For both live and historical I want to have both the real daily data being the close of 1615pm. Setting the session time sof the VIx ending at 2215 seems not to solve the issue. Anyone any idea?
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Difference historical and live
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Difference historical and live
I have the following difference between live and historical. I use a graph of the nasdaq index on 5 minutes. In the code I add the daily data for the VIX. On the first bar of the session on the Nasdaq I use the daily close data of the VIX of the previous day. Mow I notice a difference in data. The Nasdaq and VIx are bith having the same standard session "US Equities RTH" ending both at 1600pm. On for example Nov 11, 20016 if I run the strategy live the daily close on Nov 10 of the VIX is 15.02 (the close of the VIX at 1600pm, the end of tha US Equity RTH session). If later on I load the strategy on historical data, the daily close of the VIX on Nov 10 is 14.74 (the close of the VIX at 1615 pm being the last tick of the day). So this generates a difference between live and theory. In live also the data after the regular session ends is stored, but it seems that in live those ticks are not taking ito account for the daily data of the VIX.
For both live and historical I want to have both the real daily data being the close of 1615pm. Setting the session time sof the VIx ending at 2215 seems not to solve the issue. Anyone any idea?Tags: None
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