chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.Interfaces;
+using QuantConnect.Util;
+
+namespace QuantConnect.Securities.Volatility
+{
+    /// <summary>
+    /// Represents a base model that computes the volatility of a security
+    /// </summary>
+    public class BaseVolatilityModel : IVolatilityModel
+    {
+        /// <summary>
+        /// Provides access to registered <see cref="SubscriptionDataConfig"/>
+        /// </summary>
+        protected ISubscriptionDataConfigProvider SubscriptionDataConfigProvider { get; set; }
+
+        /// <summary>
+        /// Gets the volatility of the security as a percentage
+        /// </summary>
+        public virtual decimal Volatility { get; }
+
+        /// <summary>
+        /// Sets the <see cref="ISubscriptionDataConfigProvider"/> instance to use.
+        /// </summary>
+        /// <param name="subscriptionDataConfigProvider">Provides access to registered <see cref="SubscriptionDataConfig"/></param>
+        public virtual void SetSubscriptionDataConfigProvider(
+            ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
+        {
+            SubscriptionDataConfigProvider = subscriptionDataConfigProvider;
+        }
+
+        /// <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 virtual void Update(Security security, BaseData data)
+        {
+        }
+
+        /// <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 virtual IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
+        {
+            return Enumerable.Empty<HistoryRequest>();
+        }
+
+        /// <summary>
+        /// Gets history requests required for warming up the greeks with the provided resolution
+        /// </summary>
+        /// <param name="security">Security to get history for</param>
+        /// <param name="utcTime">UTC time of the request (end time)</param>
+        /// <param name="resolution">Resolution of the security</param>
+        /// <param name="barCount">Number of bars to lookback for the start date</param>
+        /// <returns>Enumerable of history requests</returns>
+        /// <exception cref="InvalidOperationException">The <see cref="SubscriptionDataConfigProvider"/> has not been set</exception>
+        public IEnumerable<HistoryRequest> GetHistoryRequirements(
+            Security security,
+            DateTime utcTime,
+            Resolution? resolution,
+            int barCount)
+        {
+            if (SubscriptionDataConfigProvider == null)
+            {
+                throw new InvalidOperationException(
+                    "BaseVolatilityModel.GetHistoryRequirements(): " +
+                    "SubscriptionDataConfigProvider was not set."
+                );
+            }
+
+            var configurations = SubscriptionDataConfigProvider
+                .GetSubscriptionDataConfigs(security.Symbol)
+                .OrderBy(c => c.TickType)
+                .ToList();
+            var configuration = configurations.First();
+
+            var bar = configuration.Type.GetBaseDataInstance();
+            bar.Symbol = security.Symbol;
+
+            var historyResolution = resolution ?? bar.SupportedResolutions().Max();
+
+            var periodSpan = historyResolution.ToTimeSpan();
+
+            // hour resolution does no have extended market hours data
+            var extendedMarketHours = periodSpan != Time.OneHour && configurations.IsExtendedMarketHours();
+            var localStartTime = Time.GetStartTimeForTradeBars(
+                security.Exchange.Hours,
+                utcTime.ConvertFromUtc(security.Exchange.TimeZone),
+                periodSpan,
+                barCount,
+                extendedMarketHours,
+                configuration.DataTimeZone, dailyPreciseEndTime: false);
+            var utcStartTime = localStartTime.ConvertToUtc(security.Exchange.TimeZone);
+
+            return new[]
+            {
+                new HistoryRequest(utcStartTime,
+                                   utcTime,
+                                   configuration.Type,
+                                   configuration.Symbol,
+                                   historyResolution,
+                                   security.Exchange.Hours,
+                                   configuration.DataTimeZone,
+                                   historyResolution,
+                                   extendedMarketHours,
+                                   configurations.IsCustomData(),
+                                   configuration.DataNormalizationMode,
+                                   LeanData.GetCommonTickTypeForCommonDataTypes(configuration.Type, security.Type))
+            };
+        }
+    }
+}