Back

VIX

Anyone know how to get historical spot VIX in 2017? It looks like they yanked Google and Yahoo from Quandl so a lot of the old examples are out of date. I've managed to get data in from Quandl and found futures VIX, but I can't find the spot VIX anywhere.

Update Backtest








try to find the answer within Alexandre's answer at the end in this posting :)

https://www.quantconnect.com/forum/discussion/1545/easy-volatility-investing

0

OK, I found the spot VIX here:

www.quandl.com/data/CBOE/VIX-Volatility-Index

But I can't get it to run. The VXV comes in ok, but when you uncomment the line for importing the vix the algo crashes.

0


Our Quandl custom data implementation assumes that there is a column with the "close" name.
In the CBOE/VIX data, there is a "vix close" column instead (they have probably change it!!!).

We can select the right column with a class that inherits from Quandl:

AddData<QuandlVix>("CBOE/VIX");

public class QuandlVix : Quandl {
public QuandlVix() : base(valueColumnName: "vix close") { }
}

 

2

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.


That worked Alexandre. Thanks a million.

0

Update Backtest





0

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.


Loading...

This discussion is closed