VXX dataset - How to fix?

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VXX dataset - How to fix?

John Shedletsky

posted Apr 28, 2020

Hi. I'm trying out Quantopian for the first time. I'm trying to build a simple backtest of what would happen if I short VXX with 10k each month forever.

I'm having trouble because I don't know how to load the old VXX price data.

For those who don't know, VXX started trading in 2009. In 2018ish the fund terminated and the issuer launched the replacement VXXB. Now VXXB trades under the symbol VXX.

They all trade the same thing. I want to know if it is possible to stitch together a price sequence I can use to make a reasonable backtest, or if Quantopian is simply missing this data.

Do I have to go buy historical data, munge it in Excel, then load it into Quantopian? I have to believe there is a more elegant solution.

Does the old ticker have a different CUSIP? Can I use that to fetch the historical data and splice it with the new one in python? How would I find it?

5 responses

John Shedletsky

From the docs, it seems like this should work, but I don't get anything back.

Seems that the two ETNs are not linked in Q prices database.

John Shedletsky

I was able to fix it on QuantConnect by using the symbol "vxx.1" to get the old vix data. Not sure if that is a market-wide ticker or something they cooked up.

I'd really like it to be the same series though.

I just have a if then else in my code, vxxb vs vxx

John Shedletsky

Yeah but what if I want the VXX data series from 2009-2018?

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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.