Hi folks - people have been asking for intraday VIX data since at least 2013, possibly earlier.
Is it safe to say that this data basically never going to be available? Or is there still a chance it will be included with other spot prices when futures are implemented?
Simon.
The launch of futures will have pricing and volume data for many US futures including VIX, but will not include spot prices. We may consider adding spot data at some point in the future, but it will not be available right away.
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Hi Jamie, can you please elaborate on why spot VIX data isn't available in Quantopian? Spot VIX is one of the most simple and powerful market indicators and an integral part of many successful algorithms. Besides making regular algorithms better, having spot vix data would open up Q to a world of new volatility-based algorithms with amazing potential. This topic comes up over and over.
Hi Mark,
I definitely agree that there is value in spot data. The answer is simply that we haven't been able to prioritize it yet. At some point in the future, we would like to add it. The focus right now is on getting futures out in research and backtesting.
Out of curiosity, do you have any suppliers of spot data that you rely on, or any that you have found to be unreliable? It sounds like you have some experience with it, and I'd love to get your feedback.
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.
Bloomberg has always been solid. eSignal was pretty good. ActiveTick was pretty bad (but cheap). I've heard nxcore is ok, but unfortunately run by nanex I think. There was another one whose name I forget that was quite good, but you had to run a daemon on a Windows machine which was annoying.
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.
