Provides extension methods to volatility models More...

Static Public Member Functions
static void	WarmUp (this IVolatilityModel volatilityModel, IHistoryProvider historyProvider, SubscriptionManager subscriptionManager, Security security, DateTime utcTime, DateTimeZone timeZone, bool liveMode, DataNormalizationMode? dataNormalizationMode=null)
	Warms up the security's volatility model. This can happen either on initialization or after a split or dividend is processed. More...

static void	WarmUp (this IndicatorVolatilityModel volatilityModel, IHistoryProvider historyProvider, SubscriptionManager subscriptionManager, Security security, DateTime utcTime, DateTimeZone timeZone, Resolution? resolution, int barCount, bool liveMode, DataNormalizationMode? dataNormalizationMode=null)
	Warms up the security's volatility model. This can happen either on initialization or after a split or dividend is processed. More...

static void	WarmUp (this IndicatorVolatilityModel volatilityModel, IAlgorithm algorithm, Security security, Resolution? resolution, int barCount, DataNormalizationMode? dataNormalizationMode=null)
	Warms up the security's volatility model. This can happen either on initialization or after a split or dividend is processed. More...

Detailed Description

Provides extension methods to volatility models

Member Function Documentation

static void QuantConnect.Securities.Volatility.VolatilityModelExtensions.WarmUp	(	this IVolatilityModel	volatilityModel,
		IHistoryProvider	historyProvider,
		SubscriptionManager	subscriptionManager,
		Security	security,
		DateTime	utcTime,
		DateTimeZone	timeZone,
		bool	liveMode,
		DataNormalizationMode?	dataNormalizationMode = `null`
	)

static

Warms up the security's volatility model. This can happen either on initialization or after a split or dividend is processed.

Parameters

volatilityModel	The volatility model to be warmed up
historyProvider	The history provider to use to get historical data
subscriptionManager	The subscription manager to use
security	The security which volatility model is being warmed up
utcTime	The current UTC time
timeZone	The algorithm time zone
liveMode	Whether the algorithm is in live mode
dataNormalizationMode	The security subscribed data normalization mode

Here is the call graph for this function:

static void QuantConnect.Securities.Volatility.VolatilityModelExtensions.WarmUp	(	this IndicatorVolatilityModel	volatilityModel,
		IHistoryProvider	historyProvider,
		SubscriptionManager	subscriptionManager,
		Security	security,
		DateTime	utcTime,
		DateTimeZone	timeZone,
		Resolution?	resolution,
		int	barCount,
		bool	liveMode,
		DataNormalizationMode?	dataNormalizationMode = `null`
	)

static

Warms up the security's volatility model. This can happen either on initialization or after a split or dividend is processed.

Parameters

volatilityModel	The volatility model to be warmed up
historyProvider	The history provider to use to get historical data
subscriptionManager	The subscription manager to use
security	The security which volatility model is being warmed up
utcTime	The current UTC time
timeZone	The algorithm time zone
resolution	The data resolution required for the indicator
barCount	The bar count required to fully warm the indicator up
liveMode	Whether the algorithm is in live mode
dataNormalizationMode	The security subscribed data normalization mode

Here is the call graph for this function:

static void QuantConnect.Securities.Volatility.VolatilityModelExtensions.WarmUp	(	this IndicatorVolatilityModel	volatilityModel,
		IAlgorithm	algorithm,
		Security	security,
		Resolution?	resolution,
		int	barCount,
		DataNormalizationMode?	dataNormalizationMode = `null`
	)

static

Warms up the security's volatility model. This can happen either on initialization or after a split or dividend is processed.

Parameters

volatilityModel	The volatility model to be warmed up
algorithm	The algorithm running
security	The security which volatility model is being warmed up
resolution	The data resolution required for the indicator
barCount	The bar count required to fully warm the indicator up
dataNormalizationMode	The security subscribed data normalization mode

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