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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
Alexandre Catarino
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
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
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