The orders cannot be filled at the same time in live trading

To execute simultaneous long/short orders on VIX futures contracts, you can use the combo_market_order method in QuantConnect. Here's a step-by-step guide to help you achieve this:

1. Add VIX Futures Data: Ensure you have added the VIX futures data to your algorithm using the appropriate QuantConnect data source.

2. Identify Contracts: Identify the first front-month and second front-month VIX futures contracts you want to trade.

3. Create Combo Order: Use the combo_market_order method to create a combo order that includes both the long and short positions on the identified contracts. The combo_market_order method allows you to specify multiple legs for the order.

4. Set Asynchronous Execution: Set the asynchronous parameter to True in the combo_market_order to allow the orders to be processed simultaneously. This is crucial for ensuring that both legs of the order are filled at the same time.

5. Monitor Order Status: Implement logic to monitor the status of the combo order to ensure both legs are filled as expected. You can use the order tickets returned by the combo_market_order method to track the status.

6. Handle Partial Fills: Add error handling to manage scenarios where one leg of the combo order is filled while the other is not. This might involve retrying the order or adjusting the order parameters.

Here's a sample implementation:

class VIXComboOrderAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2023, 1, 1)
        self.set_end_date(2023, 12, 31)
        self.set_cash(100000)
        # Add VIX futures data
        self.vix1 = self.add_future(Futures.Indices.VIX, Resolution.MINUTE).symbol
        self.vix2 = self.add_future(Futures.Indices.VIX, Resolution.MINUTE).symbol

    def on_data(self, data: Slice):
        if not self.portfolio.invested:
            # Identify the front-month and second front-month contracts
            contracts = [contract for contract in data.future_chains[self.vix1] if contract.expiry > self.time]
            if len(contracts) < 2:
                return
            # Create combo order legs
            legs = [
                Leg.create(contracts[0].symbol, 1),  # Long first front-month
                Leg.create(contracts[1].symbol, -1)  # Short second front-month
            ]
            # Submit combo market order
            self.combo_market_order(legs, 1, asynchronous=True)

This code sets up a combo market order for VIX futures contracts, ensuring that both legs are executed simultaneously. Make sure to adjust the contract selection logic to suit your specific requirements.

Sources: Combo Market Orders - QuantConnect.com, Combo Limit Orders - QuantConnect.com, Combo Leg Limit Orders - QuantConnect.com, Index Option Call Calendar Spread Algorithm, Combo Order Ticket Demo Algorithm