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struggling with fetcher.... pls help
Peter Bakker
edited

HI guys,

I trying to import an index VXMT (medium term vix) whihc I cannot get from Quandle nor from Yahoo :(

http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxmtdailyprices.csv

The main issue is that the file has 2 lines in the beginning that I need to remove before processing. How can I do that? Can I use pre_func?

Basically I would like to have something we have in R:
vxmt <- xts(read.zoo("vxmtData.csv", header=TRUE, sep=",", format="%m/%d/%Y", skip=2)) where you say you want to skip 2 lines

I would like to use this file for the contest.... so any help would be appreciated . I promise I'll lose ;)

1 response
John Fawcett

Hey Peter,

Here's a backtest that has the skiprows parameter in the fetch_csv. A very nice, but undocumented, feature of fetcher is that you can use most of the parameters that pandas.DataFrame.read_csv accepts (http://pandas.pydata.org/pandas-docs/stable/generated/pandas.io.parsers.read_csv.html). You also need the checks for data availability in the handle_data.

One other thing you need to think about is whether you need to lag the data by a business day. If you have a lookahead bias in backtest, you'll have severe problems in the out of sample portion of the Open.

may the best algo win,
fawce

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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.