I have tried to use vix data with 

 

from QuantConnect.Data.Custom.Fred import *


class FocusedLightBrownDolphin(QCAlgorithm):

    def Initialize(self):
        
        # set up
        self.SetStartDate(2005, 1, 1)
        # self.SetEndDate(2020, 5, 1)
        self.SetCash(50000)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)

        self.vix = self.AddData(Fred, Fred.CBOE.VIX).Symbol

but I got an error:

Algorithm.Initialize() Error: During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/main.pyc. AlgorithmPythonWrapper(): ModuleNotFoundError : No module named 'QuantConnect.Data.Custom.Fred'; 'QuantConnect.Data.Custom' is not a package
  at <module>
    from QuantConnect.Data.Custom.Fred import *
===
   at Python.Runtime.PythonException.ThrowIfIsNull(IntPtr ob)
   at Python.Runtime.PythonEngine.ImportModule(String name)
   at Python.Runtime.Py.Import(String name)
   at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) at /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 74
 in main.py: line 1
 ModuleNotFoundError : No module named 'QuantConnect.Data.Custom.Fred'; 'QuantConnect.Data.Custom' is not a package Stack Trace: During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/main.pyc. AlgorithmPythonWrapper(): ModuleNotFoundError : No module named 'QuantConnect.Data.Custom.Fred'; 'QuantConnect.Data.Custom' is not a package
  at <module>
    from QuantConnect.Data.Custom.Fred import *
===
   at Python.Runtime.PythonException.ThrowIfIsNull(IntPtr ob)
   at Python.Runtime.PythonEngine.ImportModule(String name)
   at Python.Runtime.Py.Import(String name)
   at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) at /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 74
 in main.py: line 1
 ModuleNotFoundError : No module named 'QuantConnect.Data.Custom.Fred'; 'QuantConnect.Data.Custom' is not a package	 (Open Stacktrace)

 

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