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I'm trying to run this:
https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/AltData/CachedAlternativeDataAlgorithm.py
but getting the following error:
20200214 14:38:02.391 ERROR:: SubscriptionDataSourceReader.CreateStreamReaderError(): File not found: /Users/usr/Downloads/Data/alternative/cboe/vix.csv
20200214 14:38:02.424 ERROR:: We could not fetch the requested data. This may not be valid data, or a failed download of custom data. Skipping source (/Users/usr/Downloads/Data/alternative/cboe/vix.csv).
am I missing a configuration? what is the format suppose to be if I need to do manual, thanks
or is there a completely different way to VIX data into LEAN?
Rahul Chowdhury
Hey Andrew,
You can access the CSV file from http://cache.quantconnect.com/alternative/cboe/vix.csv.
You can get this data from the cache. QuantConnect downloads this data from Quandl and makes it available through the cache to avoid multiple API calls to Quandl.
Andrew Chan
thanks so much. this worked perfect, will some of the other indicies be loadable too, like http://www.cboe.com/products/vix-index-volatility/volatility-on-stock-indexes/cboe-3-month-volatility-index-vxv
Rahul Chowdhury
Hey Andrew,
You can access 3 month VIX data from the CBOE website. The csv contains daily data starting from 2007. You'll need to import the data onto Lean using Custom Data.
Andrew Chan
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