VolatilityModelPythonWrapper

QuantConnect.Python.VolatilityModelPythonWrapper

VolatilityModelPythonWrapper(model: Any)

Provides a volatility model that wraps a PyObject object that represents a model that computes the volatility of a security

Constructor for initialising the VolatilityModelPythonWrapper class with wrapped PyObject object

Parameters:

Name	Type	Description	Default
`model`	`Any`	Represents a model that computes the volatility of a security	required

volatility: float

Gets the volatility of the security as a percentage

subscription_data_config_provider: (
    ISubscriptionDataConfigProvider
)

Provides access to registered SubscriptionDataConfig

This codeEntityType is protected.

get_history_requirements(
    security: Security, utc_time: Union[datetime, date]
) -> Iterable[HistoryRequest]

Returns history requirements for the volatility model expressed in the form of history request

Parameters:

Name	Type	Description	Default
`security`	`Security`	The security of the request	required
`utc_time`	`Union[datetime, date]`	The date/time of the request	required

Returns:

Type	Description
`Iterable[HistoryRequest]`	History request object list, or empty if no requirements.

set_subscription_data_config_provider(
    subscription_data_config_provider: ISubscriptionDataConfigProvider,
) -> None

Sets the ISubscriptionDataConfigProvider instance to use.

Parameters:

Name	Type	Description	Default
`subscription_data_config_provider`	`ISubscriptionDataConfigProvider`	Provides access to registered SubscriptionDataConfig	required

update(security: Security, data: BaseData) -> None

Updates this model using the new price information in the specified security instance

Parameters:

Name	Type	Description	Default
`security`	`Security`	The security to calculate volatility for	required
`data`	`BaseData`	The new data used to update the model	required