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Using VIX and VXV data
Luca RN
posted Jul 9, 2016
Seeking Help Using Data

I am trying to download a time-series for the VIX and VXV which I would then need to generate a signal. I used the tutorials for the vix and VXV to learn how to deal with these datbases.

I followed the first part of the tutorial to build the pandas array with the data: 

# Import VIX and VXV libraries  
from quantopian.interactive.data.quandl import cboe_vxv as dataset2  
from quantopian.interactive.data.quandl import yahoo_index_vix as dataset1

#import other Datasets  
from odo import odo  
import pandas as pd  
import matplotlib.pyplot as plt

#create the arrays  
vix_df = odo(dataset1, pd.DataFrame)  
vxv_df = odo(dataset2, pd.DataFrame)

When I plotted the arrays everything looks fine. However, when I print them to check how they are structured the dataset looks a bit untidy. It starts from Feb2016 as first value, going up to 2016-05-03 in line 62, and then abruptly go to 2015-12-11. How can I sort the database?

1 response
Nathan Wolfe
Jul 15, 2016

Hi Luca, I tried executing the same code and I cannot reproduce the untidiness that you describe. Would you please take a screenshot of the weird date order to help me out?

In general, if you need to sort a DataFrame, you can use the .sort function, documented here. So you could do something like the following:

vix_df = vix_df.sort('asof_date')
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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.