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  • 11493 bb9cde1cee
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    Adds StandardDeviationOfReturns configurability and improves greeks warmup for Futures/Index Options (#5495)

    frostbyte_neo 发布于 2021-04-28 22:05:00 +00:00 | 2424 次提交 在此版本后已推送到 master

    • Improves greeks configurability and defaults for all option asset types

      • Makes StandardDeviationOfReturns configurable by users, so that
        greeks can be loaded according to user expectations and the series
        of returns that they'd like to compute for n periods and timespan
        of T, as well as resolution of the data in live mode.

      • Changes resolution to max resolution available for the default
        volatility model created for the security. Usually this only applies
        to live mode, but if creating an instance of the
        StandardDeviationOfReturns volatility model and no updateFrequency
        is provided, the resolution's time span will be used as the default
        value. Backwards compatibility for equities is maintained.

      • Changes defaults for StandardDeviationOfReturnsVolatilityModel
        to warmup greeks faster for other derivative asset types

      • Improves comments on StandardDeviationOfReturns for clarity on how
        to use the volatility model for end users

    • Fixes bug where TradeBar could not have proper Symbol set when getting
      max resolution

      • Applies to QCAlgorithm.Universe and StandardDeviationOfReturnsVolatilityModel
      • Adds tests to check volatility model is updated at specified config intervals

    • Address review: add shared method for (Relative)StandardDeviation
      volatility models

      • Adjusts logic to determine bar type

    • Address review: order by TickType when getting configs inside volatility models

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