VIX data

Do we have any VIX Index data (intraday prices or daily close) available in backtesting ?



  • cq_devcq_dev Posts: 5
    edited March 2017

    No, currently we do not have VIX data in our market data. ETF's VXX and XIV (inverse VIX) are however available.

  • Is the ETF 'VXX' data only available for a last couple of years?

  • ptunneyptunney Posts: 246

    VXX data is there all the way back to 2011. There is, however, a limit on the number of bars you can query from any particular backtesting date. This is to keep system performance high. It can also be overridden but will significantly impact the performace of your backtest as it will have to calculate the splits/divs for any qualified symbols going back as far as you request for each day you backtest. We found that 98% of backtests used daily historical data going back no more than one year.

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