Hi all, 

I am stuck on getting the historical data for Cboe/VIX and Cboe/VXV for EMA. SetWarmUp does not work with PythonQuandl at this point. Is there a way to fix it or get around? 

Runtime Error: A data subscription for type 'PythonQuandl' was not found. (Open Stacktrace)

from QuantConnect.Python import PythonQuandl from datetime import datetime, timedelta from decimal import Decimal import numpy as np class RollingWindowAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018,1,2) self.SetEndDate(2018,3,15) self.SetCash(25000) self.vix = 'CBOE/VIX' self.vxv = 'CBOE/VXV' self.AddData(QuandlVix, self.vix, Resolution.Daily) self.AddData[Quandl](self.vxv, Resolution.Daily) period = 8 self.ratio_ema = ExponentialMovingAverage(period) self.ratio_ema.Updated += self.EmaUpdated self.emaWin = RollingWindow[IndicatorDataPoint](2) self.SetWarmUp(timedelta(8)) def EmaUpdated(self, sender, updated): '''Adds updated values to rolling window''' self.emaWin.Add(updated) def OnData(self, data): if data.ContainsKey(self.vix) and data.ContainsKey(self.vxv): self.ratio_ema.Update(datetime.now(), data[self.vix].VixClose / data[self.vxv].Value) # self.Log("ratio" + str(self.ratio_window)) if self.ratio_ema.IsReady: self.Log("ratio_ema:{0}".format(self.ratio_ema.Current.Value)) class QuandlVix(PythonQuandl): def __init__(self): self.ValueColumnName = "VIX Close" self.Close = "VIX Close" pass