Hi. I am starting the process of porting my algos from Quantopian to QuantConnect. The algorithm I wish to submit as an Alpha Stream requires the following end-of-day data:

  1. First month VIX future
  2. Second month VIX future
  3. Days until first month future expires
  4. Total number of trading days in the current futures cycle


  • From what I understand, Alpha Streams are not allowed to trade futures.  The strategy actually only trades equities, but is it OK to use futures data to generate a signal within an alpha stream?
  • For 3 and 4 above, is their any supported data source that can provide that data?  Basically, I need to construct the price of a 1-Month Constant Maturity Vix Future.  I see that Alpha Streams do not allow external data, so I am trying to figure out if it's possible to do with any supported data source.