I need help with this code. I am trying to get standard deviation for the VWAP and I dont think it coming coming out right. Can let me know what I can do to improve my code?
import numpy as np
import pandas as pd
import math as m
import talib
def initialize(context):
context.security = sid(26807)
def handle_data(context, data):
open_orders = get_open_orders()
hist = data.history(context.security, ['price', 'volume'], 240, '1d')[:-1]
hist2 = data.history(context.security, ['price','volume'], 1, '1d')
vwap1 = (hist['price'] * hist['volume']).sum() / hist['volume'].sum()
price = data.current(context.security, "price")
vol= data.current(context.security, "volume")
totvol = hist['volume'].sum()
var = (vol/totvol) * (price - vwap1) * (price - vwap1)
std_upper_1 = vwap1 + m.sqrt(var)
std_lower_1 = vwap1 - m.sqrt(var)
std_upper_2 = vwap1 + m.sqrt(var) *2
std_lower_2 = vwap1 - m.sqrt(var) *2
if price > vwap1:
if context.security not in open_orders:
order_target_percent(context.security, 1.0)
if price < vwap1:
if context.security not in open_orders:
order_target_percent(context.security, -1.0) 