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VIX quandl data import #4

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miguelvm opened this issue Apr 3, 2018 · 1 comment
Open

VIX quandl data import #4

miguelvm opened this issue Apr 3, 2018 · 1 comment

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@miguelvm
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miguelvm commented Apr 3, 2018

On march 26th 2007 VIX futures where rescaled as described in http://cfe.cboe.com/publish/CFEinfocirc/CFEIC07-003%20.pdf

Data imported from quandl before this date should be divided by 10 in order to backtest accurately.
@chrism2671
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Ah yes, this happens a bunch with historic data. I'll be rewriting this section so that data can be reformatted on the fly (currently it's reformatted on download, which is problematic in situations like these).

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@chrism2671 @miguelvm