",
"MedianLosingTradeDuration": "string",
"MaxConsecutiveWinningTrades": 0,
"MaxConsecutiveLosingTrades": 0,
"ProfitLossRatio": 0,
"WinLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"AverageMAE": 0,
"AverageMFE": 0,
"LargestMAE": 0,
"LargestMFE": 0,
"MaximumClosedTradeDrawdown": 0,
"MaximumIntraTradeDrawdown": 0,
"ProfitLossStandardDeviation": 0,
"ProfitLossDownsideDeviation": 0,
"ProfitFactor": 0,
"SharpeRatio": 0,
"SortinoRatio": 0,
"ProfitToMaxDrawdownRatio": 0,
"MaximumEndTradeDrawdown": 0,
"AverageEndTradeDrawdown": 0,
"MaximumDrawdownDuration": "string",
"TotalFees": 0
}
|
PortfolioStatistics Model - Represents a set of statistics calculated from equity and benchmark samples. | |
|---|---|
| RiskFreeRate | number The current defined risk free annual return rate. |
| AverageWinRate | number The average rate of return for winning trades. |
| AverageLossRate | number The average rate of return for losing trades. |
| ProfitLossRatio | number The ratio of the average win rate to the average loss rate. |
| WinRate | number The ratio of the number of winning trades to the total number of trades. |
| LossRate | number The ratio of the number of losing trades to the total number of trades. |
| Expectancy | number The expected value of the rate of return. |
| CompoundingAnnualReturn | number Annual compounded returns statistic based on the final-starting capital and years. |
| Drawdown | number Drawdown maximum percentage. |
| TotalNetProfit | number The total net profit percentage. |
| SharpeRatio | number Sharpe ratio with respect to risk free rate: measures excess of return per unit of risk. |
| ProbabilisticSharpeRatio | number Probabilistic Sharpe Ratio is a probability measure associated with the Sharpe ratio. It informs us of the probability that the estimated Sharpe ratio is greater than a chosen benchmark. |
| Alpha | number Algorithm "Alpha" statistic - abnormal returns over the risk free rate and the relationshio (beta) with the benchmark returns. |
| Beta | number Algorithm beta statistic - the covariance between the algorithm and benchmark performance, divided by benchmark variance. |
| AnnualStandardDeviation | number Annualized standard deviation. |
| AnnualVariance | number Annualized variance statistic calculation using the daily performance variance and trading days per year. |
| InformationRatio | number Information ratio - risk adjusted return. |
| TrackingError | number Tracking error volatility (TEV) statistic - a measure of how closely a portfolio follows the index to which it is benchmarked. |
| TreynorRatio | number Treynor ratio statistic is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk. |
| Example |
{
"RiskFreeRate": 0,
"AverageWinRate": 0,
"AverageLossRate": 0,
"ProfitLossRatio": 0,
"WinRate": 0,
"LossRate": 0,
"Expectancy": 0,
"CompoundingAnnualReturn": 0,
"Drawdown": 0,
"TotalNetProfit": 0,
"SharpeRatio": 0,
"ProbabilisticSharpeRatio": 0,
"Alpha": 0,
"Beta": 0,
"AnnualStandardDeviation": 0,
"AnnualVariance": 0,
"InformationRatio": 0,
"TrackingError": 0,
"TreynorRatio": 0
}
|
Trade Model - Represents a closed trade. | |
|---|---|
| Symbol | Symbol object Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. |
| EntryTime | string($date-time) The date and time the trade was opened. |
| EntryPrice | number The price at which the trade was opened (or the average price if multiple entries). |
| Direction | string Enum Direction of a trade. Options : ['Long', 'Short'] |
| Quantity | number The total unsigned quantity of the trade. |
| ExitTime | string($date-time) The date and time the trade was closed. |
| ExitPrice | number The price at which the trade was closed (or the average price if multiple exits). |
| ProfitLoss | number The gross profit/loss of the trade (as account currency). |
| TotalFees | number The total fees associated with the trade (always positive value) (as account currency). |
| MAE | number The Maximum Adverse Excursion (as account currency). |
| MFE | number The Maximum Favorable Excursion (as account currency). |
| Duration | string The duration of the trade. |
| EndTradeDrawdown | number The amount of profit given back before the trade was closed. |
| Example |
{
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"EntryTime": "2021-11-26T15:18:27.693Z",
"EntryPrice": 0,
"Direction": "Long",
"Quantity": 0,
