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what am i doing wrong?
james con
posted Mar 19, 2013 
def initialize(context):  
    set_universe(universe.DollarVolumeUniverse(floor_percentile=90.0, ceiling_percentile=100.0))  
# Will be called on every trade event for the securities you specify.  
def handle_data(context, data):  
     for stock, event in data.items():  
       vwap=stock.vwap(1)  
    price=data[stock].mavg(1)  
    notional = context.portfolio.positions[stock].amount * price  
    if vwap is None:  
           return  
    if price < vwap * 0.995 and notional > context.min_notional:  
        order(stock,-100)  
    elif price > vwap * 1.005 and notional < context.max_notional:  
        order(stock,+100)

i seem to not be able to get this algorithm to work, i know i must be missing something. I am trying to learn the set universe stuff, but i really dont get it i guess.

2 responses
Grant Kiehne
Mar 19, 2013

Hello James,

I tweaked your code above and got it to run. See attached and below.

Grant

def initialize(context):  
    set_universe(universe.DollarVolumeUniverse(floor_percentile=90.0, ceiling_percentile=100.0))  
    context.max_notional = 1000000.1  
    context.min_notional = -1000000.0

def handle_data(context, data):  
    for stock, event in data.items():  
        vwap = data[stock].vwap(3)  
        price = data[stock].mavg(3)  
        notional = context.portfolio.positions[stock].amount * price  
        if vwap is None:  
            return  
        if price < vwap * 0.995 and notional > context.min_notional:  
            order(stock,-100)  
        elif price > vwap * 1.005 and notional < context.max_notional:  
            order(stock,+100)
John Fawcett
Mar 19, 2013

Grant, nice fix!

James, I think the confusion is around the data parameter to handle_data. It is a dictionary, where the key is an identifying object and the value is the event with properties. The rolling transforms like vwap, mavg, stddev are all on the event, and above you were trying to access them on the identifier.

thanks,
fawce

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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.