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 Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Volatility;
+
+namespace QuantConnect.Python
+{
+    /// <summary>
+    /// Provides a volatility model that wraps a <see cref="PyObject"/> object that represents a model that computes the volatility of a security
+    /// </summary>
+    public class VolatilityModelPythonWrapper : BaseVolatilityModel
+    {
+        private readonly BasePythonWrapper<IVolatilityModel> _model;
+
+        /// <summary>
+        /// Constructor for initialising the <see cref="VolatilityModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
+        /// </summary>
+        /// <param name="model"> Represents a model that computes the volatility of a security</param>
+        public VolatilityModelPythonWrapper(PyObject model)
+        {
+            _model = new BasePythonWrapper<IVolatilityModel>(model);
+        }
+
+        /// <summary>
+        /// Gets the volatility of the security as a percentage
+        /// </summary>
+        public override decimal Volatility
+        {
+            get
+            {
+                return _model.GetProperty<decimal>(nameof(Volatility));
+            }
+        }
+
+        /// <summary>
+        /// Updates this model using the new price information in
+        /// the specified security instance
+        /// </summary>
+        /// <param name="security">The security to calculate volatility for</param>
+        /// <param name="data">The new data used to update the model</param>
+        public override void Update(Security security, BaseData data)
+        {
+            _model.InvokeMethod(nameof(Update), security, data).Dispose();
+        }
+
+        /// <summary>
+        /// Returns history requirements for the volatility model expressed in the form of history request
+        /// </summary>
+        /// <param name="security">The security of the request</param>
+        /// <param name="utcTime">The date/time of the request</param>
+        /// <returns>History request object list, or empty if no requirements</returns>
+        public override IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
+        {
+            return _model.InvokeMethodAndEnumerate<HistoryRequest>(nameof(GetHistoryRequirements), security, utcTime);
+        }
+
+        /// <summary>
+        /// Sets the <see cref="ISubscriptionDataConfigProvider"/> instance to use.
+        /// </summary>
+        /// <param name="subscriptionDataConfigProvider">Provides access to registered <see cref="SubscriptionDataConfig"/></param>
+        public override void SetSubscriptionDataConfigProvider(
+            ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
+        {
+            if (_model.HasAttr(nameof(SetSubscriptionDataConfigProvider)))
+            {
+                _model.InvokeMethod(nameof(SetSubscriptionDataConfigProvider), subscriptionDataConfigProvider).Dispose();
+            }
+        }
+    }
+}