BaseVolatilityModel

QuantConnect.Securities.Volatility.BaseVolatilityModel

Bases: Object, IVolatilityModel

Represents a base model that computes the volatility of a security

subscription_data_config_provider

subscription_data_config_provider: (
    ISubscriptionDataConfigProvider
)

Provides access to registered SubscriptionDataConfig

This codeEntityType is protected.

volatility

volatility: float

Gets the volatility of the security as a percentage

get_history_requirements

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

get_history_requirements(
    security: Security,
    utc_time: Union[datetime, date],
    resolution: Optional[Resolution],
    bar_count: int,
) -> Iterable[HistoryRequest]

Signature descriptions:

Returns history requirements for the volatility model expressed in the form of history request
Gets history requests required for warming up the greeks with the provided resolution

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
`resolution`	`Optional[Optional[Resolution]]`	Resolution of the security	`None`
`bar_count`	`Optional[int]`	Number of bars to lookback for the start date	`None`

Returns:

Type	Description
`Iterable[HistoryRequest]`	Depends on the signature used. Case 1: [History request object list, or empty if no requirements.]; Case 2: [Enumerable of history requests.]

set_subscription_data_config_provider

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

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