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Hi everyone,
I'm implementing a simple calendar spread on VIX futures:Once the contract expires I short-sell 1 front contract and buy 1 next month's contract.
Yet I still suck at quantconnect API and especially futures.In the code attached I capture SymbolChangedEvent in vix contract and set an isExpired flag.When flag is on I take the futures chain and pull the first two contracts from it.Take their symbols and place the orders.
The issue is “if self.chain” condition is never true hence the issue must be in the line below.What am I doing wrong?
self.chain = slice.FuturesChains.get(self.vix.Symbol.Canonical)
Nanofon
I've found the answer myself:
No filter means apply the strictest filter which passes nothing haha.
Added SetFilter and now it works.
Nanofon
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