catalyst/zipline/finance/vwap.py

from datetime import timedelta
from collections import defaultdict

from zipline.transforms.base import BaseTransform
from zipline.finance.movingaverage import EventWindow

class VWAPTransform(BaseTransform):

    def init(self, name, daycount=3):
        self.props = {}
        self.props['name'] = name
        self.daycount = daycount
        self.by_sid = defaultdict(self.create_vwap)

    @property
    def get_id(self):
        return self.props['name']

    def transform(self, event):
        cur = self.by_sid[event.sid]
        cur.update(event)
        self.props['value'] = cur.vwap
        return self.props

    def create_vwap(self):
        return DailyVWAP(self.daycount)

class DailyVWAP(object):
    """
    A class that tracks the volume weighted average price based on tick
    updates.
    """
    def __init__(self, days=3):
        self.window = EventWindow(days)
        self.flux = 0.0
        self.volume = 0
        self.vwap = 0.0
        self.delta = timedelta(days=days)

    def update(self, event):

        # update the event window
        self.window.update(event)

        # add the current event's flux and volume to the tracker
        flux, volume = self.calculate_flux([event])
        self.flux += flux
        self.volume += volume

        # subract the expired events flux and volume from the tracker
        dropped = self.window.dropped_ticks
        dropped_flux, dropped_volume = self.calculate_flux(dropped)

        self.flux -= dropped_flux
        self.volume -= dropped_volume

        if(self.volume != 0):
            self.vwap = self.flux / self.volume
        else:
            self.vwap = None

    def calculate_flux(self, ticks):
        flux = 0.0
        volume = 0
        for tick in ticks:
            flux += tick['volume'] * tick['price']
            volume += tick['volume']
        return flux, volume