wehub-resource-sync
108 lines
3.8 KiB
C#
108 lines
3.8 KiB
C#
/*
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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 QuantConnect.Data;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example of custom volatility model
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/// </summary>
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="reality modelling" />
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public class CustomVolatilityModelAlgorithm : QCAlgorithm
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{
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private Security _equity;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7); //Set Start Date
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SetEndDate(2015, 7, 15); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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_equity = AddEquity("SPY", Resolution.Daily);
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_equity.SetVolatilityModel(new CustomVolatilityModel(10));
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}
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested && !(_equity.VolatilityModel.Volatility > 0))
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SetHoldings("SPY", 1);
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}
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}
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public class CustomVolatilityModel : IVolatilityModel
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{
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private DateTime _lastUpdate = DateTime.MinValue;
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private decimal _lastPrice = 0m;
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private bool _needsUpdate = false;
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private TimeSpan _periodSpan = TimeSpan.FromDays(1);
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private RollingWindow<decimal> _window;
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// Volatility is a mandatory field
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public decimal Volatility { get; set; } = 0m;
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public CustomVolatilityModel(int periods)
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{
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_window = new RollingWindow<decimal>(periods);
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}
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// Updates this model using the new price information in the specified security instance
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// Update is a mandatory method
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public void Update(Security security, BaseData data)
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{
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var timeSinceLastUpdate = data.EndTime - _lastUpdate;
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if (timeSinceLastUpdate >= _periodSpan && data.Price > 0m)
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{
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if (_lastPrice > 0)
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{
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_window.Add(data.Price / _lastPrice - 1.0m);
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_needsUpdate = _window.IsReady;
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}
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_lastUpdate = data.EndTime;
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_lastPrice = data.Price;
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}
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if (_window.Count < 2)
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{
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Volatility = 0;
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return;
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}
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if (_needsUpdate)
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{
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_needsUpdate = false;
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var mean = _window.Average();
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var std = Math.Sqrt((double)_window.Sum(x => (x - mean)*(x - mean)) / _window.Count);
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Volatility = (std * Math.Sqrt(252d)).SafeDecimalCast();
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}
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}
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// Returns history requirements for the volatility model expressed in the form of history request
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// GetHistoryRequirements is a mandatory method
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public IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
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// For simplicity's sake, we will not set a history requirement
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{
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return Enumerable.Empty<HistoryRequest>();
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}
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}
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}
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