// get default historical volatility for specified duration [in years]
public double GetHistoricalVolatility(string ticker, double duration)
{
// get historical data
ArrayList list = GetHistoricalData(ticker, DateTime.Now.AddDays(-duration * 365), DateTime.Now);
// calculate historical value
return(100.0 * HistoryVolatility.HighLowParkinson(list));
}
// get default historical volatility for specified duration [in years]
public double GetHistoricalVolatility(string ticker, double duration)
{
Symbol.Type type = Symbol.Type.Unknown;
ticker = Symbol.CorrectSymbol(ticker, out type);
// get historical data
ArrayList list = GetHistoricalData(ticker, DateTime.Now.AddDays(-duration * 365), DateTime.Now);
// calculate historical value
return(100.0 * HistoryVolatility.HighLowParkinson(list));
}
protected override void Create() {
#if __BACKTEST
__cCloses = new List<double[]>(1024);
__cCloses.Add(new double[] {0, 0, 0, 0});
#endif
__cTWIBars = BarsOfData(3) as Instrument;
__cSymbolIds = new Dictionary<string, int>(32);
//讀取未平倉量
__cOpenInterest = new OpenInterest(this, 2);
__cOpenInterest.Initialize();
//讀取三大法人多空與未平倉量
__cForeignInvestment = new ForeignInvestment(this, 2);
__cForeignInvestment.Initialize();
//建立歷史波動率指標
__cHistoryV = new HistoryVolatility(this, 2);
//設定計時器(定期抓未平倉量)
__cTimer = new Timer(1000);
__cTimer.AutoReset = false;
__cTimer.Elapsed += Timer_onElapsed;
__cTimer.Start();
}