RelativeStandardDeviationVolatilityModel.cs

 
/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using MathNet.Numerics.Statistics;
using QuantConnect.Data;
using QuantConnect.Indicators;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Securities.Volatility;
using QuantConnect.Util;
 
namespace QuantConnect.Securities
{
    /// <summary>
    /// Provides an implementation of <see cref="IVolatilityModel"/> that computes the
    /// relative standard deviation as the volatility of the security
    /// </summary>
    public class RelativeStandardDeviationVolatilityModel : BaseVolatilityModel
    {
        private bool _needsUpdate;
        private decimal _volatility;
        private DateTime _lastUpdate;
        private readonly TimeSpan _periodSpan;
        private readonly object _sync = new object();
        private readonly RollingWindow<double> _window;
 
        /// <summary>
        /// Gets the volatility of the security as a percentage
        /// </summary>
        public override decimal Volatility
        {
            get
            {
                lock (_sync)
                {
                    if (_window.Count < 2)
                    {
                        return 0m;
                    }
 
                    if (_needsUpdate)
                    {
                        _needsUpdate = false;
                        var mean = Math.Abs(_window.Mean().SafeDecimalCast());
                        if (mean != 0m)
                        {
                            // volatility here is supposed to be a percentage
                            var std = _window.StandardDeviation().SafeDecimalCast();
                            _volatility = std / mean;
                        }
                    }
                }
                return _volatility;
            }
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="RelativeStandardDeviationVolatilityModel"/> class
        /// </summary>
        /// <param name="periodSpan">The time span representing one 'period' length</param>
        /// <param name="periods">The number of 'period' lengths to wait until updating the value</param>
        public RelativeStandardDeviationVolatilityModel(
            TimeSpan periodSpan,
            int periods)
        {
            if (periods < 2) throw new ArgumentOutOfRangeException(nameof(periods), "'periods' must be greater than or equal to 2.");
            _periodSpan = periodSpan;
            _window = new RollingWindow<double>(periods);
            _lastUpdate = GetLastUpdateInitialValue(periodSpan, periods);
        }
 
        /// <summary>
        /// Updates this model using the new price information in
        /// the specified security instance
        /// </summary>
        /// <param name="security">The security to calculate volatility for</param>
        /// <param name="data"></param>
        public override void Update(Security security, BaseData data)
        {
            var timeSinceLastUpdate = data.EndTime - _lastUpdate;
            if (timeSinceLastUpdate >= _periodSpan && data.Price > 0)
            {
                lock (_sync)
                {
                    _needsUpdate = true;
                    _window.Add((double)data.Price);
                }
                _lastUpdate = data.EndTime;
            }
        }
 
        /// <summary>
        /// Returns history requirements for the volatility model expressed in the form of history request
        /// </summary>
        /// <param name="security">The security of the request</param>
        /// <param name="utcTime">The date/time of the request</param>
        /// <returns>History request object list, or empty if no requirements</returns>
        public override IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
        {
            if (SubscriptionDataConfigProvider == null)
            {
                throw new InvalidOperationException(
                    "RelativeStandardDeviationVolatilityModel.GetHistoryRequirements(): " +
                    "SubscriptionDataConfigProvider was not set."
                );
            }
 
            // Let's reset the model since it will get warmed up again using these history requirements
            Reset();
 
            var configurations = SubscriptionDataConfigProvider
                .GetSubscriptionDataConfigs(security.Symbol)
                .OrderBy(c => c.TickType)
                .ToList();
 
            return GetHistoryRequirements(
                security,
                utcTime,
                configurations.GetHighestResolution(),
                _window.Size + 1);
        }
 
        /// <summary>
        /// Resets the model to its initial state
        /// </summary>
        private void Reset()
        {
            _needsUpdate = false;
            _volatility = 0m;
            _lastUpdate = GetLastUpdateInitialValue(_periodSpan, _window.Size);
            _window.Reset();
        }
 
        private static DateTime GetLastUpdateInitialValue(TimeSpan periodSpan, int periods)
        {
            return DateTime.MinValue + TimeSpan.FromMilliseconds(periodSpan.TotalMilliseconds * periods);
        }
    }
}