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Question about data

1. Do I need to subscribe to IB's market data package to do live trading in quantconnect? 

2. It looks like quantconnect doesn't have streaming index data such as VIX index. In this case if I subsribe to IB's index data package, can i request vix value streaming then?

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1. Generally speaking no, QC offers two options here:

  • a) Feed from low latency reasonable quality provider (IIRC QuantQuote) - you don't have to pay for this.
  • b) IB's feed pretty bad latency etc., and then you'll need corresponding subscriptions on IB. A reason for using this is if you need live futures data that QC doesn't have.

2. I'm not sure if you can hand pick data streams that way from IB for stuff that haven't been registered as securities in the algo. I hope maybe Jared Broad or Alexandre Catarino can fill in here.

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Re: #2 -- Probably not -- as we subscribe to "contracts" in IB which include the asset class classification; and we don't support that future-index yet -- then it likely won't pass/map the subscription properly.

If you subscribe to the VIX-future it'll be passed through fine as a future type.

We're working on getting VIX support. We'll post in forums when its arrived.

Until then you can import it from an external source.

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@Jared IB has a lot of data packages. some future data package only support streaming future data.  some index data package only supports index streming (such as CBOE MARKET DATA EXPRESS INDICES).

My opinion is since ib's api can request anything if u subscribe to it, it does not make sense u can't do it here at quantconnect.

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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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