.VXV - does not chart - Wealth Lab Forum

MrIzzy

#1

9/8/2011 10:14 PM

Hi There,

I am looking for the .VXV index - it is the CBOE 3 month volatlity index. In a chart window, I only see the last bar (today). Why?
The same plot window creates a complete chart of .VIX or .SPX for example.

Thanks

Eugene

#2

9/9/2011 1:43 AM

Have you called Fidelity?

FAQ: I have a problem with Fidelity data

Cone

#3

9/9/2011 4:41 AM

No Data here. The chart history does not seem to be available for .VXV

Eugene

#4

9/9/2011 4:48 AM

I can add VXV to a future release of the CBOE static provider. Perhaps no big deal as the data is available.

MrIzzy

#5

9/9/2011 10:20 AM

Hi Eugene,

Thank you - so when can we expect to see the VXV data in a chart?

Izzy

Eugene

#6

9/9/2011 10:44 AM

When the Extension Manager signals about an available update to this provider (if installed): CBOE Static Provider

Sorry can't be more specific now. A 'mission critical' task is waiting for my input.

Eugene

#7

9/9/2011 10:46 AM

Let's say October.

MrIzzy

#8

9/9/2011 8:18 PM

Thank you, Eugene.

MrIzzy

#9

9/9/2011 9:27 PM

Hi Eugene,

CBOE maintains a spreadsheet with VXV data, see here
http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxvdailyprices.csv

So - is there a way to import the data from the .CSV file and into WealthLab so it will be accessible to the startegies?

Thanks in advance - please forgive if it's a simple question - I've never used the import data command before.

MrIzzy

#10

9/9/2011 10:03 PM

Please disregard - I was able to load the data

Eugene

#11

9/10/2011 1:43 AM

And if you're like me who doesn't like download ASCII files - even in an automated way - then here's something for you:

CODE:
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And if you're like me who doesn't like download ASCII files - even in an automated way - then here's something for you:
[CODE]
using System;
using System.Globalization;
using System.Net;
using System.IO;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class PutCallRatio : WealthScript
	{			
		protected override void Execute()
		{
			Bars vxv = new Bars( "VXV", BarScale.Daily, 0 );
			IFormatProvider format = new CultureInfo("en-US");
			string URI = @"http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxvdailyprices.csv";

if ( GetGlobal("onDemand")  == null )
			{
				/* Download the file and split into lines */
				WebClient client = new WebClient();
				string text = client.DownloadString(URI);
				string[] lines = text.Split(new string[] { "\n" }, StringSplitOptions.RemoveEmptyEntries);

/* Parse the Put/Call Ratio data file starting from line 2 */
				for ( int i = 0; i < lines.Length; i++ )
				{
					try
					{
						string[] t = lines[i].Split(',');		
						DateTime d = DateTime.ParseExact( t[0], new string[] { "MM/dd/yyyy" }, format, DateTimeStyles.None );
						double o = Convert.ToDouble( t[1], format );
						double h = Convert.ToDouble( t[2], format );
						double l = Convert.ToDouble( t[3], format );
						double c = Convert.ToDouble( t[4], format );
						vxv.Add( d,o,h,l,c,1 );
					}
					catch
					{
						PrintDebug( lines[i] );
					}
				}
				SetGlobal( "onDemand", vxv);
			} 
			
			vxv = Synchronize( (Bars)GetGlobal("onDemand") );
			ChartPane VXVPane = CreatePane( 30, true, true );
			PlotSymbol( VXVPane, vxv, Color.Blue, Color.Red );			
		}
	}
}[/CODE]

Eugene

#12

9/10/2011 12:47 PM

QUOTE:

Thank you - so when can we expect to see the VXV data in a chart?

Adding the VXV and some other volatility indices turned out to be a feasible task so I thought let's release it timely rather than later. I'll be unavailable for custom coding for the rest of the month.

Here you go:

CBOE Put/Call Ratio static data provider now supports VXV, VIX, VXN, VXD (volatility indices) in addition to Put/Call ratio data.

Eugene

#13

9/10/2011 12:57 PM

MrIzzy

#14

9/15/2011 12:30 AM

Thank you, Eugene. That was very helpful.

