r = DataReader("BBRY", "yahoo", '2015-01-01','2015-01-31')

r['ADV']=pd.rolling_mean(r['Volume'], window=5)

Date    Open    High    Low Close   Volume  Adj Close   Symbol   ADV

1/2/2015    11.01   11.11   10.79   10.82   9733200 10.82   BBRY
1/5/2015    10.6    10.77   10.37   10.76   12318100    10.76   BBRY
1/6/2015    10.8    10.85   10.44   10.62   10176400    10.62   BBRY
1/7/2015    10.65   10.8    10.48   10.67   10277400    10.67   BBRY
1/8/2015    10.75   10.78   10.57   10.63   6868300 10.63   BBRY     9,874,680.00

1/9/2015    10.59   10.65   10.28   10.38   7745600 10.38   BBRY     9,477,160.00