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Using daily VIX and minutes SPY

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.

Thanks

Nik

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Say you subcribe to daily-resolution data for VIX, minute-resolution data for SPY and setup a schedule event for every day at 3:58 pm. When you get the VIX close: Securities["VIX"].Price, you will be getting yesterday's price.
In other words, data snooping is not possible.
You need higher resolution data from VIX.

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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.


Thanks Alexandre for the quick answer!

Is there a way I can load VIX prices in a List/DIctionary during Initialization() ?

If I do this, then in 3:58pm I can get the VIX for today by the date.

ALong this line of thoughts, I think OnData ( Quandl xx) is not synchronized with calls to OnData( Slice ..)

If this is the case and assumeing (?) that OnData(Quandl..) will be called first until VIX data is exhausted,  I can load all VIX from OnData(Quandl..) and when the OnData(Slice ..) begins to be called, I will have the data ready.

YOu opinion is appreciated.

Thanks

Nik

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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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