Example Algorithm for Quantopian - VWAP

quantopian_tutorial.py

vwapMap = {}
         
class DailyVWAP:
    """A class that tracks the volume weighted average price
       based on tick updates."""
    def __init__(self, sid, period_length):
        self.sid = sid
        self.ticks = []
        self.value = 0.0
        self.period_length = period_length
    
    def update(self,curTick):
        self.ticks.append(curTick)
        self.ticks = [x for x in self.ticks if (x.dt - curTick.dt).days <= self.period_length]
        
        flux = 0.0
        volume = 0
        for tick in self.ticks:
            flux += tick.volume * tick.price
            volume += tick.volume
        if(volume != 0):
            self.value = flux / volume
        else:
            self.value = None

set_filter([19656])
def handle_events(eventQueue): 
    for curTick in eventQueue:
        vwap = None
        if vwapMap.has_key(curTick.sid):
            vwap = vwapMap[curTick.sid]
        else:
            vwap = DailyVWAP(curTick.sid, 3) #period is 3 days
        vwap.update(curTick)
        
        if(vwap == None or vwap.value == None):
            continue
        if curTick.price > vwap.value:
            order(curTick.sid,100)
        elif curTick.price < vwap.value * (0.995): 
            order(curTick.sid,-100)