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Boot Camp is a great way to improve your skills and learn the QuantConnect API in easily digestible portions.
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Organization Notes
Get Started with Algorithm Lab
New Research
Low Beta Portfolios Across Industries
An implementation of a classic AQR strategy targeting low-beta stocks across many industries. Through diversification and low beta filters strategy co...
ReadAlgorithm Lab is your playground for developing and refining trading algorithms with QuantConnect. Utilize advanced tools, historical data, and robust backtesting to enhance your trading strategies. Transform your ideas into actionable insights and optimize your trading approach with ease.
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Algorithm Lab is your playground for developing and refining trading algorithms with QuantConnect. Utilize advanced tools, historical data, and robust backtesting to enhance your trading strategies. Transform your ideas into actionable insights and optimize your trading approach with ease.
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VIX Central Contango
Dataset by VIX Central
The VIX Central Contango dataset by VIX Central tracks VIX Futures (VX) contango data. The data covers 12 Futures contracts closest to expiry/maturity, starts in June 2010, and is delivered on a daily frequency. The dataset is created by QuantConnect downloading data from VIX Central website, which collects and analyses VIX and VX (VIX Futures) data.
Contango and Backwardation are terms used to describe if participants in the Futures market are overpaying or underpaying relative to the "spot" price of the underlying commodity when trading a Futures contract ("spot" price is the price of the actual commodity/asset at a given moment in time). Contango and backwardation can be used to determine forward-looking expectations of the commodity's spot price by the time the Future has expired/matured and is set to be delivered by participants of the Futures market. As Futures near their expiration/maturity date, contango and backwardation curves tend to converge on the spot price of the commodity at the time of expiration.
VIX Central was founded by Eli Mintz in 2012 with goal of displaying historical VIX term structures in a simple and intuitive interface. VIX Central provides access to real-time and historical VIX data for individual investors.
The following snippet demonstrates how to request data from the VIX Central Contango dataset:
using QuantConnect.DataSource;
_datasetSymbol = AddData<VIXCentralContango>("VIX", Resolution.Daily).Symbol;
from QuantConnect.DataSource import *
self.dataset_symbol = self.add_data(VIXCentralContango, "VIX", Resolution.DAILY).symbol
The following table describes the dataset properties:
Property | Value |
---|---|
Start Date | June 2010 |
Asset Coverage | 1 Futures Chain with 12 contracts |
Data Density | Regular |
Resolution | Daily |
Timezone | New York |
The VIX Central Contango dataset enable you to explore VIX Future contracts pricing data. Examples include the following strategies:
For more example algorithms, see Examples.
The VIX Central Contango dataset provides VIXCentralContango objects, which have the following attributes:
To add VIX Central Contango data to your algorithm, call the AddDataadd_data method. Save a reference to the dataset Symbol so you can access the data later in your algorithm.
class VixCentralContangoAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2014, 1, 1)
self.set_end_date(2018, 1, 1)
self.set_cash(25000)
self.dataset_symbol = self.add_data(VIXCentralContango, "VX", Resolution.DAILY).symbol
namespace QuantConnect
{
public class VixCentralContangoAlgorithm : QCAlgorithm
{
private Symbol _datasetSymbol;
public override void Initialize()
{
SetStartDate(2014, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(25000);
_datasetSymbol = AddData<VIXCentralContango>("VX", Resolution.Daily).Symbol;
}
}
}
To get the current VIX Central Contango data, index the current Slice with the dataset Symbol. Slice objects deliver unique events to your algorithm as they happen, but the Slice may not contain data for your dataset at every time step. To avoid issues, check if the Slice contains the data you want before you index it.
def on_data(self, slice: Slice) -> None:
if slice.contains_key(self.dataset_symbol):
data_point = slice[self.dataset_symbol]
self.log(f"{self.dataset_symbol} front month at {slice.time}: {data_point.front_month}")
public override void OnData(Slice slice)
{
if (slice.ContainsKey(_datasetSymbol))
{
var dataPoint = slice[_datasetSymbol];
Log($"{_datasetSymbol} front month at {slice.Time}: {dataPoint.FrontMonth}");
}
}
To get historical VIX Central Contango data, call the Historyhistory method with the dataset Symbol. If there is no data in the period you request, the history result is empty.
# DataFrame
history_df = self.history(self.dataset_symbol, 100, Resolution.DAILY)
# Dataset objects
history_bars = self.history[VIXCentralContango](self.dataset_symbol, 100, Resolution.DAILY)
var history = History<VIXCentralContango>(_datasetSymbol, 100, Resolution.Daily);
For more information about historical data, see History Requests.
