How would one compare today's first half hour volume to average first half hour volume?

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How would one compare today's first half hour volume to average first half hour volume?

posted Mar 15, 2015

As a novice pythonite, I wonder how to code this: Compare first half hour volume today with the first half hour 10-day average volume. Buy, if today's volume is greater.

2 responses

@Easan K., I don't think this works -- mainly due to the apparent inconsistency of the retrieval of exactly the correct number of periods and the pandas resampling into the correct and accurately timestamped buckets. But, it's a place to start. I might try to manually extract the 1/2 hour buckets of volume by examining the timestamps... What a chore though. Without doing that however, I just wouldn't trust python/pandas to reliably return the right volume bars.

Thank you so much, Market Tech. What beautiful, clean, sensible code you write ! Exact or not, this creates a healthy-looking, benchmark-beating equity.

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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.