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 MathNet.Numerics.Statistics;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Securities.Volatility;
+using QuantConnect.Util;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IVolatilityModel"/> that computes the
+    /// relative standard deviation as the volatility of the security
+    /// </summary>
+    public class RelativeStandardDeviationVolatilityModel : BaseVolatilityModel
+    {
+        private bool _needsUpdate;
+        private decimal _volatility;
+        private DateTime _lastUpdate;
+        private readonly TimeSpan _periodSpan;
+        private readonly object _sync = new object();
+        private readonly RollingWindow<double> _window;
+
+        /// <summary>
+        /// Gets the volatility of the security as a percentage
+        /// </summary>
+        public override decimal Volatility
+        {
+            get
+            {
+                lock (_sync)
+                {
+                    if (_window.Count < 2)
+                    {
+                        return 0m;
+                    }
+
+                    if (_needsUpdate)
+                    {
+                        _needsUpdate = false;
+                        var mean = Math.Abs(_window.Mean().SafeDecimalCast());
+                        if (mean != 0m)
+                        {
+                            // volatility here is supposed to be a percentage
+                            var std = _window.StandardDeviation().SafeDecimalCast();
+                            _volatility = std / mean;
+                        }
+                    }
+                }
+                return _volatility;
+            }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RelativeStandardDeviationVolatilityModel"/> class
+        /// </summary>
+        /// <param name="periodSpan">The time span representing one 'period' length</param>
+        /// <param name="periods">The number of 'period' lengths to wait until updating the value</param>
+        public RelativeStandardDeviationVolatilityModel(
+            TimeSpan periodSpan,
+            int periods)
+        {
+            if (periods < 2) throw new ArgumentOutOfRangeException(nameof(periods), "'periods' must be greater than or equal to 2.");
+            _periodSpan = periodSpan;
+            _window = new RollingWindow<double>(periods);
+            _lastUpdate = GetLastUpdateInitialValue(periodSpan, periods);
+        }
+
+        /// <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"></param>
+        public override void Update(Security security, BaseData data)
+        {
+            var timeSinceLastUpdate = data.EndTime - _lastUpdate;
+            if (timeSinceLastUpdate >= _periodSpan && data.Price > 0)
+            {
+                lock (_sync)
+                {
+                    _needsUpdate = true;
+                    _window.Add((double)data.Price);
+                }
+                _lastUpdate = data.EndTime;
+            }
+        }
+
+        /// <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)
+        {
+            if (SubscriptionDataConfigProvider == null)
+            {
+                throw new InvalidOperationException(
+                    "RelativeStandardDeviationVolatilityModel.GetHistoryRequirements(): " +
+                    "SubscriptionDataConfigProvider was not set."
+                );
+            }
+
+            // Let's reset the model since it will get warmed up again using these history requirements
+            Reset();
+
+            var configurations = SubscriptionDataConfigProvider
+                .GetSubscriptionDataConfigs(security.Symbol)
+                .OrderBy(c => c.TickType)
+                .ToList();
+
+            return GetHistoryRequirements(
+                security,
+                utcTime,
+                configurations.GetHighestResolution(),
+                _window.Size + 1);
+        }
+
+        /// <summary>
+        /// Resets the model to its initial state
+        /// </summary>
+        private void Reset()
+        {
+            _needsUpdate = false;
+            _volatility = 0m;
+            _lastUpdate = GetLastUpdateInitialValue(_periodSpan, _window.Size);
+            _window.Reset();
+        }
+
+        private static DateTime GetLastUpdateInitialValue(TimeSpan periodSpan, int periods)
+        {
+            return DateTime.MinValue + TimeSpan.FromMilliseconds(periodSpan.TotalMilliseconds * periods);
+        }
+    }
+}