fawce · January 8, 2012 14:07 · Jan 8, 2012
diff --git a/quantopian_tutorial.py b/quantopian_tutorial.py
@@ -0,0 +1,41 @@
+vwapMap = {}
+
+class DailyVWAP:
+    """A class that tracks the volume weighted average price
+       based on tick updates."""
+    def __init__(self, sid, period_length):
+        self.sid = sid
+        self.ticks = []
+        self.value = 0.0
+        self.period_length = period_length
+
+    def update(self,curTick):
+        self.ticks.append(curTick)
+        self.ticks = [x for x in self.ticks if (x.dt - curTick.dt).days <= self.period_length]
+
+        flux = 0.0
+        volume = 0
+        for tick in self.ticks:
+            flux += tick.volume * tick.price
+            volume += tick.volume
+        if(volume != 0):
+            self.value = flux / volume
+        else:
+            self.value = None
+
+set_filter([19656])
+def handle_events(eventQueue): 
+    for curTick in eventQueue:
+        vwap = None
+        if vwapMap.has_key(curTick.sid):
+            vwap = vwapMap[curTick.sid]
+        else:
+            vwap = DailyVWAP(curTick.sid, 3) #period is 3 days
+        vwap.update(curTick)
+
+        if(vwap == None or vwap.value == None):
+            continue
+        if curTick.price > vwap.value:
+            order(curTick.sid,100)
+        elif curTick.price < vwap.value * (0.995): 
+            order(curTick.sid,-100)