fetcher fetch_csv question

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fetcher fetch_csv question

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Hi I am looking at algo that uses fetch_csv to retrieve data from quandl. The problem is that the data is often 1 day or more late. So the I will pretty much always get the NaN during live trading I think it's because it can't find today's date row. Is there a way to just pick the first row's data, no matter how old it is?

fetch_csv('https://www.quandl.com/api/v1/datasets/CHRIS/CBOE_VX1.csv',  
        date_column='Trade Date',  
        date_format='%Y-%m-%d',  
        symbol='v1',  
        post_func=rename_col1)

def rename_col1(df):  
    df = df.rename(columns={'Close': 'price','Trade Date': 'Date'})  
    df = df.fillna(method='ffill')  
    df = df[['price', 'Settle','sid']]  
    # Shifting data by one day to avoid forward-looking bias  
    return df.shift(1)

3 responses

Sort by date and select by index.

Hi Andrew, thanks for replying. I am fairly new to Pythoan/Quantopian, can you clarify a little on what you mean by select by index or if there is any sample code on how to do that? Thanks.

Eh. The way the platform wants you to get at fetched CSVs lends itself to getting NaN. Looks like you want to be getting at the head of the frame instead of a possible NaN, you want to be using data.history(assets, field, bar_count, frequency) https://www.quantopian.com/quantopian2/migration#data-current ... I wrote a snippet to try and access the frame directly, but I got a deprecation warning that I shouldn't be accessing the data frame directly.

Something like:
price = data.history(['v_one'], 'price', 5, '1d')
price[0]

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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.