"ExitTime": "2021-11-26T15:18:27.693Z",
"ExitPrice": 0,
"ProfitLoss": 0,
"TotalFees": 0,
"MAE": 0,
"MFE": 0,
"Duration": "string",
"EndTradeDrawdown": 0
}
|
Symbol Model - Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. | |
|---|---|
| Value | string The current symbol for this ticker. |
| ID | string The security identifier for this symbol. |
| Permtick | string The current symbol for this ticker. |
| Example |
{
"Value": "string",
"ID": "string",
"Permtick": "string"
}
|
TradeDirection Model - Direction of a trade. | |
|---|---|
| TradeDirection | string Enum Direction of a trade. Options : ['Long', 'Short'] |
| Example |
{
"TradeDirection": "Long"
}
|
AlphaRuntimeStatistics Model - Contains insight population run time statistics. | |
|---|---|
| MeanPopulationScore | InsightScore object Defines the scores given to a particular insight. |
| RollingAveragedPopulationScore | InsightScore object Defines the scores given to a particular insight. |
| LongCount | string Gets the total number of insights with an up direction. |
| ShortCount | string Gets the total number of insights with a down direction. |
| LongShortRatio | number The ratio of InsightDirection.Up over InsightDirection.Down. |
| TotalAccumulatedEstimatedAlphaValue | number The total accumulated estimated value of trading all insights. |
| KellyCriterionEstimate | number Score of the strategy's insights predictive power. |
| KellyCriterionProbabilityValue | number The p-value or probability value of the KellyCriterionEstimate. |
| FitnessScore | number Score of the strategy's performance, and suitability for the Alpha Stream Market. |
| PortfolioTurnover | number Measurement of the strategies trading activity with respect to the portfolio value. Calculated as the sales volume with respect to the average total portfolio value. |
| ReturnOverMaxDrawdown | number Provides a risk adjusted way to factor in the returns and drawdown of the strategy. It is calculated by dividing the Portfolio Annualized Return by the Maximum Drawdown seen during the backtest. |
| SortinoRatio | number Gives a relative picture of the strategy volatility. It is calculated by taking a portfolio's annualized rate of return and subtracting the risk free rate of return. |
| EstimatedMonthlyAlphaValue | number Suggested Value of the Alpha On A Monthly Basis For Licensing. |
| TotalInsightsGenerated | string The total number of insight signals generated by the algorithm. |
| TotalInsightsClosed | string The total number of insight signals generated by the algorithm. |
| TotalInsightsAnalysisCompleted | string The total number of insight signals generated by the algorithm. |
| MeanPopulationEstimatedInsightValue | number Gets the mean estimated insight value. |
| Example |
{
"MeanPopulationScore": {
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
},
"RollingAveragedPopulationScore": {
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
},
"LongCount": "string",
"ShortCount": "string",
"LongShortRatio": 0,
"TotalAccumulatedEstimatedAlphaValue": 0,
"KellyCriterionEstimate": 0,
"KellyCriterionProbabilityValue": 0,
"FitnessScore": 0,
"PortfolioTurnover": 0,
"ReturnOverMaxDrawdown": 0,
"SortinoRatio": 0,
"EstimatedMonthlyAlphaValue": 0,
"TotalInsightsGenerated": "string",
"TotalInsightsClosed": "string",
"TotalInsightsAnalysisCompleted": "string",
"MeanPopulationEstimatedInsightValue": 0
}
|
InsightScore Model - Defines the scores given to a particular insight | |
|---|---|
| UpdatedTimeUtc | string($date-time) The time these scores were last updated. |
| Direction | number The direction score. |
| Magnitude | number The magnitude score. |
| IsFinalScore | boolean Is the insight past its expiry time and score can be finalized. |
| Example |
{
"UpdatedTimeUtc": "2021-11-26T15:18:27.693Z",
"Direction": 0,
"Magnitude": 0,
"IsFinalScore": true
}
|
Chart Model - Single Parent Chart Object for Custom Charting. | |
|---|---|
| Name | string Name of the Chart. |
| ChartType | string Enum Type of the Chart, Overlayed or Stacked. Options : ['Overlay', 'Stacked'] |
| Series | Series object List of Series Objects for this Chart. |
| Example |
{
"Name": "string",
"ChartType": "Overlay",
"Series": {
"Name": "string",
"Unit": "string",
"Index": 0,
"Values": [
{
"x": "string",
"y": 0
}
],
"SeriesType": "Line",
"Color": "string",
"ScatterMarkerSymbol": "none"
}
}
|
