VIX Central

VIX Central was founded by Eli Mintz in 2012 with goal of displaying historical VIX term structures in a simple and intuitive interface. VIX Central provides access to real-time and historical VIX data for individual investors.

The following snippet demonstrates how to request data from the VIX Central Contango dataset:

using QuantConnect.DataSource;

_datasetSymbol = AddData<VIXCentralContango>("VIX", Resolution.Daily).Symbol;

from QuantConnect.DataSource import *

self.dataset_symbol = self.add_data(VIXCentralContango, "VIX", Resolution.DAILY).symbol

The following table describes the dataset properties:

The VIX Central Contango dataset enable you to explore VIX Future contracts pricing data. Examples include the following strategies:

• Determining forward-looking expectations by Futures market participants of the underlying commodity's spot price by the time of expiration/maturity
• Creating cash-and-carry arbitrage strategies by trading the spread/convergence of the contango/backwardation curves as a Future nears expiration/maturity

The VIX Central Contango dataset provides VIXCentralContango objects, which have the following attributes:

To add VIX Central Contango data to your algorithm, call the AddDataadd_data method. Save a reference to the dataset Symbol so you can access the data later in your algorithm.

class VixCentralContangoAlgorithm(QCAlgorithm):
 
    def initialize(self) -> None:
        self.set_start_date(2014, 1, 1)
        self.set_end_date(2018, 1, 1)
        self.set_cash(25000)
 
        self.dataset_symbol = self.add_data(VIXCentralContango, "VX", Resolution.DAILY).symbol

namespace QuantConnect
{
    public class VixCentralContangoAlgorithm : QCAlgorithm
    {
        private Symbol _datasetSymbol;

        public override void Initialize()
        {
            SetStartDate(2014, 1, 1);
            SetEndDate(2018, 1, 1);
            SetCash(25000);

            _datasetSymbol = AddData<VIXCentralContango>("VX", Resolution.Daily).Symbol;
        }
    }
}

To get the current VIX Central Contango data, index the current Slice with the dataset Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your dataset at every time step. To avoid issues, check if the Slice contains the data you want before you index it.

def on_data(self, slice: Slice) -> None:
    if slice.contains_key(self.dataset_symbol):
        data_point = slice[self.dataset_symbol]
        self.log(f"{self.dataset_symbol} front month at {slice.time}: {data_point.front_month}")

public override void OnData(Slice slice)
{
    if (slice.ContainsKey(_datasetSymbol))
    {
        var dataPoint = slice[_datasetSymbol];
        Log($"{_datasetSymbol} front month at {slice.Time}: {dataPoint.FrontMonth}");
    }
}

To get historical VIX Central Contango data, call the Historyhistory method with the dataset Symbol. If there is no data in the period you request, the history result is empty.

# DataFrame
history_df = self.history(self.dataset_symbol, 100, Resolution.DAILY)

# Dataset objects
history_bars = self.history[VIXCentralContango](self.dataset_symbol, 100, Resolution.DAILY)

var history = History<VIXCentralContango>(_datasetSymbol, 100, Resolution.Daily);

For more information about historical data, see History Requests.

To remove your subscription to VIX Central Contango data, call the RemoveSecurityremove_security method.

self.remove_security(self.dataset_symbol)

RemoveSecurity(_datasetSymbol);

The VIX Central Contango dataset enable you to explore VIX Future contracts pricing data. Examples include the following strategies:

• Determining forward-looking expectations by Futures market participants of the underlying commodity's spot price by the time of expiration/maturity
• Creating cash-and-carry arbitrage strategies by trading the spread/convergence of the contango/backwardation curves as a Future nears expiration/maturity