Bad VIX fetch from CBOE on 9/9/2016?

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Bad VIX fetch from CBOE on 9/9/2016?

posted

Hi,

To get yesterday's VIX, my algo fetches from http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv. Today it saw NaN (not a number). Did anybody else experience this? Thanks!

Robert

4 responses

Robert,

I have never used that csv in the past, but I am wondering if the first row with the quote below caused the nan:

"CBOE data is compiled for the convenience of site visitors and is furnished without responsibility for accuracy and is accepted by the site visitor on the condition that transmission or omissions shall not be made the basis for any claim demand or cause for action. Your use of CBOE data is subject to the Terms and Conditions of CBOE's Websites."

Has this row of text been included in the csv file in the past?

Simon Thornington

Robert - yes, my algo failed this morning too. A restart around 11:30am EST sorted everything out, but I'd missed my trades.

Frank, yes, I think this disclaimer has been there a long time.

Simon, thanks! (I haven't restarted, but am hoping for the best on Monday. :))

Simon Thornington

Haha well, I'm not hoping for the best per se, but I think I'll wake up early to catch the market open. We are doomed to live in interesting times.

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.