Hi,
I was trying to develop a volatility strategy when I encountered the problem of working at the same time with pipeline and futures data. As I have already experienced, Quantopian does not allow you to use pipeline in the futures calendar. The question is: Is there a way of retrieving CBOE VIX data without fetching it or without doing pipe.add as it is showed below? I would really needed it for a volatility strategy with futures involved and therefore i can't use pipeline.
class GetVIX(CustomFactor):
window_length = 1
def compute(self, today, assets, out, vix):
out[:] = vix[-1]
def initialize(context):
context.SPY= sid(8554)
pipe = Pipeline()
attach_pipeline(pipe, 'my_pipeline') # get VIX closing price
pipe.add(GetVIX(inputs=[cboe_vix.vix_close]), "Vixclose")
pipe.set_screen(screen = symbol)
