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reconstructVXX/downloadVixFutures.py does not work on CSV downloaded after 5/2013 #2

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GoogleCodeExporter opened this issue Jan 8, 2016 · 0 comments

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@GoogleCodeExporter
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CBOE add a disclaimer line before the header of each CSV 
replace
            df = DataFrame.from_csv(dataDir+'/'+fName, header=header)
with
           header = 0
            with open(dataDir+'/'+fName,'r') as fp:
                if not fp.readline().startswith('Trade Date'):
                    header = 1
                fp.close()
            df = DataFrame.from_csv(dataDir+'/'+fName, header=header)
to fix the problem

Original issue reported on code.google.com by [email protected] on 17 Nov 2013 at 8:05

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