how to make a wind direction sensor

I bought a wind speed sensor from Modern Device, but the direction is also needed. Could someone tell me how to make this kind of wind sensor in details? What things is essencial? I found some wind direction sensor on ebay (http://www.ebay.co.uk/itm/370606240470), but I dont know how to make it connected to Arduino. =(

Because my model is very small, a big climate station cannot be used.

Any advise would be appreciated.

Thank you all.

You can see on that Ebay page, that it is a SS94A1 Hall Effect Sensor.
If you google that, you will find that it is made by Honeywell, and is a linear sensor.
If you google for "wind ss94a1" to see how it is used in a wind meter, you can find a document that describes that.

The SS94A1 sensor is a part of a wind meter. The wind meter contains a magnet, and it's magnetism is sensed by the sensor. If you want to know the wind direction, just buy one of those meters.

You need a winder sensor: plenty of examples for that.

Then, you need a direction sensor: a compass, a gyro, a pot, an encoder, etc.