Handle decimal overflow in Variance indicator

Indicators/Variance.cs

@@ -57,8 +57,20 @@ public Variance(string name, int period)
         /// <returns>A new value for this indicator</returns>
         protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
         {
-            _rollingSum += input.Value;
-            _rollingSumOfSquares += input.Value * input.Value;
+            var previousRollingSum = _rollingSum;
+            var previousRollingSumOfSquares = _rollingSumOfSquares;
+            try
+            {
+                _rollingSum += input.Value;
+                _rollingSumOfSquares += input.Value * input.Value;
+            }
+            catch (OverflowException)
+            {
+                _rollingSum = previousRollingSum;
+                _rollingSumOfSquares = previousRollingSumOfSquares;
+                //Log.Error($"Variance.ComputeNextValue: Decimal overflow detected when adding value {input.Value}. The previous variance value will be returned.");
+                return Current.Value;
+            }
 
             if (Samples < 2)
                 return 0m;

Tests/Indicators/VarianceTests.cs

@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using System;
 using NUnit.Framework;
 using QuantConnect.Indicators;
 
@@ -29,5 +30,22 @@ protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
         protected override string TestFileName => "spy_var.txt";
 
         protected override string TestColumnName => "Var";
+
+        [Test]
+        public void DoesNotThrowOnDecimalOverflow()
+        {
+            var variance = new Variance(3);
+            var time = new DateTime(2020, 1, 1);
+
+            variance.Update(time, 100m);
+            variance.Update(time.AddSeconds(1), 200m);
+            variance.Update(time.AddSeconds(2), 150m);
+            var previousValue = variance.Current.Value;
+
+            var overflowValue = 300000000000000m; // 3e14 squared will exceed decimal.MaxValue
+
+            Assert.DoesNotThrow(() => variance.Update(time.AddSeconds(3), overflowValue));
+            Assert.AreEqual(previousValue, variance.Current.Value);
+        }
     }
 }