diff --git a/zipline/transforms/vwap.py b/zipline/transforms/vwap.py
index 48c0b3ba..ffc097af 100644
--- a/zipline/transforms/vwap.py
+++ b/zipline/transforms/vwap.py
@@ -73,6 +73,7 @@ class VWAPEventWindow(EventWindow):
     """
     def __init__(self, market_aware=True, window_length=None, delta=None):
         EventWindow.__init__(self, market_aware, window_length, delta)
+        self.fields = ('price', 'volume')
         self.flux = 0.0
         self.totalvolume = 0.0
 
@@ -100,7 +101,8 @@ class VWAPEventWindow(EventWindow):
 
     # We need numerical price and volume to calculate a vwap.
     def assert_required_fields(self, event):
-        if 'price' not in event or 'volume' not in event:
-            raise WrongDataForTransform(
-                transform="VWAPEventWindow",
-                fields=self.fields)
+        for field in self.fields:
+            if field not in event:
+                raise WrongDataForTransform(
+                    transform="VWAPEventWindow",
+                    fields=self.fields)