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»Forums Index »Product Support »Data and Content Support »VXX Data Missing
Author Topic: VXX Data Missing (9 messages, Page 1 of 1)

Cyberjoe
-Interested User-
Posts: 16
Joined: Aug 18, 2016


Posted: May 14, 2019 11:18 AM          Msg. 1 of 9
Hi,

It looks as if a lot of the VXX data is missing. The time series starts 2018-01-18, the inception date was January 2009.

I have seen a couple of recent threads about VXX, but I think this issue is new.

Thanks in advance!

DTN_Stephen
-DTN Evangelist-
Posts: 167
Joined: Aug 22, 2014


Posted: May 14, 2019 11:48 AM          Msg. 2 of 9
The original VXX was created on January 29, 2009 and matured ten years later, on January 30, 2019.

VXXB, “Series B”, was created on January 19, 2018 and matures 30 years later, on January 23, 2048.

See links below.


http://www.ipathetn.com/US/16/en/details.app?instrumentId=341408

http://www.ipathetn.com/US/16/en/etnsnapshot.app?instrumentId=259118

The problem occurred when ICE changed the symbol for VXXB to VXX effective May 2, 2019. We transferred history for VXXB to VXX at that time.

Earlier history for VXX is not relevant to the current VXX. It is a different instrument that matured in January and no longer trades.

Unfortunately, even if we wanted to prepend the old VXX history to the new VXX. We couldn’t do that. There is a one-year period when both VXX and VXXB were trading in parallel.

The relationship between VXZ and VXZB is similar. VXZ is the mid-term version, VXX the short-term version.

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

Cyberjoe
-Interested User-
Posts: 16
Joined: Aug 18, 2016


Posted: May 14, 2019 12:33 PM          Msg. 3 of 9
Stephen,

Thanks for your quick response.

Could I please ask for a pragmatic solution, which is stitching together the current time series with your data for "old" VXX prior to January 2018? By the way, this is what Yahoo Finance did.

Rationale:
1. Both "old" VXX, VXXB and "new" VXX are/were issued by the same issuer. The only reason for VXXB's existence was the unfortunate 10-year maturity clause for VXX.
2. All instruments track the same index and have identical fees.
3. Over the "old" VXX/VXXB transition period, daily indicative values were perfectly in sync (please see the first chart https://sixfigureinvesting.com/2018/12/vxx-maturity-vxxb-replacement/ )

If my proposal does not work, it would be great, if you could post your prior-to-January-2018 VXX data for me to create my VXX time series starting in 2009.

DTN_Stephen
-DTN Evangelist-
Posts: 167
Joined: Aug 22, 2014


Posted: May 14, 2019 04:32 PM          Msg. 4 of 9
It appears Yahoo Finance has chosen an arbitrary date of 5/24/2018 to prepend the old VXX data into the new VXX Symbol.

We have compared our data on VXX to other data providers similar to IQ Feed and they are handling it he same way we are, with new VXX History starting on 1/18/18.

If you would like to contact us at support@iqfeed.net with your IQ username or login ID we can enter a Customer Request to create an additional symbol with the prepend VXX history with the price history.

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

Cyberjoe
-Interested User-
Posts: 16
Joined: Aug 18, 2016


Posted: May 15, 2019 07:31 AM          Msg. 5 of 9
Thanks! I really appreciate your flexibility and pragmatism. I will contact support.

homie70
-Interested User-
Posts: 9
Joined: Aug 12, 2018


Posted: May 24, 2019 02:38 PM          Msg. 6 of 9
Quote: we can enter a Customer Request to create an additional symbol with the prepend VXX history with the price history.



This is definitely needed.
Please create this additional symbol for the complete old VXX price history (from 2009 to 2019).

Thank you

(I also create a support ticket)
Edited by homie70 on May 24, 2019 at 02:39 PM

DTN_Stephen
-DTN Evangelist-
Posts: 167
Joined: Aug 22, 2014


Posted: May 28, 2019 06:44 AM          Msg. 7 of 9
We have entered a Customer Request to see if this can be added. We will update this forum if they decide to add this feature.

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com

homie70
-Interested User-
Posts: 9
Joined: Aug 12, 2018


Posted: May 30, 2019 06:53 AM          Msg. 8 of 9
Hi,

thx for the feedback.

Maybe, an even better solution would be to merge the history of VXX (the old one) and VXXB (the new one, now renamed VXX) not as you have done in spring 2018, but at the start of 2019 or at the very last days of the old VXX (whenever the volume of VXXB was bigger for the first time than VXX).

I suggest this, because as one can see by looking at the chart, there are some huge gaps in the VXXB history compared to VXX in spring and summer 2018, foremost due to illiquidity.

Since the replicating methodolgy of the two instruments are exactly the same, I think my suggestion would be the best solution for having proper charts as well as consistent data for backtesting.

Please consider my new suggestion.

Many thx

DTN_Stephen
-DTN Evangelist-
Posts: 167
Joined: Aug 22, 2014


Posted: May 30, 2019 07:01 AM          Msg. 9 of 9
I will append your Customer Request to our Product Management team with this new information. Thank you for the feedback.

Stephen Shockey
Customer Support Representative

DTN
800-779-7299
stephen.shockey@dtn.com

9110 W Dodge Rd
Omaha NE 68114, USA
www.dtn.com
 

 

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