Series Model - Chart Series Object - Series data and properties for a chart. | |
|---|---|
| Name | string Name of the series. |
| Unit | string Axis for the chart series. |
| Index | integer Index/position of the series on the chart. |
| Values | ChartPoint Array Values for the series plot. These values are assumed to be in ascending time order (first points earliest, last points latest). |
| SeriesType | string Enum Chart type for the series. Options : ['Line', 'Scatter', 'Candle', 'Bar', 'Flag', 'StackedArea', 'Pie', 'Treemap'] |
| Color | string Color the series. |
| ScatterMarkerSymbol | string Enum Shape or symbol for the marker in a scatter plot. Options : ['none', 'circle', 'square', 'diamond', 'triangle', 'triangle-down'] |
| Example |
{
"Name": "string",
"Unit": "string",
"Index": 0,
"Values": [
{
"x": "string",
"y": 0
}
],
"SeriesType": "Line",
"Color": "string",
"ScatterMarkerSymbol": "none"
}
|
ChartPoint Model - Location on a chart containing the X-Y location | |
|---|---|
| x | string Time of this chart point: lower case for javascript encoding simplicty. |
| y | number Value of this chart point: lower case for javascript encoding simplicty. |
| Example |
{
"x": "string",
"y": 0
}
|
Order Model - Order struct for placing new trade. | |
|---|---|
| Id | integer Order ID. |
| ContingentId | integer Order Id to process before processing this order. |
| BrokerId | string Array Brokerage Id for this order for when the brokerage splits orders into multiple pieces. |
| Symbol | Symbol object Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. |
| Price | number Price of the Order. |
| PriceCurrency | string Currency for the order price. |
| Time | string($date-time) Gets the utc time the order was created. |
| CreatedTime | string($date-time) Gets the utc time this order was created. Alias for Time. |
| LastFillTime | string($date-time) Gets the utc time the last fill was received, or null if no fills have been received. |
| LastUpdateTime | string($date-time) Gets the utc time this order was last updated, or null if the order has not been updated. |
| CanceledTime | string($date-time) Gets the utc time this order was canceled, or null if the order was not canceled. |
| Quantity | number Number of shares to execute. |
| Type | string Enum Order type. Options : ['Market', 'Limit', 'StopMarket', 'StopLimit', 'MarketOnOpen', 'MarketOnClose', 'OptionExercise'] |
| Status | string Enum Status of the Order. Options : ['New', 'Submitted', 'PartiallyFilled', 'Filled', 'Canceled', 'None', 'Invalid', 'CancelPending', 'UpdateSubmitted'] |
| Tag | string Tag the order with some custom data. |
| SecurityType | string Enum Type of tradable security / underlying asset. Options : ['Base', 'Equity', 'Option', 'Commodity', 'Forex', 'Future', 'Cfd', 'Crypto'] |
| Direction | string Enum Direction of the order. Options : ['Buy', 'Sell', 'Hold'] |
| Value | number Gets the executed value of this order. If the order has not yet filled, then this will return zero. |
| OrderSubmissionData | OrderSubmissionData object Stores time and price information available at the time an order was submitted. |
| IsMarketable | boolean Returns true if the order is a marketable order. |
| Example |
{
"Id": 0,
"ContingentId": 0,
"BrokerId": [
"string"
],
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"Price": 0,
"PriceCurrency": "string",
"Time": "2021-11-26T15:18:27.693Z",
"CreatedTime": "2021-11-26T15:18:27.693Z",
"LastFillTime": "2021-11-26T15:18:27.693Z",
"LastUpdateTime": "2021-11-26T15:18:27.693Z",
"CanceledTime": "2021-11-26T15:18:27.693Z",
"Quantity": 0,
"Type": "Market",
"Status": "New",
"Tag": "string",
"SecurityType": "Base",
"Direction": "Buy",
"Value": 0,
"OrderSubmissionData": {
"BidPrice": 0,
"AskPrice": 0,
"LastPrice": 0
},
"IsMarketable": true
}
|
SecurityType Model - Type of tradable security / underlying asset. | |
|---|---|
| SecurityType | string Enum Type of tradable security / underlying asset. Options : ['Base', 'Equity', 'Option', 'Commodity', 'Forex', 'Future', 'Cfd', 'Crypto'] |
| Example |
{
"SecurityType": "Base"
}
|
OrderDirection Model - Direction of the order. | |
|---|---|
| OrderDirection | string Enum Direction of the order. Options : ['Buy', 'Sell', 'Hold'] |
| Example |
{
"OrderDirection": "Buy"
}
|
OrderSubmissionData Model - Stores time and price information available at the time an order was submitted. | |
