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 QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Securities.Volatility;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IVolatilityModel"/> that uses an indicator
+    /// to compute its value
+    /// </summary>
+    public class IndicatorVolatilityModel : BaseVolatilityModel
+    {
+        private readonly IIndicator _indicator;
+        private readonly Action<Security, BaseData, IIndicator> _indicatorUpdate;
+
+        /// <summary>
+        /// Gets the volatility of the security as a percentage
+        /// </summary>
+        public override decimal Volatility
+        {
+            get { return _indicator.Current.Value; }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="IVolatilityModel"/> using
+        /// the specified <paramref name="indicator"/>. The <paramref name="indicator"/>
+        /// is assumed to but updated externally from this model, such as being registered
+        /// into the consolidator system.
+        /// </summary>
+        /// <param name="indicator">The auto-updating indicator</param>
+        public IndicatorVolatilityModel(IIndicator indicator)
+        {
+            _indicator = indicator;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="IVolatilityModel"/> using
+        /// the specified <paramref name="indicator"/>. The <paramref name="indicator"/>
+        /// is assumed to but updated externally from this model, such as being registered
+        /// into the consolidator system.
+        /// </summary>
+        /// <param name="indicator">The auto-updating indicator</param>
+        /// <param name="indicatorUpdate">Function delegate used to update the indicator on each call to <see cref="Update"/></param>
+        public IndicatorVolatilityModel(IIndicator indicator, Action<Security, BaseData, IIndicator> indicatorUpdate)
+        {
+            _indicator = indicator;
+            _indicatorUpdate = indicatorUpdate;
+        }
+
+        /// <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 piece of data for the security</param>
+        public override void Update(Security security, BaseData data)
+        {
+            if (_indicatorUpdate != null)
+            {
+                _indicatorUpdate(security, data, _indicator);
+            }
+        }
+    }
+}