Why does trying to get the closing price of VXX any farther back than 20 days give me bad numbers?

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Why does trying to get the closing price of VXX any farther back than 20 days give me bad numbers?

posted

It works for within 20 days then anything more gives those outputs.

2 responses

This just made me discover an interesting behavior of the .iloc[] method.

In your code above you call history with a bar_count of 20 days, but you are indexing into the dataframe with .iloc[-21], which I thought would throw an error, but instead it silently returns whatever garbage is in memory at the location you are indexing into.

Make sure that the indexes into the history dataframe are in agreement with the bar_count parameter. The bug I just mentioned will produce total nonsense with no complaints otherwise.

UPDATE: It looks like the issue of negative indexing into memory not owned by the dataframe has been fixed in later versions of Pandas, but it will be an issue on Quantopian until we bump up our version so use caution in the meantime.

Thanks good catch.

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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.