chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example of custom volatility model
+    /// </summary>
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="reality modelling" />
+    public class CustomVolatilityModelAlgorithm : QCAlgorithm
+    {
+        private Security _equity;
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);   //Set Start Date
+            SetEndDate(2015, 7, 15);     //Set End Date
+            SetCash(100000);           //Set Strategy Cash
+
+            // Find more symbols here: http://quantconnect.com/data
+            _equity = AddEquity("SPY", Resolution.Daily);
+            _equity.SetVolatilityModel(new CustomVolatilityModel(10));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested && !(_equity.VolatilityModel.Volatility > 0))
+                SetHoldings("SPY", 1);
+        }
+    }
+
+    public class CustomVolatilityModel : IVolatilityModel
+    {
+        private DateTime _lastUpdate = DateTime.MinValue;
+        private decimal _lastPrice = 0m;
+        private bool _needsUpdate = false;
+        private TimeSpan _periodSpan = TimeSpan.FromDays(1);
+        private RollingWindow<decimal> _window;
+
+        // Volatility is a mandatory field
+        public decimal Volatility { get; set; } = 0m;
+        public CustomVolatilityModel(int periods)
+        {
+            _window = new RollingWindow<decimal>(periods);
+        }
+
+        // Updates this model using the new price information in the specified security instance
+        // Update is a mandatory method
+        public void Update(Security security, BaseData data)
+        {
+            var timeSinceLastUpdate = data.EndTime - _lastUpdate;
+            if (timeSinceLastUpdate >= _periodSpan && data.Price > 0m)
+            {
+                if (_lastPrice > 0)
+                {
+                    _window.Add(data.Price / _lastPrice - 1.0m);
+                    _needsUpdate = _window.IsReady;
+                }
+
+                _lastUpdate = data.EndTime;
+                _lastPrice = data.Price;
+            }
+
+            if (_window.Count < 2)
+            {
+                Volatility = 0;
+                return;
+            }
+
+            if (_needsUpdate)
+            {
+                _needsUpdate = false;
+                var mean = _window.Average();
+                var std = Math.Sqrt((double)_window.Sum(x => (x - mean)*(x - mean)) / _window.Count);
+                Volatility = (std * Math.Sqrt(252d)).SafeDecimalCast();
+            }
+        }
+
+        // Returns history requirements for the volatility model expressed in the form of history request
+        // GetHistoryRequirements is a mandatory method
+        public IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
+        // For simplicity's sake, we will not set a history requirement
+        {
+            return Enumerable.Empty<HistoryRequest>();
+        }
+    }
+}