Does anybody know what's the data source for quantopian's AverageDollarVolume? The reason I ask this is because when I compare quantopian's ADV with Bloomberg's VWAP_TURNOVER, the ADV will always slightly lower than vwap_turnover. Sometimes the difference is marginal but sometimes it is unneglectable. I am assuming the difference is because the data vendor for quantopian only calculates the three main US exchange's turnover but it would be better to confirm with the vendor.
I don't know, but maybe either from their broker(s), or possibly directly from the exchanges? Anything older than 15min the exchange may provide for free through their API?
In source code I found the ADV is calculated by using close price and volume:
def compute(self, today, assets, out, close, volume):
out[:] = nansum(close * volume, axis=0) / len(close)
then I realized the difference comes from the volume. Does anybody know where the volume data in quantopian comes from?
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.