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Notebook: Quandl Vix Data Errors

Hi, Having a hard time with both cboe and yahoo quandl vix data, meaning date and price seem to be misaligned in a few places. Please see the notebook for the examples

Thanks for your time

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5 responses

Do you mean CBOE data from quantopian, or CBOE data you fetch_csv yourself? I've had few problems with the latter, but regrettably, I can't recommend the former...

@Simon
Im refferring to both Cboe and Yahoo Quandl data that is provided via Quantopian. The notebook I attached before has the proper inputs.

Thanks for taking a look

Yeah, others have reported problems with that data..

I have tested VixMavg(CustomFactor) bug in March 2016.
But no one from Quantopian team even respond to that.

Thanks Vladimir and Simon,
The errors in close values are understandable (meaning i can manually fix them in notebook) - However the issue #2 that i highlighted in my notebook is still a problem, meaning the misalignment of Close and Asof_Date - Please see the notebook for an example