wehub-resource-sync
74 lines
2.9 KiB
C#
74 lines
2.9 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 QuantConnect.Data;
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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.Securities.Volatility;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Represents a model that computes the volatility of a security
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/// </summary>
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/// <remarks>Please use<see cref="BaseVolatilityModel"/> as the base class for
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/// any implementations of<see cref="IVolatilityModel"/></remarks>
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public interface IVolatilityModel
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{
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/// <summary>
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/// Gets the volatility of the security as a percentage
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/// </summary>
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decimal Volatility { get; }
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/// <summary>
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/// Updates this model using the new price information in
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/// the specified security instance
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/// </summary>
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/// <param name="security">The security to calculate volatility for</param>
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/// <param name="data">The new data used to update the model</param>
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void Update(Security security, BaseData data);
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/// <summary>
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/// Returns history requirements for the volatility model expressed in the form of history request
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/// </summary>
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/// <param name="security">The security of the request</param>
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/// <param name="utcTime">The date/time of the request</param>
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/// <returns>History request object list, or empty if no requirements</returns>
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IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime);
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}
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/// <summary>
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/// Provides access to a null implementation for <see cref="IVolatilityModel"/>
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/// </summary>
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public static class VolatilityModel
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{
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/// <summary>
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/// Gets an instance of <see cref="IVolatilityModel"/> that will always
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/// return 0 for its volatility and does nothing during Update.
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/// </summary>
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public static readonly IVolatilityModel Null = new NullVolatilityModel();
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private sealed class NullVolatilityModel : IVolatilityModel
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{
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public decimal Volatility { get; private set; }
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public void Update(Security security, BaseData data) { }
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public IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime) { return Enumerable.Empty<HistoryRequest>(); }
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}
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}
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}
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