wehub-resource-sync
205 lines
8.5 KiB
C#
205 lines
8.5 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 MathNet.Numerics.Statistics;
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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 computes the
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/// annualized sample standard deviation of daily returns as the volatility of the security
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/// </summary>
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public class StandardDeviationOfReturnsVolatilityModel : BaseVolatilityModel
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{
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private bool _needsUpdate;
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private decimal _volatility;
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private DateTime _lastUpdate = DateTime.MinValue;
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private decimal _lastPrice;
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private Resolution? _resolution;
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private TimeSpan _periodSpan;
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private readonly object _sync = new object();
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private RollingWindow<double> _window;
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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
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{
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lock (_sync)
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{
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if (_window.Count < 2)
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{
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return 0m;
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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 std = _window.StandardDeviation().SafeDecimalCast();
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_volatility = std * (decimal)Math.Sqrt(252.0);
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}
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}
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return _volatility;
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="StandardDeviationOfReturnsVolatilityModel"/> class
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/// </summary>
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/// <param name="periods">The max number of samples in the rolling window to be considered for calculating the standard deviation of returns</param>
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/// <param name="resolution">
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/// Resolution of the price data inserted into the rolling window series to calculate standard deviation.
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/// Will be used as the default value for update frequency if a value is not provided for <paramref name="updateFrequency"/>.
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/// This only has a material effect in live mode. For backtesting, this value does not cause any behavioral changes.
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/// </param>
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/// <param name="updateFrequency">Frequency at which we insert new values into the rolling window for the standard deviation calculation</param>
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/// <remarks>
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/// The volatility model will be updated with the most granular/highest resolution data that was added to your algorithm.
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/// That means that if I added <see cref="Resolution.Tick"/> data for my Futures strategy, that this model will be
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/// updated using <see cref="Resolution.Tick"/> data as the algorithm progresses in time.
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///
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/// Keep this in mind when setting the period and update frequency. The Resolution parameter is only used for live mode, or for
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/// the default value of the <paramref name="updateFrequency"/> if no value is provided.
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/// </remarks>
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public StandardDeviationOfReturnsVolatilityModel(
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int periods,
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Resolution? resolution = null,
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TimeSpan? updateFrequency = null
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)
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{
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if (periods < 2)
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{
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throw new ArgumentOutOfRangeException(nameof(periods), "'periods' must be greater than or equal to 2.");
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}
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_window = new RollingWindow<double>(periods);
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_resolution = resolution;
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_periodSpan = updateFrequency ?? resolution?.ToTimeSpan() ?? TimeSpan.FromDays(1);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="StandardDeviationOfReturnsVolatilityModel"/> class
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/// </summary>
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/// <param name="resolution">
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/// Resolution of the price data inserted into the rolling window series to calculate standard deviation.
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/// Will be used as the default value for update frequency if a value is not provided for <paramref name="updateFrequency"/>.
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/// This only has a material effect in live mode. For backtesting, this value does not cause any behavioral changes.
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/// </param>
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/// <param name="updateFrequency">Frequency at which we insert new values into the rolling window for the standard deviation calculation</param>
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/// <remarks>
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/// The volatility model will be updated with the most granular/highest resolution data that was added to your algorithm.
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/// That means that if I added <see cref="Resolution.Tick"/> data for my Futures strategy, that this model will be
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/// updated using <see cref="Resolution.Tick"/> data as the algorithm progresses in time.
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///
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/// Keep this in mind when setting the period and update frequency. The Resolution parameter is only used for live mode, or for
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/// the default value of the <paramref name="updateFrequency"/> if no value is provided.
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/// </remarks>
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public StandardDeviationOfReturnsVolatilityModel(
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Resolution resolution,
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TimeSpan? updateFrequency = null
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) : this(PeriodsInResolution(resolution), resolution, updateFrequency)
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{
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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">Data to update the volatility model with</param>
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public override 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 > 0)
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{
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lock (_sync)
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{
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if (_lastPrice > 0.0m)
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{
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_needsUpdate = true;
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_window.Add((double)(data.Price / _lastPrice) - 1.0);
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}
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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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}
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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 of the request</param>
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/// <returns>History request object list, or empty if no requirements</returns>
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public override IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
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{
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// Let's reset the model since it will get warmed up again using these history requirements
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Reset();
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return GetHistoryRequirements(
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security,
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utcTime,
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_resolution,
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_window.Size + 1);
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}
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/// <summary>
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/// Resets the model to its initial state
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/// </summary>
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private void Reset()
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{
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_needsUpdate = false;
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_volatility = 0m;
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_lastUpdate = DateTime.MinValue;
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_lastPrice = 0m;
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_window.Reset();
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}
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private static int PeriodsInResolution(Resolution resolution)
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{
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int periods;
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switch (resolution)
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{
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case Resolution.Tick:
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case Resolution.Second:
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periods = 600;
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break;
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case Resolution.Minute:
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periods = 60 * 24;
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break;
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case Resolution.Hour:
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periods = 24 * 30;
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break;
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default:
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periods = 30;
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break;
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}
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return periods;
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}
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}
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}
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