Hey all,
Haven't seen a post about this in awhile. Was curious when futures data might be up and running.
My particular interest is VIX futures data (hopefully the vix index data gets added too
Still no timeline on futures that I can share, unfortunately. We resist making commitments until the code is done and fully tested. You can see much of the work in progress in Zipline (v0.8.0 was released Friday).
The first iteration of futures that will be available here on Quantopian will be backtest-only during regular NYSE market hours. That will enable the data and API to be exercised by everyone.
Later iterations will include real-time data and paper trading, followed by real money trading and full trading day support (though not necessarily in that order).
As for the VIX index, we have brought a daily feed onto the platform from our friends at Quandl. A minutely feed is in the "later iterations" category.
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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.
Great to hear that the VIX daily feed is here! I'll plan on weaning myself from fetch_csv for this stream ASAP.
My main algo sometimes looks at VXV as well. Any chance of adding it, too?
Thanks!
Robert
Like this? Definitely in the plans. It's relatively easy for us to add new, daily Quandl feeds like VIX or VXV due to quandl's nice API (and their generosity as well). If there are others you'd like to see natively, built-into the platform from Quandl, feel free to let me know.
We have a list of 50 or so that we have built out now and are working to expose on our Data page, so look for more good stuff from Quandl in the coming days.
Disclaimer
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.
Josh , two questions: one, is the he VIX data from quandl that you folks have integrated sourced from CBOE or Yahoo? The Yahoo data has had errors in the past, but it looks from your VXV link that some data sets are directly copied from CBOE...
Second, is there any data on how frequently, if ever, quandl has failed to update their database prior to market open? Is there any SLA? Using stale prices would be extremely problematic, and I worry about adding another point of failure vs straight fetching from CBOE.
Simon, weirdly, VXMT isn't on quandl so we can't extend our existing Quandl integration to include it. We'd need to go hit CBOE directly (or convince Quandl to add it). Which is a bit more work. But SKEW is there and I'll add that to the list. All of this is on the backlog.
Thanks
Josh
Disclaimer
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.
Simon,
The initial one we loaded from Quandl is from Yahoo. Looks like Quandl likely has two versions of VIX, one from Yahoo, one from the CBOE directly. We will add the CBOE version of VIX, since it seems like it has higher quality and is closer to the source.
The data sets each provide an asof_date column for the data if you are worried about staleness when this data is available inside algos. I don't doubt that failures could occur along the way.
Also, we've expose a few more macro-economic data sets from Quandl in the last few days to use natively in Research and eventually in algos. Enjoy.
Disclaimer
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.
Thanks - having not used these sorts of data sources yet, can you quickly confirm a few things:
- that they shift the data in backtest but do not drop the data in live trading, so that every day, you get only and all the data that was available for download that morning? I put quite a lot of effort into getting that right with
fetch_csv. - that the full history is available from
history - that it works in backtest, paper and live trading
Thanks!
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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.