Back to Community
VXX dataset - How to fix?

Hi. I'm trying out Quantopian for the first time. I'm trying to build a simple backtest of what would happen if I short VXX with 10k each month forever.

I'm having trouble because I don't know how to load the old VXX price data.

For those who don't know, VXX started trading in 2009. In 2018ish the fund terminated and the issuer launched the replacement VXXB. Now VXXB trades under the symbol VXX.

They all trade the same thing. I want to know if it is possible to stitch together a price sequence I can use to make a reasonable backtest, or if Quantopian is simply missing this data.

Do I have to go buy historical data, munge it in Excel, then load it into Quantopian? I have to believe there is a more elegant solution.

Does the old ticker have a different CUSIP? Can I use that to fetch the historical data and splice it with the new one in python? How would I find it?

5 responses

From the docs, it seems like this should work, but I don't get anything back.

Loading notebook preview...

Seems that the two ETNs are not linked in Q prices database.

Loading notebook preview...

I was able to fix it on QuantConnect by using the symbol "vxx.1" to get the old vix data. Not sure if that is a market-wide ticker or something they cooked up.

I'd really like it to be the same series though.

I just have a if then else in my code, vxxb vs vxx

Yeah but what if I want the VXX data series from 2009-2018?