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Understanding Quandl Data Dates

Hi all, 

Can anyone help me with the quandl data? Specifically, part of my stragety involves CBOE/VIX data, and the data is not matching when I compared wth the source.

http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv

2018-01-01 00:00:00 : Launching analysis for ed1fb475b5a6e861931fb27b4160977c with LEAN Engine v2.4.0.1.3231
2018-01-03 00:00:00 : vix close: 9.77
2018-01-04 00:00:00 : vix close: 9.15
2018-01-05 00:00:00 : vix close: 9.22
2018-01-09 00:00:00 : vix close: 9.52
2018-01-10 00:00:00 : vix close: 10.08
2018-01-11 00:00:00 : vix close: 9.82
2018-01-12 00:00:00 : vix close: 9.88
2018-01-13 00:00:00 : vix close: 10.16
2018-01-17 00:00:00 : vix close: 11.66
2018-01-18 00:00:00 : vix close: 11.91
2018-01-19 00:00:00 : vix close: 12.22
2018-01-20 00:00:00 : vix close: 11.27
2018-01-23 00:00:00 : vix close: 11.03
2018-01-24 00:00:00 : vix close: 11.1
2018-01-25 00:00:00 : vix close: 11.47
2018-01-26 00:00:00 : vix close: 11.58
2018-01-27 00:00:00 : vix close: 11.08
2018-01-30 00:00:00 : vix close: 13.84
2018-01-31 00:00:00 : vix close: 14.79
2018-02-01 00:00:00 : vix close: 13.54
2018-02-02 00:00:00 : vix close: 13.47
2018-02-03 00:00:00 : vix close: 17.31
2018-02-06 00:00:00 : vix close: 37.32
2018-02-07 00:00:00 : vix close: 29.98
2018-02-08 00:00:00 : vix close: 27.73
2018-02-09 00:00:00 : vix close: 33.46
2018-02-10 00:00:00 : vix close: 29.06
2018-02-13 00:00:00 : vix close: 25.61
2018-02-14 00:00:00 : vix close: 24.97
2018-02-15 00:00:00 : vix close: 19.26
2018-02-16 00:00:00 : vix close: 19.13
2018-02-17 00:00:00 : vix close: 19.46
2018-02-21 00:00:00 : vix close: 20.6
2018-02-22 00:00:00 : vix close: 20.02
2018-02-23 00:00:00 : vix close: 18.72
2018-02-24 00:00:00 : vix close: 16.49
2018-02-27 00:00:00 : vix close: 15.8
2018-02-28 00:00:00 : vix close: 18.59
2018-03-01 00:00:00 : vix close: 19.85
2018-03-02 00:00:00 : vix close: 22.47
2018-03-03 00:00:00 : vix close: 19.59
2018-03-06 00:00:00 : vix close: 18.73
2018-03-07 00:00:00 : vix close: 18.36
2018-03-08 00:00:00 : vix close: 17.76
2018-03-09 00:00:00 : vix close: 16.54
2018-03-10 00:00:00 : vix close: 14.64
2018-03-13 00:00:00 : vix close: 15.78
2018-03-14 00:00:00 : vix close: 16.35
2018-03-15 00:00:00 : vix close: 17.23

Update Backtest








2018-1-8 is Monday and is missing data.

2018-1-20 is Saturday and it is running.

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The log statements here:  2018-03-15 00:00:00 : vix close: 17.23

Is when the bar arrives in your algorithm -- i.e. after the bar has closed. So this is +1 day from when the bar starts. So e.g. it will appear like its starting on Tuesday and finishing on Saturday.

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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 explains the behavior of it. Doesn't it make more sense of having:

Monday gets last Friday close price

Tuesday gets Monday close price

....

Friday gets Thursday

There should not have data and my stragety should not be exeucted on Sat. 

Or how do I properly handle this? 

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Also, if the data is coming in from Tue. to Sat onData(). Why the data is missing on 2018-1-6, which I expect $9.22? 

The source has the following data:

1/4/18 $9.22

1/5/18 $9.22

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Hi Wally, 

Please check this algorithm. On 01/06/2018, the vix close is 9.22. The vix data is daily. You can only get the daily OCHL after the day. For example, at 2018-01-04 00:00:00, you get the daily OCHL on 2018-01-03. 

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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.


Thanks for the reply. That was very helpful. The only problem now is SetWarmUp line 19 and I am getting error. 

System.Exception: A data subscription for type 'PythonQuandl' was not found.
at QuantConnect.Lean.Engine.AlgorithmManager+d__22.MoveNext () [0x0074d] in Lean.Engine.AlgorithmManager+d__22.MoveNext () [0x0074d] in :0 

Is there any fix / workaround to preload custom data? 

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I'm having the same issue - as soon as you add SetWarmUp it gives you the "data subscription for type 'PythonQuandl' was not found." - has anyone found a solution/workaround?  

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Posting bug reports to the forum get lost as demonstrated with this 3mo old thread; if you think there's a bug in LEAN please the report to support@quantconnect.com with a simple test case and then we can isolate, verify and record it to be fixed.

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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.


Update Backtest





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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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