URLs for retrieving cash vix data no longer avaliable

vibarco commented 11 months ago

Hello,

it seems that destination URLs for cash VIX assets are no longer avaliable:

DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vixcurrent.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vvixtimeseries.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vix9ddailyprices.csv lines_to_discard 3
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vix3mdailyprices.csv lines_to_discard 2
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/vix6mdailyprices.csv lines_to_discard 2
DEBUG:root:
Reading URL https://ww2.cboe.com/publish/scheduledtask/mktdata/datahouse/gvzhistory.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL_History.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL3M_History.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL6M_History.csv lines_to_discard 1
DEBUG:root:
Reading URL https://ww2.cboe.com//publish/scheduledtask/mktdata/datahouse/RVOL12M_History.csv lines_to_discard 1

<title>ww2.cboe.com | 522: Connection timed out</title>
<meta charset="UTF-8" />
<meta http-equiv="Content-Type" content="text/html; charset=UTF-8" />
<meta http-equiv="X-UA-Co
DEBUG:urllib3.connectionpool:Starting new HTTPS connection (1): data.nasdaq.com:443
vvixtimeseries.csv:  <!DOCTYPE html>
<!--[if lt IE 7]> <html class="no-js ie6 oldie" lang="en-US"> <![endif]-->
<!--[if IE 7]>    <html class="no-js ie7 oldie" lang="en-US"> <![endif]-->
<!--[if IE 8]>    <html class="no-js ie8 oldie" lang="en-US"> <![endif]-->
<!--[if gt IE 8]><!--> <html class="no-js" lang="en-US"> <!--<![endif]-->
<head>

Best regards

vibarco commented 11 months ago

Hello dougransom,

test.ps1 seems using old vixtutil comand line:

mkdir test_output
cd test_output
vixutil -i  -m continuous.pkl -t term.pkl -c cash.pkl --calendar calendar.pkl -w continuous_weights.pkl

vixutil -i  -m continuous.csv -t term.csv -c cash.csv --calendar calendar.csv -w continuous_weights.csv

vixutil -i  -m continuous.html -t term.html -c cash.html --calendar calendar.html -w continuous_weights.html

vixutil -i  -m continuous.xlsx -t term.xlsx  -c cash.xlsx --calendar calendar.xlsx -w continuous_weights.xlsx
cd ..

vixutil -h is not showing -i options any more:

options:
  -h, --help            show this help message and exit
  -f output_file        output the history of vix futures to a file in record format.  
                        Includes weekly and monthly expiries. The file extension       
                        determines the file type. Valid extensions are: ['.csv',       
                        '.pkl', '.xlsx', '.html']. Python programmers may prefer to    
                        use the API
  -g output_file        output the history of vix monthly expiry futures in wide       
                        format, with a column for each tenor. The file extension       
                        determines the file type. Valid extensions are: ['.csv',       
                        '.pkl', '.xlsx', '.html']. Python programmers may prefer to    
                        use the API
  -j output_file        weighted mean of the front two month vix futures for an        
                        average thirty day tenor . The file extension determines the   
                        file type. Valid extensions are: ['.csv', '.pkl', '.xlsx',     
                        '.html']. Python programmers may prefer to use the API
  -w output_file        output the weights of the various vix futures front two        
                        months to make a 30 day average tenor. Note the weights are    
                        as of the beginning of the trading day. The file extension     
                        determines the file type. Valid extensions are: ['.csv',       
                        '.pkl', '.xlsx', '.html']. Python programmers may prefer to    
                        use the API
  -c output_file        output the vix cash term structure a file in record format.    
                        The file extension determines the file type. Valid extensions  
                        are: ['.csv', '.pkl', '.xlsx', '.html']. Python programmers    
                        may prefer to use the API . Some other indexes from CBOE will  
                        also be included. The file extension determines the file       
                        type. Valid extensions are: ['.csv', '.pkl', '.xlsx',
                        '.html']. Python programmers may prefer to use the API
  -d output_file        output the vix cash term structure a file in wide format,with  
                        a column for each index. The file extension determines the     
                        file type. Valid extensions are: ['.csv', '.pkl', '.xlsx',     
                        '.html']. Python programmers may prefer to use the API . Some  
                        other indexes from CBOE will also be included. The file        
                        extension determines the file type. Valid extensions are:      
                        ['.csv', '.pkl', '.xlsx', '.html']. Python programmers may     
                        prefer to use the API
  --calendar output_file
                        Expirys for vix futures for a given trade date
  --loglevel output_file
                        Level for logging module to display, default is ERROR

Best regards

dougransom commented 11 months ago

investigating.

dougransom commented 10 months ago

test.ps1 should be deleted, i will in a future release.

I think -c or -d are what you want, though they should be called spot term structure not cash term structure. I'll eventually correct that terminology.

dougransom / vix_utils

URLs for retrieving cash vix data no longer avaliable #28