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directly supplying integers to data[]

i keep getting an error if i have something like this

inty=3
data[context.sid].vwap(inty)

but if i have

data[contet.sid].vwap(3)

it works fine.

is that how its supposed to be? is there anyway i can put a variable in this expression.

sorry if this is a dumb question, I'm self-taught on python, and fairly new.

1 response

Hi Scott,

The vwap function has to take a static integer into the function. If you want to pass in a variable, you can create a large history dataframe, and then index into it to select your data.

Here's an example where I used your code inty=3 to return the last 3 days vwap. You can clone it and continue tweaking for your strategy.

Cheers,
Alisa

Clone Algorithm
2
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Total Returns
--
Alpha
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Beta
--
Sharpe
--
Sortino
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Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
def initialize(context):
 
    context.stock = sid(2754)
   
   
def vwap_func(prices, volumes):
    return (prices * volumes).sum() / volumes.sum()

def handle_data(context, data):
    
    #create a trailing history of 50 days
    #history will return all the days plus the current day
    #so we will drop the current day's values
    prices = history(51, '1d', 'price').iloc[0:-2]
    volumes = history(51, '1d', 'volume').iloc[0:-2]
    
    #variable to index into dataframe
    inty = 3
   
    #index into dataframe and return variable's vwap
    price_stock = prices[context.stock].iloc[inty:]                                    
    volume_stock = volumes[context.stock].iloc[inty:]
    my_vwap = vwap_func(price_stock, volume_stock)
There was a runtime error.
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