Hi All,

Is there an easy way to use the dailiy VIX close, but withing SPY minutes in the same day?

What I currently have is using daily VIX and SPY, and end of the day algos send Buy/Sell. But my trades get executed "Market On Open" next day. I am thinking to use SPY minutes resolution and in 3:58pm to check value of VIX for the day and then send buy/sell thus executing my orders  last minutes of the day instead of market on open next day.

I know this has a little bit of data snooping, since VIX daily close is not available by 3:58pm, but I am ready to live with this.