i am trying to understand
set_universe(universe.DollarVolumeUniverse(floor_percentile=90.0, ceiling_percentile=100.0))
i am unsure of how to apply it without context of an item to execute the order.
can someone write a simple code of lets say if vwap(5) >1 buy, i know it wont make money, but just to see the coding. thanks
This should get you started. Any sids that are added to the context in initialize will always be included in the data "dict". All other sids are the ones selected by the universe.
def initialize(context):
set_universe(universe.DollarVolumeUniverse(floor_percentile=90.0,
ceiling_percentile=100.0))
context.indexes = [sid(8554)]
def handle_data(context, data):
for sid in data:
if sid in context.indexes:
log.info("Index %s vwap(5) %s" % (sid, data[sid].vwap(5)))
try:
if data[sid].vwap(5) > 1:
log.info("Ordering %s" % sid)
order(sid, 1)
except Exception: # NoTradeDataAvailable phantom exception ;)
log.debug("No trade data for sid(%s)" % sid)
Happy Hacking!
7-11
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.
