chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Securities.Volatility
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{
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/// <summary>
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/// Provides extension methods to volatility models
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/// </summary>
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public static class VolatilityModelExtensions
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{
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/// <summary>
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/// Warms up the security's volatility model.
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/// This can happen either on initialization or after a split or dividend is processed.
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/// </summary>
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/// <param name="volatilityModel">The volatility model to be warmed up</param>
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/// <param name="historyProvider">The history provider to use to get historical data</param>
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/// <param name="subscriptionManager">The subscription manager to use</param>
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/// <param name="security">The security which volatility model is being warmed up</param>
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/// <param name="utcTime">The current UTC time</param>
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/// <param name="timeZone">The algorithm time zone</param>
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/// <param name="liveMode">Whether the algorithm is in live mode</param>
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/// <param name="dataNormalizationMode">The security subscribed data normalization mode</param>
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public static void WarmUp(
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this IVolatilityModel volatilityModel,
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IHistoryProvider historyProvider,
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SubscriptionManager subscriptionManager,
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Security security,
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DateTime utcTime,
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DateTimeZone timeZone,
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bool liveMode,
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DataNormalizationMode? dataNormalizationMode = null)
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{
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volatilityModel.WarmUp(
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historyProvider,
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subscriptionManager,
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security,
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timeZone,
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liveMode,
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dataNormalizationMode,
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() => volatilityModel.GetHistoryRequirements(security, utcTime));
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}
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/// <summary>
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/// Warms up the security's volatility model.
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/// This can happen either on initialization or after a split or dividend is processed.
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/// </summary>
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/// <param name="volatilityModel">The volatility model to be warmed up</param>
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/// <param name="historyProvider">The history provider to use to get historical data</param>
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/// <param name="subscriptionManager">The subscription manager to use</param>
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/// <param name="security">The security which volatility model is being warmed up</param>
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/// <param name="utcTime">The current UTC time</param>
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/// <param name="timeZone">The algorithm time zone</param>
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/// <param name="resolution">The data resolution required for the indicator</param>
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/// <param name="barCount">The bar count required to fully warm the indicator up</param>
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/// <param name="liveMode">Whether the algorithm is in live mode</param>
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/// <param name="dataNormalizationMode">The security subscribed data normalization mode</param>
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public static void WarmUp(
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this IndicatorVolatilityModel volatilityModel,
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IHistoryProvider historyProvider,
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SubscriptionManager subscriptionManager,
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Security security,
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DateTime utcTime,
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DateTimeZone timeZone,
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Resolution? resolution,
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int barCount,
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bool liveMode,
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DataNormalizationMode? dataNormalizationMode = null)
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{
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volatilityModel.WarmUp(
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historyProvider,
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subscriptionManager,
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security,
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timeZone,
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liveMode,
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dataNormalizationMode,
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() => volatilityModel.GetHistoryRequirements(security, utcTime, resolution, barCount));
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}
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/// <summary>
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/// Warms up the security's volatility model.
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/// This can happen either on initialization or after a split or dividend is processed.
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/// </summary>
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/// <param name="volatilityModel">The volatility model to be warmed up</param>
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/// <param name="algorithm">The algorithm running</param>
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/// <param name="security">The security which volatility model is being warmed up</param>
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/// <param name="resolution">The data resolution required for the indicator</param>
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/// <param name="barCount">The bar count required to fully warm the indicator up</param>
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/// <param name="dataNormalizationMode">The security subscribed data normalization mode</param>
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public static void WarmUp(
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this IndicatorVolatilityModel volatilityModel,
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IAlgorithm algorithm,
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Security security,
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Resolution? resolution,
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int barCount,
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DataNormalizationMode? dataNormalizationMode = null)
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{
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volatilityModel.WarmUp(
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algorithm.HistoryProvider,
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algorithm.SubscriptionManager,
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security,
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algorithm.UtcTime,
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algorithm.TimeZone,
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resolution,
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barCount,
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algorithm.LiveMode,
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dataNormalizationMode);
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}
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private static void WarmUp(
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this IVolatilityModel volatilityModel,
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IHistoryProvider historyProvider,
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SubscriptionManager subscriptionManager,
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Security security,
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DateTimeZone timeZone,
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bool liveMode,
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DataNormalizationMode? dataNormalizationMode,
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Func<IEnumerable<HistoryRequest>> getHistoryRequirementsFunc)
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{
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if (historyProvider == null || security == null || volatilityModel == VolatilityModel.Null)
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{
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return;
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}
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// start: this is a work around to maintain retro compatibility
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// did not want to add IVolatilityModel.SetSubscriptionDataConfigProvider
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// to prevent breaking existing user models.
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var baseTypeModel = volatilityModel as BaseVolatilityModel;
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baseTypeModel?.SetSubscriptionDataConfigProvider(subscriptionManager.SubscriptionDataConfigService);
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// end
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// Warm up
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var historyRequests = getHistoryRequirementsFunc().ToList();
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if (liveMode || (dataNormalizationMode.HasValue && dataNormalizationMode == DataNormalizationMode.Raw))
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{
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// If we're in live mode or raw mode, we need to warm up the volatility model with scaled raw data
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// to avoid jumps in volatility values due to price discontinuities on splits and dividends
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foreach (var request in historyRequests)
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{
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request.DataNormalizationMode = DataNormalizationMode.ScaledRaw;
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}
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}
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var history = historyProvider.GetHistory(historyRequests, timeZone);
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foreach (var slice in history)
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{
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foreach (var request in historyRequests)
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{
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if (slice.TryGet(request.DataType, security.Symbol, out var data))
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{
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volatilityModel.Update(security, data);
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}
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}
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}
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}
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}
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}
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