Hi all, 

Just sharing how to get the RSI of the VIX.

 

import numpy as np
from QuantConnect.Algorithm import *
from QuantConnect import *
from QuantConnect import Chart, DataNormalizationMode
from QuantConnect.Orders import OrderDirection
from QuantConnect.Securities import BuyingPowerModel
from QuantConnect.Securities.Option import OptionPriceModels
from QuantConnect.Securities.Option import OptionStrategies
from QuantConnect.Data.Custom.CBOE import CBOE
from System import *
from System import TimeSpan
from System.Drawing import Color
from datetime import timedelta
from lib import CustomBuyingPowerModel
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

# ----------------------------------------------------------------------
#
# Bull Put Credit Spread Algorithm
#
# ----------------------------------------------------------------------


class OptionsAlgorithm(QCAlgorithm):

# ----------------------------------------------------------------------
# Initialize QuantConnect Algorithm
# ----------------------------------------------------------------------
def Initialize(self):
# Base QuantConnect Parameters
self.SetStartDate(2019, 1, 1)
self.SetEndDate(2020, 1, 1)
self.SetCash(150000)

# data
self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))
self.equity = self.AddEquity("SPY", Resolution.Minute)
self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.vix = self.AddData(CBOE, "VIX", Resolution.Daily)
self.rsi = RelativeStrengthIndex(10)

# Charting
overlayPlot = Chart("Overlay Plot")
overlayPlot.AddSeries(Series("RSI", SeriesType.Line, "", Color.Aqua))
overlayPlot.AddSeries(Series("Over Bought", SeriesType.Line, "", Color.Navy))
overlayPlot.AddSeries(Series("Over Sold", SeriesType.Line, "", Color.Navy))
overlayPlot.AddSeries(Series("Mid", SeriesType.Line, "", Color.Navy))
self.AddChart(overlayPlot)

# Set warmup for RSI
self.SetWarmUp(TimeSpan.FromDays(30))

# ----------------------------------------------------------------------
# Primary Data function
# ----------------------------------------------------------------------
def OnData(self, slice):

if self.Time.hour == 9 and self.Time.minute == 31:

if self.IsWarmingUp:
return

self.rsi.Update(self.Time, self.vix.Close)
rsiCurr = self.rsi.Current.Value

self.Plot("Overlay Plot", "RSI", rsiCurr)
self.Plot("Overlay Plot", "Over Bought", 80)
self.Plot("Overlay Plot", "Over Sold", 20)
self.Plot("Overlay Plot", "Mid", 50)using QuantConnect.Data;
using QuantConnect.Data.Custom.CBOE;
using QuantConnect.Data.Custom;
using QuantConnect.Indicators;
using System.Collections.Generic;
using System;
using System.Linq;
using System.Drawing;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Option;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.CSharp
{
public class VixRSI : QCAlgorithm
{
private Security _vix;
private Equity _spx;
private RelativeStrengthIndex _vixRSI;
public override void Initialize()
{
//SetStartDate(2019, 2, 1);
//SetEndDate(2020, 2, 24);
SetStartDate(2017, 11, 1);
SetEndDate(2018, 4, 10);
SetCash(150000); //Set Strategy Cash
// Add securities
_vix = AddData<CBOE>("VIX");
_spx = AddEquity("SPY", Resolution.Minute);
_vixRSI = new RelativeStrengthIndex(10);
// Charting
var stockPlot = new Chart("Trade Plot");
var mainRsi = new Series("RSI", SeriesType.Line, "", Color.Aqua);
var Ob = new Series("Over Bought", SeriesType.Line, "", Color.Navy);
var Os = new Series("Over Sold", SeriesType.Line, "", Color.Navy);
var Om = new Series("Mid", SeriesType.Line, "", Color.Navy);
stockPlot.AddSeries(mainRsi);
stockPlot.AddSeries(Ob);
stockPlot.AddSeries(Os);
stockPlot.AddSeries(Om);
AddChart(stockPlot);
// Use the underlying equity as the benchmark
SetBenchmark("SPY");
SetWarmUp(TimeSpan.FromDays(30));
}
public override void OnData(Slice data)
{
// Check entry once a day
if (Time.Hour == 10 && Time.Minute == 30)
{
if (IsWarmingUp)
return;
// Update RSI
_vixRSI.Update(Time, _vix.Close);
Plot("Trade Plot", "RSI", _vixRSI);
Plot("Trade Plot", "Over Bought", 80);
Plot("Trade Plot", "Over Sold", 20);
Plot("Trade Plot", "Mid", 50);
}
}
}
}