|---|---|
| BidPrice | number The bid price at an order submission time. |
| AskPrice | number The ask price at an order submission time. |
| LastPrice | number The current price at an order submission time. |
| Example |
{
"BidPrice": 0,
"AskPrice": 0,
"LastPrice": 0
}
|
OrderEvent Model - Change in an order state applied to user algorithm portfolio | |
|---|---|
| OrderId | integer Id of the order this event comes from. |
| Id | integer The unique order event Id for each order. |
| Symbol | Symbol object Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. |
| UtcTime | string($date-time) The date and time of this event (UTC). |
| Status | OrderStatus object Messaging class signifying a change in an order state and record the change in the users algorithm portfolio. |
| OrderFee | OrderFee object The order fee associated with the specified order. |
| FillPrice | number Fill price information about the order. |
| FillPriceCurrency | string Currency for the fill price. |
| FillQuantity | number Number of shares of the order that was filled in this event. |
| Direction | string Enum Direction of the order. Options : ['Buy', 'Sell', 'Hold'] |
| Message | string Any message from the exchange. |
| IsAssignment | boolean True if the order event is an assignment. |
| StopPrice | number The current stop price. |
| LimitPrice | number The current limit price. |
| Quantity | number The current order quantity. |
| Example |
{
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": {
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": "New",
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
},
"OrderFee": {
"Value": {
"Amount": 0,
"Currency": "string"
}
},
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
}
|
OrderStatus Model - Messaging class signifying a change in an order state and record the change in the users algorithm portfolio. | |
|---|---|
| OrderId | integer Id of the order this event comes from. |
| Id | integer The unique order event Id for this order. |
| Symbol | Symbol object Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. |
| UtcTime | string($date-time) The date and time of this event. |
| Status | string Enum Status of the Order. Options : ['New', 'Submitted', 'PartiallyFilled', 'Filled', 'Canceled', 'None', 'Invalid', 'CancelPending', 'UpdateSubmitted'] |
| FillPrice | number Fill price information about the order. |
| FillPriceCurrency | string Currency for the fill price. |
| FillQuantity | number Number of shares of the order that was filled in this event. |
| Direction | string Enum Direction of the order. Options : ['Buy', 'Sell', 'Hold'] |
| Message | string Any message from the exchange. |
| IsAssignment | boolean Order event is an allocation of trades from ITM option assignment. |
| StopPrice | number The current stop price. |
| LimitPrice | number The current limit price. |
| Quantity | number The current order quantity. |
| Example |
{
"OrderId": 0,
"Id": 0,
"Symbol": {
"Value": "string",
"ID": "string",
"Permtick": "string"
},
"UtcTime": "2021-11-26T15:18:27.693Z",
"Status": "New",
"FillPrice": 0,
"FillPriceCurrency": "string",
"FillQuantity": 0,
"Direction": "Buy",
"Message": "string",
"IsAssignment": true,
"StopPrice": 0,
"LimitPrice": 0,
"Quantity": 0
}
|
Status Model - Status of the Order. | |
|---|---|
| Status | string Enum Status of the Order. Options : ['New', 'Submitted', 'PartiallyFilled', 'Filled', 'Canceled', 'None', 'Invalid', 'CancelPending', 'UpdateSubmitted'] |
| Example |
{
"Status": "New"
}
|
OrderFee Model - The order fee associated with the specified order. | |
|---|---|
| Value | CashAmount object Represents a cash amount which can be converted to account currency using a currency converter. |
| Example |
{
"Value": {
"Amount": 0,
"Currency": "string"
}
}
|
CashAmount Model - Represents a cash amount which can be converted to account currency using a currency converter. | |
|---|---|
| Amount | number The amount of cash. |
| Currency | string The currency in which the cash amount is denominated. |
| Example |
{
"Amount": 0,
"Currency": "string"
}
|
401 Authentication Error
UnauthorizedError Model - Unauthorized response from the API. Key is missing, invalid, or timestamp is too old for hash. | |
|---|---|
| www_authenticate | string Header |
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