Vix data into LEAN trouble

Back

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?

 

 

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.


Hey Andrew,

You can access the CSV file from http://cache.quantconnect.com/alternative/cboe/vix.csv.

You can get this data from the cache. QuantConnect downloads this data from Quandl and makes it available through the cache to avoid multiple API calls to Quandl.

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.


thanks so much. this worked perfect, will some of the other indicies be loadable too, like http://www.cboe.com/products/vix-index-volatility/volatility-on-stock-indexes/cboe-3-month-volatility-index-vxv

0

Hey Andrew,

You can access 3 month VIX data from the CBOE website. The csv contains daily data starting from 2007. You'll need to import the data onto Lean using Custom Data.

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.


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