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Hello,
I want to get the data for the symbol RVX (Cboe Russell 2000 Volatility Index) into my algorithm for backtesting at first and then to live trade with IB. Apparently the data for this symbol is not available on QC but available inside IB.
How to do? Is there an example python script? I can't seem to find any but perhaps I've searched wrong.
Thanks for your help
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Fred Painchaud
Hi Jonathan,
If RVX is not available, you can integrate it yourself in your algo. It is not trivial but possible. See:
For live trading, maybe using the IB data feed would help (since you are most likely subscribed to it if you need to):
As for complete Python scripts to include custom data, I've seen the basic ones in the docs but none for “real and complete” data feeds. Most data feeds are sent via websockets for live feeds and REST APIs for historical. Familiarity with using websockets and rest apis in Python is thus a must here.
Fred
Manav Trivedi
Hi Fred, thank you for providing this information. I think there are some sample notebooks where external data is being used and can be presented as reference too.
Fred Painchaud
Hi Manav,
Glad it helps. If you have refs to those notebooks, you can share them here if you want.
Jonathan/Manav,
You made me think that IB actually has examples and docs. That's the REST API, they use it for their web client:
https://www.interactivebrokers.com/api/doc.html
This looks like the authenticated websockets endpoint for their live feed, via this “web” / “simpler” api:
https://www.interactivebrokers.com/api/doc.html#tag/Streaming/paths/~1ws/post
There's also the more complete IB API:
https://interactivebrokers.github.io/tws-api/
Live:
https://interactivebrokers.github.io/tws-api/market_data.html
Historical:
https://interactivebrokers.github.io/tws-api/historical_data.html
That API is more complete (you can do everything TWS can do) but more complex. It shows that its foundation was designed in the 90s. But it works.
Examples are included in the downloaded package if I recall right. There are also numerous tutorials on the web/youtube. Make sure to check with the API to confirm the tutorial applies, whatever it says…
Fred
Jonathan Krief
Wow, so many good links 😊 I'm starting to study all this now, thanks a lot guys !
Jonathan Krief
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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