Hi All,

I have just recently joined QuantConnect from Quantipian and there appears to be a core principle about getting data from Quandl that I am missing.

In a nutshell, I wish to be:

  1. able to get Quandl data for chris/cboe_vx1 and chris/cboe_v2
  2. For each day of Qundl data returned, compare OHLC data for both VX1 and VX2.
  3. If say vx1 < vx2 then buy the SPY else if vx2 < vx2 short the SPY
  4. I would like to be able to expose OHLC history values as well to run eventually run through some indicators to add to the decession process at some point.
Where I am stuck is that I seem to be unable to iterate through the returned data from Quandl to look at OHLC data to make daily decesions as to whether to buy or sell.  A contrived back test is attached to see efforts to date. Any suggestions would be greatly appreciated.