Back to Community
Using VIX in futures algorithms

It is my understanding that Pipeline cannot be used with futures trading.

How could one therefore make use of the VIX S&P500 Volatility free data set with an algorithm that trades futures?

2 responses

Hey Tim,

You could download VIX data directly from CBOE, and use fetch_csv to upload the data for backtesting. You will need to host the csv file on a public url for fetch_csv to work. This can be done easily with Google Sheets, just follow these steps:

1) Upload file to Google Drive
2) Click on it and open with Google Sheets
3) Click on File-> Publish to the web...
4) Click on "Web page" and change to "Comma-separated values (.csv)"
5) Click on publish
6) Copy link and paste into your algorithm

The link Google Sheets gives you after publishing your file should work seamlessly with fetch_csv.


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.

Many thanks, Ernesto!