Vix Futures Calendar Data for Alpha Streams

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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

Questions:

  • 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.
Thanks!

 

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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.


Hi Roman,

You are able to submit Alpha Streams which trade futures but they are held-back right now as we do not have a license for a futures live feed. We've addressed this now and are in the middle of upgrading our paper trading to use the US Equity SIP feed + getting a live futures stream from the top 5 exchanges. Currently live trading futures and options users use their Interactive Brokers futures data feed.

Depending on the contract you might want to check out the futures expiry function code we've written. It should help you get the information you need from the first half of the post (1,2,3,4). 

from QuantConnect.Securities.Future import FuturesExpiryFunctions

self.Debug("Next Expiry: " + str(FuturesExpiryFunctions.FuturesExpiryDictionary[Futures.Metals.Gold](self.Time)))

## Next Expiry: 2019-10-29 00:00:00

By #4 do you need the days from the start of trading until it expires?

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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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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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