Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
calculation of the pipeline()
allan tu
posted Oct 7, 2015
Pipeline

Hello,
I am reading through with API Doc, and found in the section of pipeline, there is a chart for VWAP:
https://www.quantopian.com/assets/help_pipeline_vwap.svg

I found my calculation is different to the document. the documented result is: AAPL: 5.0, FB:5.5, MSFT:6.5.

While my calculation is:

AAPL: (100*1.5+300*3.0+150*4.5+100*6)/(100+300+150+100) = 3.6
FB: (250*2.0+200*3.5+400*5.0+200*6.5)/(250+200+400+200)=4.3
MSFT: (200*2.5+100*4.0+300*5.5+250*7.0)/(200+100+300+250)=5.0

So do I make the right calculation for VWAP? Or otherwise, how shall I make it to the result by official API Doc?
Best regards, Allan

2 responses
Scott Sanderson
Oct 7, 2015

@allan it looks like the diagram is just wrong. Good catch! I'll update the docs.

Disclaimer

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.

James Gilbert
Oct 19, 2015

@Scott would it not make sense for the diagram in the API to actually be for the example that is being represented in the API. It's just weird to be walking through the example about simple moving averages, and then use VWAP in the illustration.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.