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pep8 conversions of python algos, #6 (#7944)

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* pep8 conversions

* Address review. Fix PythonIndicator

* Minor CSharp algo fix

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-19 02:15:18 +08:00
committed by GitHub
parent 1cae47ab25
commit 5eb236834f
35 changed files with 758 additions and 746 deletions
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Algorithm.Python/CustomVolatilityModelAlgorithm.py
+28 -28
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@@ -21,18 +21,18 @@ from AlgorithmImports import *
### <meta name="tag" content="reality modelling" />
class CustomVolatilityModelAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013,10,7) #Set Start Date
self.SetEndDate(2015,7,15) #Set End Date
self.SetCash(100000) #Set Strategy Cash
def initialize(self):
self.set_start_date(2013,10,7) #Set Start Date
self.set_end_date(2015,7,15) #Set End Date
self.set_cash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.equity = self.AddEquity("SPY", Resolution.Daily)
self.equity.SetVolatilityModel(CustomVolatilityModel(10))
self.equity = self.add_equity("SPY", Resolution.DAILY)
self.equity.set_volatility_model(CustomVolatilityModel(10))
def OnData(self, data):
if not self.Portfolio.Invested and self.equity.VolatilityModel.Volatility > 0:
self.SetHoldings("SPY", 1)
def on_data(self, data):
if not self.portfolio.invested and self.equity.volatility_model.volatility > 0:
self.set_holdings("SPY", 1)
# Python implementation of StandardDeviationOfReturnsVolatilityModel
@@ -40,37 +40,37 @@ class CustomVolatilityModelAlgorithm(QCAlgorithm):
# https://github.com/QuantConnect/Lean/blob/master/Common/Securities/Volatility/StandardDeviationOfReturnsVolatilityModel.cs
class CustomVolatilityModel():
def __init__(self, periods):
self.lastUpdate = datetime.min
self.lastPrice = 0
self.needsUpdate = False
self.periodSpan = timedelta(1)
self.last_update = datetime.min
self.last_price = 0
self.needs_update = False
self.period_span = timedelta(1)
self.window = RollingWindow[float](periods)
# Volatility is a mandatory attribute
self.Volatility = 0
self.volatility = 0
# Updates this model using the new price information in the specified security instance
# Update is a mandatory method
def Update(self, security, data):
timeSinceLastUpdate = data.EndTime - self.lastUpdate
if timeSinceLastUpdate >= self.periodSpan and data.Price > 0:
if self.lastPrice > 0:
self.window.Add(float(data.Price / self.lastPrice) - 1.0)
self.needsUpdate = self.window.IsReady
self.lastUpdate = data.EndTime
self.lastPrice = data.Price
def update(self, security, data):
time_since_last_update = data.end_time - self.last_update
if time_since_last_update >= self.period_span and data.price > 0:
if self.last_price > 0:
self.window.add(float(data.price / self.last_price) - 1.0)
self.needs_update = self.window.is_ready
self.last_update = data.end_time
self.last_price = data.price
if self.window.Count < 2:
self.Volatility = 0
if self.window.count < 2:
self.volatility = 0
return
if self.needsUpdate:
self.needsUpdate = False
if self.needs_update:
self.needs_update = False
std = np.std([ x for x in self.window ])
self.Volatility = std * np.sqrt(252.0)
self.volatility = std * np.sqrt(252.0)
# Returns history requirements for the volatility model expressed in the form of history request
# GetHistoryRequirements is a mandatory method
def GetHistoryRequirements(self, security, utcTime):
def get_history_requirements(self, security, utc_time):
# For simplicity's sake, we will not set a history requirement
return None