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VIX Future Data Available!

Hey there Community!

We are very excited to announce VIX futures data! The historical data for all monthly contracts from 2011 - present is on our servers and you can start developing trading strategies with VIX futures right now. It is currently missing Open Interest data for VIX, but we are working with our vendor, AlgoSeek to get that data ready ASAP.

In order to deploy your VIX algorithm in Live mode you will need an Interactive Brokers account with active data subscription for those markets. Attached is a simple algorithm that trades ES based in the VIX vs VX futures relation. Its fairly simple but gives you a good picture - and plenty of room for improvement!

Please consider this data "in beta" - we're releasing it publicly now and would love to hear your feedback. If you find any issues please let us know through the Data Explorer.

Happy Coding!

Juan

Update Backtest






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.



Awesome. Thank you!

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Thank you! I'm trying to get the algorithm to work but it seems like there is no /VX data past July 30th, 2018? Is that correct?

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Hey Randy Martinez, thanks for reporting the issue!

It's fixed now.

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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.


This is a huge improvement to the toolset at QC. Way to go!

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Is it possible to get hourly & minute spot VIX index values? The example is using QaundlVIX which appears to only have daily data. If so, what's the code to get this data?

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Great. Thank you!   Do you have an example in Python?

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I'm also looking for an example in Python. Would be a huge help!

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Thanks Serge d'Adesky!

Randy Martinez, we don't aggregate future data into hourly and daily. You can do it in your algorithm by using consolidators. In order to get Quandl VIX data, you only need to implement a custom Quandl data reader.

public class QaundlVIX : Quandl
{
public QaundlVIX() : base("VIX Close") { }
}

CloudTrader and James Parrish, the example in this post is a simplified version of this quantpedia algorithm, we are working in a better version. It'll be posted here as soon it is ready.!

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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.


Ok, I will wait for that post then. Thank you for the update!

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James and Cloud Trader, I've implemented the python version of the VIX futures algorithm. Please see the attached algorithm

2


Cool!  Thank you so much Jing.  

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Thanks Jing!

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That's a great thing! VIX is important to provide signals and manage risk. However, to my opinion, it would be a lot more useful if we could get data from at least 2008 as we would be able to run VIX algos in the market crash situation.

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We have the historical futures/options data for backtesting but we do not provide the live data feed for options/futures. To deploy this algorithm into live trading, please make sure your futures live data subscription is active in your Interactive Brokerage account.

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I appreciate the explanation. It is understandable now. Thanks!!

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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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