average daily volume

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average daily volume

posted

How do I get daily volume for a security on a particular day? I seem to be unable to find it in the docs? Same goes for other trading measures...

2 responses

Hello Igor,

It's kinda buried in the documentation for the history() API. See https://www.quantopian.com/help#ide-history:

The returned data for daily history, for each day, is:

open_price: the open of the first minute bar of the given day.  
high: the maximum of the minute highs for the given day.  
low: the minimum of the minute bar lows for the given day.  
close_price: the close of the last minute bar in the specified period. This value is not forward-filled. If there is no price in the bar, the returned price is NaN.  
price: the close of the last minute bar as of the specified period. This value is forward-filled. If there is no price in the bar, the returned price is the previous price, until there is new trade data available.  
volume: the sum of all minute volumes. For the current day, the sum of volume thus far.

The data comes in a handy Pandas DataFrame, which you can then slice and dice to your heart's content.

After checking out the help page, if you are still stuck, just post again with questions.

Grant

Hi Grant, I follow the code on https://www.quantopian.com/tutorials/getting-started#lesson6 and try to get daily price and volume.
However, when I use '1d' in my code, it still gives me the minute data.
Can you help me with that ?
Thanks very much.

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.