Overall Statistics
# https://www.quandl.com/data/CBOE/VIX-Volatility-Index
from QuantConnect.Python import PythonQuandl

class RollingWindowAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2018,1,1) 
        self.SetEndDate(2018,3,12)  
        self.SetCash(25000)          
        self.AddData(QuandlVix, 'CBOE/VIX', Resolution.Daily)


    def OnData(self, data):
        self.Log(str(data["CBOE/VIX"].VixClose)) #VixLow, VixHigh, VixOpen

class QuandlVix(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = "VIX Close"
        self.close = "VIX Close"
        pass