RelativeStandardDeviationVolatilityModel

QuantConnect.Securities.RelativeStandardDeviationVolatilityModel

RelativeStandardDeviationVolatilityModel(
    period_span: timedelta, periods: int
)

Provides an implementation of IVolatilityModel that computes the relative standard deviation as the volatility of the security

Initializes a new instance of the RelativeStandardDeviationVolatilityModel class

Parameters:

Name	Type	Description	Default
`period_span`	`timedelta`	The time span representing one 'period' length	required
`periods`	`int`	The number of 'period' lengths to wait until updating the value	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.

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`		required

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