Hi there,
I downloaded VIX (IB13455763) data from IB successfully into the historical database:
But when I try to access the data via Pipeline in research, the Sid cannot be found.
I have STK and ETF data in the bundle. Can IND data be ingested into a bundle?
David
Only STK/ETF and FUT are ingested into Zipline, but you can just import quantrocket.get_prices to pull in the VIX data without needing to go through Pipeline.
Of course that means you can't use the Pipeline semantics on the VIX data, so it would perhaps be nice if it were possible to point Pipeline at a history db independently of the bundle.
I have a similar problem / index values are not downloaded into the db:
CBOE VXD = IB33716359 ... you can execute the code below to see the results.
The generated from DB file does not contain the index.
from quantrocket.master import download_master_file, create_universe
download_master_file("spyx3_stk_etf_ind.csv",
sids=["FIBBG000BBV9N3","FIBBG000BDTBL9","FIBBG000BHR296","FIBBG000CX0W11","FIBBG000JLGQR8","FIBBG000JLK7V0","IB33716359"])
create_universe("a13v-spyx3-unv", infilepath_or_buffer="spyx3_stk_etf_ind.csv", replace=True)
list_universes()
from quantrocket.history import create_ibkr_db
create_ibkr_db("a13v-spyx3-eod-db", start_date="2018-01-04", universes=["a13v-spyx3-unv"], bar_size="1 day")
from quantrocket.history import list_databases
list_databases()
from quantrocket.history import get_db_config
get_db_config("a13v-spyx3-eod-db")
from quantrocket.history import collect_history
collect_history("a13v-spyx3-eod-db")
import pandas as pd
from quantrocket.history import download_history_file
download_history_file("a13v-spyx3-eod-db",
start_date="2018-01-04",
fields=["Open", "High", "Low", "Close"],
filepath_or_buffer="spyx3_secs_eod.csv")
prices = pd.read_csv("spyx3_secs_eod.csv", parse_dates=["Date"])
prices.head()