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Hi, There
I am debugging my algrithm which will base on daily CBOE VIX, VIX3M data to trade SVXY and VXX when criteria satisfied. However, when check detailed daily data readiness of each equity, lots of data missing error reported in OnData() method.
You can reproduce the issue in attached backtest. Can you help to check if that is real data missing issue or my data readiness check logic problem?
ps. I planned to use data from 2012/01/01, but due to data missing issue so limited it to 2020/01/01 - now.
Appreciate for your quick advice.
Louis Szeto
Hi Kong
While VX Contango is based on futures, it might have different “trading days” than equities like VXX/SVXY, so you will have “missing data” in these days (e.g. 2021-12-25). Same case for other data/asset classes missing points, but it is not a consistent problem. Thus, just put your trading logic on checking the existence of the “trigger data” within the incoming slice shall be fine. BTW we recommend minute resolution for Equities/Options for more accurate filling & bid-ask slippage.
Best
Louis
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Kong Tian
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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