cones

Build a volatility-cone snapshot summarising realised volatility by window.

Examples

from openbb import obb
# Get volatility cones for the past two years of SPY.
data = obb.equity.price.historical(symbol='SPY', start_date='2022-01-01', provider='yfinance').results
cones = obb.technical.cones(data=data, model='yang_zhang')
obb.technical.cones(data=[{'date': '2023-01-02', 'open': 110.0, 'high': 120.0, 'low': 100.0, 'close': 115.0, 'volume': 10000.0}, {'date': '2023-01-03', 'open': 165.0, 'high': 180.0, 'low': 150.0, 'close': 172.5, 'volume': 15000.0}, {'date': '2023-01-04', 'open': 146.67, 'high': 160.0, 'low': 133.33, 'close': 153.33, 'volume': 13333.33}, {'date': '2023-01-05', 'open': 137.5, 'high': 150.0, 'low': 125.0, 'close': 143.75, 'volume': 12500.0}, {'date': '2023-01-06', 'open': 132.0, 'high': 144.0, 'low': 120.0, 'close': 138.0, 'volume': 12000.0}])

Parameters

• standard

data: Data | DataFrame | Series | dict | list | list[DataFrame] | list[Data] | list[Series] | ndarray
OHLC price series.

index: str
Default: date
Index column name in data, by default "date".

lower_q: float
Default: 0.25
Lower quantile for the cone band (0–1, exclusive of 1).

upper_q: float
Default: 0.75
Upper quantile for the cone band (0–1, exclusive of 1).

model: str
Default: std
Estimator applied to each rolling window, by default "std".

is_crypto: bool
Default: False
When True and trading_periods is unset, annualise over 365 instead of 252, by default False.

trading_periods: int
Annualisation factor. When unset, resolves to 365 if is_crypto is True, otherwise 252.

chart: bool
Default: False
Whether to create a chart or not, by default False.

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Returns

results: list[ConesData]

Serializable results.

provider: str

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

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Data

• standard

window: int
Rolling window length in bars.

realized: float
Most-recent annualised volatility.

min: float
Historical minimum of annualised volatility at this window.

lower: float
Lower-quantile cone band.

median: float
Historical median of annualised volatility at this window.

upper: float
Upper-quantile cone band.

max: float
Historical maximum of annualised volatility at this window.