I am trying to find the total volume for a basket of securities but have been unable to.
Any help would be appreciated.
assets =symbols('XLV', 'XLK', 'XLI', 'XLP',)
current_volume = data.history(assets, 'volume', 2, '1d').iloc[-1]
TVOL=0
for asset in assets:
TVOL+= current_volume[asset] Sorry - I posted the wrong backtest. I need the total to come from the pipeline as I believe it is called. What I was thinking was that the volume could be summed through the "Asset" class I made. So the previous day's volume for what would be all securities. Or alternatively - from what I have called "context.output"
Here's an example. You should be able to compute the total volume with:
class VolTot(CustomFactor):
inputs = [USEquityPricing.volume]
window_length = 1
def compute(self, today, assets, out, volume):
out[:] = np.nansum(volume,axis=1) I can't sort out how to index the Pandas dataframe, results, or I'd confirm that the sum is correct by sampling a few days.
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