Firstly, thanks for the all the suggestions!
The long and short of it is, the code presently works as a class derived from BaseData. I didn't develop all of the code, so I can't speak to why it's that way. But the developer I'm working with is very good, so I trust he has good reasons. :-)
I worked for several hours attempting to re-write some of the code to use the Quandl data, but I had a hard time figuring out how to get the data I need. The two funds I need historical data for are VIX and VXV. To make a little bit more interesting, on Yahoo, the symbols are "^VIX" and "^VXV" respectively.
When I looked on Quandl I found many funds matching "VIX" and "VXV". So I was trying for the simplest solution that I know would give me the correct data, at around midnight to boot. :-)
@MichaelH, I cloned the code you posted, it seems to do the trick nicely. So thanks for that!
The only thing I'm still having trouble with is how to get the "VXV" data from Quandl. Quandl does have the data, I just haven't figured out how to access it from QuantConnect. Here's the data I'm seeing on Quandl:
https://www.quandl.com/data/CBOE/VXV
I tried using the following prefixes in the GetSource(...) method of Yahoo.cs, neither seemed to work.
- https://www.quandl.com/api/v1/datasets/YAHOO/INDEX_VXV/...
- https://www.quandl.com/api/v1/datasets/CBOE/VXV/...
I searched through the published list of symbole (found here:
https://quantquote.com/docs/symbol_map_comnam.csv), but couldn't find "VXV".
So while MichaelH's code helped a lot, I'm still stumped. :-)