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Vix3 ?

Hello,

 

Does anybody know how to get mid term vix -> VIX3 ?

I know for VIX we can use "CBOE/VIX" and the close column is "vix close", but I am having troubles for mid term.

Thanks

Nik

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http://etfdb.com/index/sp-500-vix-3-month-futures-index-er/

 

public override void Initialize()
{
AddSecurity(SecurityType.Equity, "VXZ", Resolution.Minute);
}
1

Thanks!

I dont think this would work, since this is an ETN, and I need the index itslef (like VIX vs VXX).

0

Hi Nik

I used this to bring in VXV into one of my algorithms:

self.vxv = self.AddData(QuandlVXV, 'CBOE/VXV', Resolution.Daily).Symbol #In Initialize

class QuandlVXV(PythonQuandl):
'''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''
def __init__(self):
# Define ValueColumnName: cannot be None, Empty or non-existant column name
# If ValueColumnName is "Close", do not use PythonQuandl, use Quandl:
# self.AddData[QuandlFuture](self.crude, Resolution.Daily)
self.ValueColumnName = "CLOSE"
0

Update Backtest





0

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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