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VXX, Minute The issue starts from Jan 30th, 2009; and continues until Jan 17th, 2018

Ticker VXX
From 2009-01-30 00:00:00
To 2018-01-17 00:00:00
Security Type Equity
Market USA
Resolution Minute
Status Resolved

When running a backtest for VXX from any date prior to 1/18/2018 I get following error (using 1/17/2018 as example start date):

"The starting date for symbol VXX, 2018-01-17, has been adjusted to match map file first date 2018-01-18."

Note that on 1/29/2018 VXX became VXXB and then on 5/2/2019 VXXB was changed to VXX.  The necessary files exist in the data viewer so mapping error is my guess.  I did not see the equivalent error in the lean code running locally.

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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.


Hi Chris Higginson, thanks for reporting this, but this is not a data issue.

There is a common misconception respect VXX. VXX didn't become VXXB, VXX expired. The new product that replaced VXX has ticker VXXB later, it ticker changed to VXX.

In other words, the "new" VXX (former VXXB) is different security of the "old" VXX.

That's the reason why if you ask LEAN today to get VXX it will return all data from the "new" VXX i.e., since February 2019

If you want to retrieve the data from the old VXX you should ask for it using it's permtick (vxx.1).

Please check the attached 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.


JayJayD has marked this issue as closed.

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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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