private void HandleVixData(Slice slice)
{
if (!slice.ContainsKey(_cboeVix))
{
return;
}
if (_vix != null && (_vix as TradeBar).Time.Day == slice.Time.Day)
{
return;
}
_vix = slice.Get <CBOE>(_cboeVix);
var vixHistories = History <CBOE>(_cboeVix, 35, Resolution.Daily)
.Cast <TradeBar>();
if (vixHistories.Any())
{
var momentum = vixHistories
.OrderByDescending(x => x.Time)
.Take(5)
.Select(x => x.Price)
.Average()
/
vixHistories
.OrderBy(x => x.Time)
.Take(5)
.Select(x => x.Price)
.Average();
_tooVolatile = momentum > 2;
Plot("VIX-momentum", "momentum", momentum);
}
Plot("VIX", "price", _vix.Price);
}
/// <summary>
/// Reads the data, which in this case is fake incremental data
/// </summary>
/// <param name="config">Subscription configuration</param>
/// <param name="line">Line of data</param>
/// <param name="date">Date of the request</param>
/// <param name="isLiveMode">Is live mode</param>
/// <returns>Incremental BaseData instance</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var vix = new CBOE();
_step += 0.10m;
var open = _start + _step;
var close = _start + _step + 0.02m;
var high = close;
var low = open;
return(new IncrementallyGeneratedCustomData
{
Open = open,
High = high,
Low = low,
Close = close,
Time = date,
Symbol = new Symbol(
SecurityIdentifier.GenerateBase(typeof(IncrementallyGeneratedCustomData), "VIX", Market.USA, false),
"VIX"),
Period = vix.Period,
DataType = vix.DataType
});
}
