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'Parse raw SPX data.ipynb' is not working since the raw data format from the source is changed. #1

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Gabrielvon opened this issue Apr 26, 2019 · 1 comment

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@Gabrielvon
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Gabrielvon commented Apr 26, 2019

Hi Dr. Stemper,

I guess that the data format from cboe has changed so your Parse raw SPX data.ipynb is not working as well. The following is the screenshot of data on Apr 24, 2019.
image
Attached is the data file: spx_20190424.xlsx

Furthermore, one other file seems not included in the repo such as
/data/raw_data/liquidity_bid_ask_spread/strike_maturity.csv used in generate_heston_data.ipynb

If the data is not available to disclosure, could you give me more details how they look like?

Thanks

@RossAidan
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Is there any update on the strike maturity data?

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