QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel Class Reference

Execution model that submits orders while the current market prices is at least the configured number of standard deviations away from the mean in the favorable direction (below/above for buy/sell respectively) More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel:

Classes
class	SymbolData
	Symbol Data for this Execution Model More...

Public Member Functions
	StandardDeviationExecutionModel (int period=60, decimal deviations=2m, Resolution resolution=Resolution.Minute)
	Initializes a new instance of the StandardDeviationExecutionModel class More...
override void	Execute (QCAlgorithm algorithm, IPortfolioTarget[] targets)
	Executes market orders if the standard deviation of price is more than the configured number of deviations in the favorable direction. More...
override void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed More...

Protected Member Functions
virtual bool	PriceIsFavorable (SymbolData data, decimal unorderedQuantity)
	Determines if the current price is more than the configured number of standard deviations away from the mean in the favorable direction. More...
virtual bool	IsSafeToRemove (QCAlgorithm algorithm, Symbol symbol)
	Determines if it's safe to remove the associated symbol data More...

Properties
decimal	MaximumOrderValue = 20 * 1000 [get, set]
	Gets or sets the maximum order value in units of the account currency. This defaults to $20,000. For example, if purchasing a stock with a price of $100, then the maximum order size would be 200 shares. More...

Detailed Description

Execution model that submits orders while the current market prices is at least the configured number of standard deviations away from the mean in the favorable direction (below/above for buy/sell respectively)

Definition at line 32 of file StandardDeviationExecutionModel.cs.

Constructor & Destructor Documentation

StandardDeviationExecutionModel()

QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel.StandardDeviationExecutionModel	(	int	period = 60,
		decimal	deviations = 2m,
		Resolution	resolution = Resolution.Minute
	)

Initializes a new instance of the StandardDeviationExecutionModel class

Parameters

period	Period of the standard deviation indicator
deviations	The number of deviations away from the mean before submitting an order
resolution	The resolution of the STD and SMA indicators

Definition at line 53 of file StandardDeviationExecutionModel.cs.

Member Function Documentation

Execute()

override void QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel.Execute ( QCAlgorithm  algorithm, IPortfolioTarget[]  targets  )

virtual

Executes market orders if the standard deviation of price is more than the configured number of deviations in the favorable direction.

Parameters

algorithm	The algorithm instance
targets	The portfolio targets

Reimplemented from QuantConnect.Algorithm.Framework.Execution.ExecutionModel.

Definition at line 72 of file StandardDeviationExecutionModel.cs.

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OnSecuritiesChanged()

override void QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel.OnSecuritiesChanged ( QCAlgorithm  algorithm, SecurityChanges  changes  )

virtual

Event fired each time the we add/remove securities from the data feed

Parameters

algorithm	The algorithm instance that experienced the change in securities
changes	The security additions and removals from the algorithm

Reimplemented from QuantConnect.Algorithm.Framework.Execution.ExecutionModel.

Definition at line 115 of file StandardDeviationExecutionModel.cs.

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PriceIsFavorable()

virtual bool QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel.PriceIsFavorable ( SymbolData  data, decimal  unorderedQuantity  )

protectedvirtual

Determines if the current price is more than the configured number of standard deviations away from the mean in the favorable direction.

Definition at line 145 of file StandardDeviationExecutionModel.cs.

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IsSafeToRemove()

virtual bool QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel.IsSafeToRemove ( QCAlgorithm  algorithm, Symbol  symbol  )

protectedvirtual

Determines if it's safe to remove the associated symbol data

Definition at line 156 of file StandardDeviationExecutionModel.cs.

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Property Documentation

MaximumOrderValue

decimal QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel.MaximumOrderValue = 20 * 1000

getset

Gets or sets the maximum order value in units of the account currency. This defaults to $20,000. For example, if purchasing a stock with a price of $100, then the maximum order size would be 200 shares.

Definition at line 45 of file StandardDeviationExecutionModel.cs.

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The documentation for this class was generated from the following file:

• Algorithm.Framework/Execution/StandardDeviationExecutionModel.cs