StandardDeviationExecutionModel

QuantConnect.Algorithm.Framework.Execution.StandardDeviationExecutionModel

StandardDeviationExecutionModel(
    period: int = 60,
    deviations: float = 2,
    resolution: Resolution = ...,
    asynchronous: bool = True,
)

Bases: ExecutionModel

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)

Initializes a new instance of the StandardDeviationExecutionModel class

Parameters:

Name	Type	Description	Default
period	int	Period of the standard deviation indicator	60
deviations	float	The number of deviations away from the mean before submitting an order	2
resolution	Resolution	The resolution of the STD and SMA indicators	...
asynchronous	bool	If true, orders should be submitted asynchronously	True

maximum_order_value

maximum_order_value: float

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.

instance

instance: Any

Gets the underlying python instance

This codeEntityType is protected.

asynchronous

asynchronous: bool

If true, orders should be submitted asynchronously.

This codeEntityType is protected.

SymbolData

SymbolData(
    algorithm: QCAlgorithm,
    security: Security,
    period: int,
    resolution: Resolution,
)

Bases: Object

Symbol Data for this Execution Model

This codeEntityType is protected.

Initialize an instance of SymbolData

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	Algorithm for this security	required
security	Security	The security we are using	required
period	int	Period of the SMA and STD	required
resolution	Resolution	Resolution for this symbol	required

security

security: Security

Security

std

std: StandardDeviation

Standard Deviation

sma

sma: SimpleMovingAverage

Simple Moving Average

consolidator

consolidator: IDataConsolidator

Data Consolidator

PythonRuntimeChecker

Bases: Object

Set of helper methods to invoke Python methods with runtime checks for return values and out parameter's conversions.

execute

execute(
    algorithm: QCAlgorithm, targets: List[IPortfolioTarget]
) -> None

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

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	The algorithm instance	required
targets	List[IPortfolioTarget]	The portfolio targets	required

is_safe_to_remove

is_safe_to_remove(
    algorithm: QCAlgorithm,
    symbol: Union[Symbol, str, BaseContract],
) -> bool

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

This codeEntityType is protected.

on_securities_changed

on_securities_changed(
    algorithm: QCAlgorithm, changes: SecurityChanges
) -> None

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

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	The algorithm instance that experienced the change in securities	required
changes	SecurityChanges	The security additions and removals from the algorithm	required

price_is_favorable

price_is_favorable(
    data: SymbolData, unordered_quantity: float
) -> bool

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

This codeEntityType is protected.

on_order_event

on_order_event(
    algorithm: QCAlgorithm, order_event: OrderEvent
) -> None

New order event handler

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	The algorithm instance	required
order_event	OrderEvent	Order event to process	required

equals

equals(obj: Any) -> bool

equals(
    other: BasePythonWrapper[
        QuantConnect_Python_BasePythonWrapper_TInterface
    ],
) -> bool

Signature descriptions:

• Determines whether the specified object is an instance of BasePythonWrapper{TInterface} and wraps the same Python object reference as this instance, which would indicate that they are equal.

• Determines whether the specified instance wraps the same Python object reference as this instance, which would indicate that they are equal.

Parameters:

Name	Type	Description	Default
obj	Optional[Any]	The other object to compare this with	None
other	Optional[BasePythonWrapper[QuantConnect_Python_BasePythonWrapper_TInterface]]	The other object to compare this with	None

Returns:

Type	Description
bool	True if both instances are equal, that is if both wrap the same Python object reference.

set_python_instance

set_python_instance(instance: Any) -> None

set_python_instance(
    instance: Any, validate_interface: bool
) -> None

Signature descriptions:

• Sets the python instance

• Sets the python instance and sets the validate interface flag

Parameters:

Name	Type	Description	Default
instance	Any	The underlying python instance	required
validate_interface	Optional[bool]	Whether to perform validations for interface implementation	None

dispose

dispose() -> None

Dispose of this instance

get_event

get_event(name: str) -> Any

Gets the Python instance event with the specified name

Parameters:

Name	Type	Description	Default
name	str	The name of the event	required

get_hash_code

get_hash_code() -> int

Gets the hash code for the current instance

Returns:

Type	Description
int	The hash code of the current instance.

get_method

get_method(
    method_name: str, python_only: bool = False
) -> Any

Gets the Python instances method with the specified name and caches it

Parameters:

Name	Type	Description	Default
method_name	str	The name of the method	required
python_only	bool	Whether to only return python methods	False

Returns:

Type	Description
Any	The matched method.

get_property

get_property(property_name: str) -> Any

Gets the Python instance property with the specified name

Parameters:

Name	Type	Description	Default
property_name	str	The name of the property	required

has_attr

has_attr(name: str) -> bool

Determines whether the Python instance has the specified attribute

Parameters:

Name	Type	Description	Default
name	str	The attribute name	required

Returns:

Type	Description
bool	Whether the Python instance has the specified attribute.

invoke_method

invoke_method(
    method_name: str, *args: Union[Object, Iterable[Object]]
) -> Any

Invokes the specified method with the specified arguments

Parameters:

Name	Type	Description	Default
method_name	str	The name of the method	required
args	Union[Object, Iterable[Object]]	The arguments to call the method with	()

invoke_void_method

invoke_void_method(
    method_name: str, *args: Union[Object, Iterable[Object]]
) -> None

Invokes the specified method with the specified arguments without returning a value

Parameters:

Name	Type	Description	Default
method_name	str	The name of the method	required
args	Union[Object, Iterable[Object]]	The arguments to call the method with	()

set_property

set_property(property_name: str, value: Any) -> None

Sets the Python instance property with the specified name

Parameters:

Name	Type	Description	Default
property_name	str	The name of the property	required
value	Any	The property value	required