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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:
- able to get Quandl data for chris/cboe_vx1 and chris/cboe_v2
- For each day of Qundl data returned, compare OHLC data for both VX1 and VX2.
- If say vx1 < vx2 then buy the SPY else if vx2 < vx2 short the SPY
- 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.
Jared Broad
Hi Douglas!
Have you tried setting an authentication key? That is a paid dataset and I'm not sure it'll work without a key. It might be best to send it through to support if it still doesn't work so you don't share your key in the forums.
https://www.quantconnect.com/docs/algorithm-reference/importing-custom-data#Importing-Custom-Data-Quandl-DataHappy New Year!
Jared
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Euan Brown
Hi Douglas,
Have you tried adding VIX futures data to carry out your strategy (rather than using Quandl data)? With minute resolution data you can then aggregate this to make daily data to carry out your strategy.
If you sort the contracts by expiry and then take the first two that should give you the prices for the relevant contracts.
self.vx = self.AddFuture(Futures.Indices.VIX, Resolution.Minute)
self.vx.SetFilter(timedelta(0), timedelta(100))
Douglas Smith
Hi Jared,
In my haste to keep the algorithm simple looking for viewing, I removed the Quandl Key authtentication from the code I posted. When the Quandl token was used in my QuantConnect code the "self.Log("VX1 data not available") was executed. Which is why I'm wondering if I have incorrectly applied the framework to obtain the Quandl values.
Douglas Smith
Euan,
Thank you for your suggestion, I will try it out it and see if that takes me around the Quandl issue. If so then I will come back to accept your answer.
Doug
Jared Broad
Hey Doug, please send an email with a full demo to support@quantconnect.com and we can dig into it. Please include a token to reproduce it so we can debug.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Douglas Smith
I managed to get this to work with the Quandl data after all. The trick was to make sure I used the self.Securities['CHRIS/CBOE_VX1'].Price call in the OnData(self, data): function. See line 28 in the contrived example below in case anyone makes the same mistakes I did.
Many thanks for the suggestions that I received.
Douglas Smith
Chart should be attached below.
Douglas Smith
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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