There are already several good posts about accessing VIX data via the pipeline and thanks to those and the examples I've gotten it working.
That being said it would appear from multiple posts that Quantopian currently doesn't have access to the "SPOT" VIX data only the OHLCV through the day. This is an issue for me as the strategy that I've created relies on the value of the VIX at the open of the market each day.
Going forward, outside of quantopian, I can scrape the value to live trade through the day. For backtesting though I'd like to "cheat" and do a forward in time look to grab the VIX open from the next day (which would be available in real life when I'm trading).
I "thought" I could simply create a custom factor to look ahead but it appears to be returning "today's" (actually yesterday's) open value. Could someone please point me in the right direction?
class VixOpenFuture(CustomFactor): window_length = 1 inputs = [cboe_vix.vix_open] def compute(self, tomorrow, assets, out, value): out[:] = value