Does anyone know why I cannot link the sid vix to the fetched data so I can access it in def handle? It keeps failing and I can't figure this out.
Idea is to generate data frames from imported data and line it up with other price data by date so I can use it for signal generation.
import pandas as pd
import numpy as np
def pre_funct(df):
df = df.rename(columns={'VIX Close': 'price'})
df = df.fillna(method='ffill')
df = df[['price', 'sid']] #why sid won't append?
log.info(' \n %s ' % df.head())
return df
def initialize(context):
fetch_csv('https://www.quandl.com/api/v3/datasets/CBOE/VIX.csv',
date_column = 'Date',
date_format = '%y-%m-%d',
symbol = 'vix',
pre_func = pre_funct
)
context.spy = sid(8554)# SPY
#def before_trading_start(context, data)
def handle_data(context,data):
if 'price' in data['vix']:
Vix = data['vix'].price
record(Vix=Vix)
SPY = data[context.spy].price
record(SPY=SPY) 