VIX data question

Here's the code snippet and explanation you can use to help Moho:

from AlgorithmImports import *

class VIXDailyDataAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Add VIX daily data from CBOE
        self._vix_symbol = self.add_data(CBOE, "VIX", Resolution.DAILY).symbol

        # Schedule an event to run once at noon on the next trading day
        self.schedule.on(self.date_rules.tomorrow, self.time_rules.noon, self.print_vix_data)

    def print_vix_data(self) -> None:
        # Fetch the last 10 daily bars for VIX
        history = self.history(self._vix_symbol, 10, Resolution.DAILY)

        # Loop through each bar in the DataFrame and print the index/timestamp and closing price
        # The timestamp is in UTC. For daily data, QuantConnect labels bars at the end of the trading day in UTC,
        # which can result in a Saturday timestamp if the market closes late on Friday. This is why Saturday may appear
        # and Monday might not. If you want to align with end-of-day in local time, you could shift back by one day
        # (i.e., using the previous day's date in your analysis or research).
        vix_df = history.loc[self._vix_symbol]
        for time, row in vix_df.iterrows():
            self.debug(f"Time (UTC): {time} -> Close: {row['close']}")

Explanation for Moho:

• The CBOE VIX daily bar is sometimes labeled with a Saturday timestamp (e.g., 06/21) because QuantConnect aligns its bar with the end of the trading session in UTC. If US markets close late on Friday, this may correspond to early Saturday in UTC, causing the timestamp to roll to Saturday.
• There is no Monday bar because the data is end-of-day: Friday's trading activity is represented by that late-Friday/early-Saturday timestamp; US markets do not trade on weekends.
• Recommended best practice: For research/analysis, you can shift Saturday timestamps back to Friday to properly align the data with the intended trading date. This is a common convention for EOD US market feeds processed in UTC.
• In backtests and algorithms, this technicality doesn't typically matter as the bar content is correct, but for clean presentation or alignment with external sources, shifting is reasonable.

Let me know if you want a data-shifting example or research environment code!

Sources: VIX Daily Price - QuantConnect.com, Vix Predicts Stock Index Returns, docs writing algorithms datasets vix central vix central contango, Exploiting Term Structure Of Vix Futures, Sentiment And Style Rotation Effect In Stocks