Hello,
It is my first post here. I am testing api here to make a new strategy, however I have a problem to calculate the average volume before yesterday session. So then I will be able to find a stock which has a huge volume compare to average, but when I test my code in notepad the calculation is the same for all stocks which are wired. What am I missing?
class AvgVolume(CustomFactor):
inputs = [USEquityPricing.volume]
def compute(self, today, assets, out, volumes):
out[:] = volumes[:-1].mean()
pipe = Pipeline()
# Factor of yesterday's close price.
yesterday_volume = USEquityPricing.volume.latest
yesterday_price = USEquityPricing.close.latest
avg_volumes_5 = AvgVolume(window_length=6)
pipe.add(yesterday_volume, 'volume')
pipe.add(avg_volumes_5, 'avg_volumes_5')
pipe.add(BusinessDaysSincePreviousEarnings(), 'earnings')
universe = QTradableStocksUS() 