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