I'm trying to run this:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/AltData/CachedAlternativeDataAlgorithm.py

 

but getting the following error:

20200214 14:38:02.391 ERROR:: SubscriptionDataSourceReader.CreateStreamReaderError(): File not found: /Users/usr/Downloads/Data/alternative/cboe/vix.csv
20200214 14:38:02.424 ERROR:: We could not fetch the requested data. This may not be valid data, or a failed download of custom data. Skipping source (/Users/usr/Downloads/Data/alternative/cboe/vix.csv).

am I missing a configuration? what is the format suppose to be if I need to do manual, thanks

 

or is there a completely different way to VIX data into LEAN?

 

 

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