Share New Research 
Hello,
Is there a way to easily calculate IV30 for a particular underlying and store in a rolling window?
Thanks,
Brad
QUANTCONNECT COMMUNITY
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
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
Brad Hallett
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!