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I'm running a live algorithim and had a runtime error for VXXB. Says security not found.
Seems like as of May 1 VXXB got changed back to VXX.
https://www.etf.com/sections/daily-etf-watch/volatility-etns-change-tickers?nopaging=1
Damn, I missed out on profits.
Runtime Error: No security definition has been found for the request. Origin: GetHistory: STK VXXB USD Smart Stack Trace: System.Exception: No security definition has been found for the request. Origin: GetHistory: STK VXXB USD Smart
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Eric Clymer
How have you addressed this in historical data? If you're looking for moving averages for example, but only data for VXXB exists tho it's currently trading as VXX? Thanks!
Link Liang
Hi Magno,
Based on our data source and Yahoo finance, both VXX and VXXB are still on the list, therefore there is no Symbol Changed Event or Delisting Event occurred on May 1st. Here I've attached my backtest with logging the price for both tickers and trying to catch symbol change event and delisting event. The log shows their data: on May 2nd, price remains the same for VXXB, while VXX data starts to feed in. Which data source are you using?
Link Liang
Hi Eric,
To use indicators with new symbol, we could create a new indicator and initialize it with historical data of old symbol. Here is more information about History Request Warm-Up. Here I've attached a backtest with example of warming up an indicator with historical data of another symbol. Hope it helps!
Magno0113
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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