Using daily VIX and minutes SPY by Nik milev

Nik milev INVESTOR

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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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Nik milev

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Alexandre Catarino

Pro ,

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.

Nik milev

103.9k Pro ,

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

Nik milev INVESTOR

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