Provides an implementation of IVolatilityModel that uses an indicator to compute its value More...
Public Member Functions | |
| IndicatorVolatilityModel (IIndicator indicator) | |
| Initializes a new instance of the IVolatilityModel using the specified indicator . The indicator is assumed to but updated externally from this model, such as being registered into the consolidator system. More... | |
| IndicatorVolatilityModel (IIndicator indicator, Action< Security, BaseData, IIndicator > indicatorUpdate) | |
| Initializes a new instance of the IVolatilityModel using the specified indicator . The indicator is assumed to but updated externally from this model, such as being registered into the consolidator system. More... | |
| override void | Update (Security security, BaseData data) |
| Updates this model using the new price information in the specified security instance More... | |
 Public Member Functions inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel | |
| virtual void | SetSubscriptionDataConfigProvider (ISubscriptionDataConfigProvider subscriptionDataConfigProvider) |
| Sets the ISubscriptionDataConfigProvider instance to use. More... | |
| virtual IEnumerable< HistoryRequest > | GetHistoryRequirements (Security security, DateTime utcTime) |
| Returns history requirements for the volatility model expressed in the form of history request More... | |
| IEnumerable< HistoryRequest > | GetHistoryRequirements (Security security, DateTime utcTime, Resolution? resolution, int barCount) |
| Gets history requests required for warming up the greeks with the provided resolution More... | |
Properties | |
| override decimal | Volatility [get] |
| Gets the volatility of the security as a percentage More... | |
| Properties inherited from QuantConnect.Securities.Volatility.BaseVolatilityModel | |
| ISubscriptionDataConfigProvider | SubscriptionDataConfigProvider [get, set] |
| Provides access to registered SubscriptionDataConfig More... | |
| virtual decimal | Volatility [get] |
| Gets the volatility of the security as a percentage More... | |
| Properties inherited from QuantConnect.Securities.IVolatilityModel | |
| decimal | Volatility [get] |
| Gets the volatility of the security as a percentage More... | |
Detailed Description
Provides an implementation of IVolatilityModel that uses an indicator to compute its value
- Template Parameters
-
T The indicator's input type
Definition at line 28 of file IndicatorVolatilityModel.cs.
Constructor & Destructor Documentation
◆ IndicatorVolatilityModel() [1/2]
| QuantConnect.Securities.IndicatorVolatilityModel.IndicatorVolatilityModel | ( | IIndicator | indicator | ) |
Initializes a new instance of the IVolatilityModel using the specified indicator . The indicator is assumed to but updated externally from this model, such as being registered into the consolidator system.
- Parameters
-
indicator The auto-updating indicator
Definition at line 48 of file IndicatorVolatilityModel.cs.
◆ IndicatorVolatilityModel() [2/2]
| QuantConnect.Securities.IndicatorVolatilityModel.IndicatorVolatilityModel | ( | IIndicator | indicator, |
| Action< Security, BaseData, IIndicator > | indicatorUpdate | ||
| ) |
Initializes a new instance of the IVolatilityModel using the specified indicator . The indicator is assumed to but updated externally from this model, such as being registered into the consolidator system.
- Parameters
-
indicator The auto-updating indicator indicatorUpdate Function delegate used to update the indicator on each call to Update
Definition at line 61 of file IndicatorVolatilityModel.cs.
Member Function Documentation
◆ Update()
|
virtual |
Updates this model using the new price information in the specified security instance
- Parameters
-
security The security to calculate volatility for data The new piece of data for the security
Reimplemented from QuantConnect.Securities.Volatility.BaseVolatilityModel.
Definition at line 73 of file IndicatorVolatilityModel.cs.
Property Documentation
◆ Volatility
|
get |
Gets the volatility of the security as a percentage
Definition at line 37 of file IndicatorVolatilityModel.cs.
The documentation for this class was generated from the following file:
- Common/Securities/Volatility/IndicatorVolatilityModel.cs
