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Stale VIX pipeline feed?
Robert Putnam
posted Jan 8, 2016

I'm trying to use the pipeline VIX data feed in my contest algo. The algo is seeing two-day-old values, so VIX is correct (i.e., equal to the previous trading day's close) only after weekends and holidays.

Here's log output comparing fetched VIX values with pipeline VIX values:

2015-12-21 Fetched VIX = 20.70 Pipeline VIX = 20.70 MATCH
2015-12-22 Fetched VIX = 18.70 Pipeline VIX = 20.70 MISMATCH
2015-12-23 Fetched VIX = 16.60 Pipeline VIX = 18.70 MISMATCH
2015-12-24 Fetched VIX = 15.57 Pipeline VIX = 16.60 MISMATCH
2015-12-28 Fetched VIX = 15.74 Pipeline VIX = 15.74 MATCH
2015-12-29 Fetched VIX = 16.91 Pipeline VIX = 15.74 MISMATCH
2015-12-30 Fetched VIX = 16.08 Pipeline VIX = 16.91 MISMATCH
2015-12-31 Fetched VIX = 17.29 Pipeline VIX = 16.08 MISMATCH
2016-01-04 Fetched VIX = 18.21 Pipeline VIX = 18.21 MATCH
2016-01-05 Fetched VIX = 20.70 Pipeline VIX = 18.21 MISMATCH
2016-01-06 Fetched VIX = 19.34 Pipeline VIX = 20.70 MISMATCH
2016-01-07 Fetched VIX = 20.59 Pipeline VIX = 19.34 MISMATCH

I've reported this to Q.

Robert

12 responses
Josh Payne
Jan 8, 2016

Hi Robert,

Thanks for pointing this out. We've got a PR that we're working on to fix this up as soon as we can.

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 Thornington
Jan 9, 2016

Ouch!

Calder Lamb
Jan 25, 2016

Has this been fixed?

Robert Putnam
Jan 25, 2016

To my knowledge, no.

Josh Payne
Jan 25, 2016

Robert is correct. We've coded up a fix for this and other issues regarding the VIX data but are still in the testing phase. I'll comment here on this thread when the fix has been shipped.

Thanks

Josh Payne
Jan 27, 2016

Robert, Calder, this issue has now been fixed on production. Data for VIX (and other partner data sets) that are properly processed prior to 8:45am are now available for use in paper trading. before_trading_start() is executed at 8:45am ET. The time a data record was processed and saved (and thus available) is viewable in research for each data set as the timestamp column.

For those interested in trying out this and other partner data, you can go to quantopian.com/data, click on the data set you'd like to work with and hit the "Get free sample" button in order to access and try the free sample. For fully free data sets, there's just a single, simple "Get" button.

Thanks for the help in improving the product,
Josh

Calder Lamb
Jan 27, 2016

Thank you.

Robert Putnam
Jan 27, 2016

This is much appreciated. Thanks, Josh!

Macro Investor
May 3, 2016

I just got the same error again. I ran my backtest from 10/5/2011 to 4/29/2016 and it matched on almost every day but the below 7 days.

2015-12-16 my_rebalance:123 INFO Vix 22.73
2015-12-16 my_rebalance:124 INFO Fetch Vix 20.95
2015-12-17 my_rebalance:123 INFO Vix 20.95
2015-12-17 my_rebalance:124 INFO Fetch Vix 17.86
2016-04-20 my_rebalance:123 INFO Vix 13.35
2016-04-20 my_rebalance:124 INFO Fetch Vix 13.24
2016-04-21 my_rebalance:123 INFO Vix 13.24
2016-04-21 my_rebalance:124 INFO Fetch Vix 13.28
2016-04-22 my_rebalance:123 INFO Vix 13.28
2016-04-22 my_rebalance:124 INFO Fetch Vix 13.95
2016-04-26 my_rebalance:123 INFO Vix 13.22
2016-04-26 my_rebalance:124 INFO Fetch Vix 14.08
2016-04-27 my_rebalance:123 INFO Vix 14.08
2016-04-27 my_rebalance:124 INFO Fetch Vix 13.96
End of logs.

Macro Investor
May 3, 2016

Fetch is write, by the way. Also note that the above are the close price of vix from a day back.

Macro Investor
May 3, 2016

Fetch is right, by the way. Also note that the above are the close price of vix from a day back.

Josh Payne
May 3, 2016

Hi Macro, my quick read here is that rather than providing look ahead bias, we are mismatched on what you expect because of processing delays. It seems like on a select number of days (highlighted here by you) we didn't get yesterday's data in time to have it available for before_trading_start() so we forward filled, causing the mismatch. You're getting 2 days ago's data, instead of yesterdays.

You can do your own analysis in the research environment using the interactive namespace, the asof_date column and the timestamp column.

Thanks
Josh

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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.