Izzy

MrIzzy

#15

9/16/2011 6:22 AM

Hi Eugene,

The code you provided was very helpful. It is easy to run the software now as I don't have to manually downlaod the vxvdsilyprices file every day and import it into WL. So many thanks.

We run the procedure on many tickers. We also do many optimizations. Does this mean we access the internat and download the file every time it runs? Can we somehow modify the code to download the file only once, the first time we run the procedure?

I was thinking of using a bool (boolean) variable called "firstTime" , and only initializing the Bars vxv object the first time we run it. This approach didn't work since it says

error CS0165 : use of unassigned local variable 'vxvbars'

CODE:
Please log in to see this code.

Size:

Color:

Hi Eugene,

The code you provided was very helpful. It is easy to run the software now as I don't have to manually downlaod the vxvdsilyprices file every day and import it into WL. So many thanks.

We run the procedure on many tickers. We also do many optimizations. Does this mean we access the internat and download the file every time it runs? Can we somehow modify the code to download the file only once, the first time we run the procedure?

I was thinking of using a bool (boolean) variable called "firstTime" , and only initializing the Bars vxv object the first time we run it. This approach didn't work since it says

error CS0165 : use of unassigned local variable 'vxvbars'

[CODE]
bool firstTime = true;

if (firstTime) {
			
			
				vxvbars = new Bars( "VXV", BarScale.Daily, 0 );	
				IFormatProvider format = new CultureInfo("en-US");		
				string URI = @"http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxvdailyprices.csv";		
				if ( GetGlobal("onDemand")  == null )		
				{				/* Download the file and split into lines */		
					WebClient client = new WebClient();			
					string text = client.DownloadString(URI);	
					string[] lines = text.Split(new string[] { "\n" }, StringSplitOptions.RemoveEmptyEntries);
					/* Parse the Put/Call Ratio data file starting from line 2 */		
					for ( int i = 0; i < lines.Length; i++ )			
					{					try				
							{						string[] t = lines[i].Split(',');			
							DateTime d = DateTime.ParseExact( t[0], new string[] { "MM/dd/yyyy" }, format, DateTimeStyles.None );
							double o = Convert.ToDouble( t[1], format );				
							double h = Convert.ToDouble( t[2], format );				
							double l = Convert.ToDouble( t[3], format );					
							double c = Convert.ToDouble( t[4], format );					
							vxvbars.Add( d,o,h,l,c,1 );					}	
						catch				
						{					
							PrintDebug( lines[i] );			
						}
					}			
					SetGlobal( "onDemand", vxvbars);		
				} 		
				vxvbars = Synchronize( (Bars)GetGlobal("onDemand") );		
				//	ChartPane VXVPane = CreatePane( 30, true, true );		
				//	PlotSymbol( VXVPane, vxvbars, Color.Blue, Color.Red );	
                             firstTime = false;
			}

[/CODE]

Eugene

#16

9/16/2011 6:41 AM

Perhaps you have overlooked my forum post in this thread from 9/10/2011 12:47 PM. Forget about that code, it's not required any longer.

Download and install the CBOE provider (Extensions section > Providers), create and update the CBOE DataSet (be sure to tick the CBOE volatility indices checkbox), and the included CBOE symbols like VXV will always be up to date.

richard1000

#17

10/3/2011 12:29 PM

Hello Eugene. Can I also request some additional symbols to be added to CBOE provider?

KCJ, ICJ, JCJ
http://www.cboe.com/micro/impliedcorrelation/default.aspx
updated daily csv file
http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/implied_correlation_hist.csv

SKEW
http://www.cboe.com/micro/skew/introduction.aspx
updated daily csv file
http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/Skewdailyprices.csv

Eugene

#18

10/3/2011 12:58 PM

Hello Richard,

KCJ, ICJ, JCJ - No, no way (irregular structure, rotating contracts).

SKEW - Yes, possible. Next release.

richard1000

#19

10/3/2011 1:26 PM

Then for KCJ, ICJ, JCJ, only way is to manually edit and import as ascii? Any other efficient way to import the data?

So far, I can find no (free) data provider with historical data for these symbols. I did find that eSignal has it but of course, it can't be imported yet.