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Hi,
As VIX index options are now available at minute resolution, one can get their hands on the underlying VIX data by calling:
OptionChains[x].Value.Underlying.PriceMeanwhile the non-hacky implementation still causes issues when geting the last intraday price. From checking Github, it seems that the issue has been merged but not released on cloud?
self.AddIndex("VIX", Resolution.Minute).SymbolWhat is keeping this from working? Is Python VIX index support in the pipeline? Is the Minute VIX data extracted from the options chain a reliable source of information.
Derek Melchin
Hi Chris,
See the attached backtest for an example of gathering the VIX price using either the index symbol or index option symbol. Both approaches are a reliable source of information.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Vladimir
I have tried the above on Hour and Daily resolutions and got ArgumentExceptions:
ArgumentException : Sorry Hour is not a supported resolution for TradeBar and SecurityType.Index.
Please change your AddData to use one of the supported resolutions (Minute).
ArgumentException : Sorry Daily is not a supported resolution for TradeBar and SecurityType.Index.
Please change your AddData to use one of the supported resolutions (Minute).
Derek Melchin
Hi Vladimir,
Minute resolution is the only resolution currently available for indices. Refer to the source code here.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Timo Gatsonides
Could it be that there is some data missing for the VIX index?
From 2021-03-23 until 2021-05-06 it seems to return 18.90 18.90 18.88 18.88 (OHLC) for every single bar? I'm using default (minute) resolution, just the following code:
self.SetStartDate(2021, 3, 18)
self.vix = self.AddIndex("VIX")
Anyone seeing the same?
Varad Kabade
Hi Timo Gatsonides,
Thank you for reporting the issue, and we apologize for any inconvenience caused. To resolve this, we have created a data issue. Please subscribe to the following for updates.
Best,
Varad Kabade
Andres Arizpe
Hi,
When I run the above algo up to present day, I get VIX data only up to the previous trading day so I assume it gets loaded into the datastore at midnight or something like that and for backtesting purposes it is fine.
But will I have up-to-the-minute, current day VIX data in live mode?
Just want to make sure before jumping into development.
Cheers,
Andres
Louis Szeto
Hi Andres
If you subscribe to data in daily resolution, you only get the daily data bar at midnight even when you're in live mode if you use the same data provider. We recommend you subscribe to minute data and consolidate the minute bars into daily bars for the same development logic.
Best
Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Chris M
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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