Attempting to get a VWAP of the current day and buy/sell based on price crossing over VWAP. What am I doing wrong?
try this
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import VWAP
def initialize(context):
context.aapl = sid(24)
pipe = Pipeline()
attach_pipeline(pipe, 'vwap_calc')
VWAP_1 = VWAP(window_length=1)
pipe.add(VWAP_1, 'vwap')
def before_trading_start(context, data):
# Our pipeline output includes all securities in the universe.
context.pipe_output = pipeline_output('vwap_calc')
# We narrow it down to just the security we are interesting in.
context.pipe_output = context.pipe_output[context.pipe_output.index == context.aapl]
def handle_data(context,data):
# Here we're getting the volume-weighted-average-price of the security
# defined above, in the context.aapl variable, from the pipeline output.
vwap = context.pipe_output.iloc[0]['vwap']
# We need a variable for the current price of the security to compare to
# the average.
price = data.current(context.aapl, 'price')
if context.aapl in context.portfolio.positions:
if price < vwap:
order(context.aapl,100)
if context.aapl not in context.portfolio.positions:
if price > vwap:
order(context.aapl,100)
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