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Hello,
Is there a way to easily calculate IV30 for a particular underlying and store in a rolling window?
Thanks,
Brad
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Rahul Chowdhury
Hey Brad,
Since there isn't an in-built IV30 indicator, you'll need to manually calculate and store it in a rolling window youself. The easiest way to do this is to create a dedicated consolidator for that symbol and then use the DataConsolidated event handler to calculate and store the IV30 value.
# # In Initialize iv30_consolidator = TradeBarConsolidator(timedelta(minutes=5)) iv30_consolidator.DataConsolidated += self.OnDataConsolidated self.iv30_window = RollingWindow[float](10) def OnDataConsolidated(self, sender, bar): iv30_val = ... self.iv30_window.Add(iv30_val)Best
Rahu
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