Martin Molinero
74 lines
2.9 KiB
C#
74 lines
2.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Securities.Volatility
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{
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/// <summary>
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/// Represents a base model that computes the volatility of a security
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/// </summary>
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public class BaseVolatilityModel : IVolatilityModel
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{
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/// <summary>
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/// Provides access to registered <see cref="SubscriptionDataConfig"/>
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/// </summary>
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protected ISubscriptionDataConfigProvider SubscriptionDataConfigProvider;
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/// <summary>
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/// Gets the volatility of the security as a percentage
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/// </summary>
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public virtual decimal Volatility { get; }
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/// <summary>
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/// Sets the <see cref="ISubscriptionDataConfigProvider"/> instance to use.
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/// </summary>
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/// <param name="subscriptionDataConfigProvider">Provides access to registered <see cref="SubscriptionDataConfig"/></param>
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public virtual void SetSubscriptionDataConfigProvider(
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ISubscriptionDataConfigProvider subscriptionDataConfigProvider)
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{
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SubscriptionDataConfigProvider = subscriptionDataConfigProvider;
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}
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/// <summary>
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/// Updates this model using the new price information in
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/// the specified security instance
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/// </summary>
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/// <param name="security">The security to calculate volatility for</param>
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/// <param name="data">The new data used to update the model</param>
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public virtual void Update(Security security, BaseData data)
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{
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}
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/// <summary>
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/// Returns history requirements for the volatility model expressed in the form of history request
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/// </summary>
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/// <param name="security">The security of the request</param>
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/// <param name="utcTime">The date/time of the request</param>
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/// <returns>History request object list, or empty if no requirements</returns>
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public virtual IEnumerable<HistoryRequest> GetHistoryRequirements(
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Security security,
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DateTime utcTime
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)
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{
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return Enumerable.Empty<HistoryRequest>();
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}
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}
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}
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