To remove your subscription to VIX Central Contango data, call the RemoveSecurityremove_security method.
self.remove_security(self.dataset_symbol)
RemoveSecurity(_datasetSymbol);
The VIX Central Contango dataset provides VIXCentralContango objects, which have the following attributes:
The following example algorithm buys SPY when the percentage change between contract F2 and F1 (Contango_F2_Minus_F1) is positive. Otherwise, it remains in cash.
from AlgorithmImports import *
from QuantConnect.DataSource import *
class VixCentralContangoAlgorithm (QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2014,1,1)
self.set_end_date(2018,1,1)
self.set_cash(25000)
# SPY as market representative for macroeconomy indicator trading
self.spy = self.add_equity("SPY", Resolution.DAILY).symbol
# Request VIX Contango data for trade signal generation
self.contango = self.add_data(VIXCentralContango, "VX", Resolution.DAILY).symbol
def on_data(self, slice: Slice) -> None:
# Trade base on the updated VIX contango data
contango_data = slice.Get(VIXCentralContango, self.contango)
ratio = contango_data.contango_f2_minus_f1 if contango_data else 0
# Bet the market will go up if F2 - F1 price percentage change is positive, meaning the near-term market volatility is expected to be low
if not self.portfolio.invested and ratio > 0:
self.market_order(self.spy, 100)
# Liqudiate otherwise to avoid excessive market volatility
elif ratio < 0:
self.liquidate()
using QuantConnect.DataSource;
namespace QuantConnect
{
public class VixCentralContangoAlgorithm : QCAlgorithm
{
private Symbol _spy;
private Symbol _contango;
public override void Initialize()
{
SetStartDate(2014, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(25000);
// SPY as market representative for macroeconomy indicator trading
_spy = AddEquity("SPY", Resolution.Daily).Symbol;
// Request VIX Contango data for trade signal generation
_contango = AddData<VIXCentralContango>("VX", Resolution.Daily).Symbol;
}
public override void OnData(Slice slice)
{
// Trade base on the updated VIX contango data
var contangoData = slice.Get<VIXCentralContango>(_contango);
var ratio = contangoData?.Contango_F2_Minus_F1 ?? 0;
// Bet the market will go up if F2 - F1 price percentage change is positive, meaning the near-term market volatility is expected to be low
if (!Portfolio.Invested && ratio > 0)
{
MarketOrder(_spy, 100);
}
// Liqudiate otherwise to avoid excessive market volatility
else if(ratio < 0)
{
Liquidate();
}
}
}
}
The following example algorithm buys SPY when the percentage change between contract F2 and F1 (Contango_F2_Minus_F1) is positive. Otherwise, it remains in cash.
from AlgorithmImports import *
from QuantConnect.DataSource import *
class VixCentralContangoAlgorithm (QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2014,1,1)
self.set_end_date(2018,1,1)
self.set_cash(25000)
self.universe_settings.resolution = Resolution.DAILY
# Include SPY as market representative for macroeconomy indicator trading
symbols = [Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]
self.add_universe_selection(ManualUniverseSelectionModel(symbols))
# Custom alpha model that emit insights base on VIX contango data
self.add_alpha(ContangoAlphaModel(self))
# Equal weighting investment to evenly dissipate the capital concentration risk on non-systematic risky event
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
class ContangoAlphaModel(AlphaModel):
def __init__(self, algorithm: QCAlgorithm) -> None:
self.symbols = []
# Request VIX Contango data for trade signal generation
self.contango = algorithm.add_data(VIXCentralContango, "VX", Resolution.DAILY).symbol
# Historical data
history = algorithm.history(VIXCentralContango, self.contango, 60, Resolution.DAILY)
algorithm.debug(f"We got {len(history.index)} items from our history request")
def update(self, algorithm: QCAlgorithm, slice: Slice) -> List[Insight]:
insights = []
# Trade base on the updated VIX contango data
contango_data = slice.Get(VIXCentralContango, self.contango)
ratio = contango_data.contango_f2_minus_f1 if contango_data else 0
# Bet the market will go up if F2 - F1 price percentage change is positive, meaning the near-term market volatility is expected to be low
if not algorithm.portfolio.invested and ratio > 0:
for symbol in self.symbols:
insights += [Insight.price(symbol, Expiry.ONE_MONTH, InsightDirection.UP)]
# Liqudiate otherwise to avoid excessive market volatility
elif ratio < 0:
for symbol in self.symbols:
insights += [Insight.price(symbol, Expiry.ONE_MONTH, InsightDirection.FLAT)]
return insights
def on_securities_changed(self, algorithm: QCAlgorithm, changes: SecurityChanges) -> None:
for symbol in [x.symbol for x in changes.removed_securities]:
if symbol in self.symbols:
self.symbols.pop(symbol)
self.symbols += [x.symbol for x in changes.added_securities]
using QuantConnect.DataSource;
namespace QuantConnect
{
public class VixCentralContangoAlgorithm : QCAlgorithm
{
public override void Initialize()
{
SetStartDate(2014, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(25000);
UniverseSettings.Resolution = Resolution.Daily;
// Include SPY as market representative for macroeconomy indicator trading
var symbols = new[] {QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)};
AddUniverseSelection(new ManualUniverseSelectionModel(symbols));
// Custom alpha model that emit insights base on VIX contango data
AddAlpha(new ContangoAlphaModel(this));
// Equal weighting investment to evenly dissipate the capital concentration risk on non-systematic risky event
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
}
}
public class ContangoAlphaModel : AlphaModel
{
private Symbol _contango;
private List<Symbol> _symbols;
public ContangoAlphaModel(QCAlgorithm algorithm)
{
_symbols = new List<Symbol>();
// Request VIX Contango data for trade signal generation
_contango = algorithm.AddData<VIXCentralContango>("VX", Resolution.Daily).Symbol;
// Historical data
var history = algorithm.History<VIXCentralContango>(_contango, 60, Resolution.Daily);
algorithm.Debug($"We got {history.Count()} items from our history request");
}
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice slice)
{
var insights = new List<Insight>();
// Trade base on the updated VIX contango data
var contangoData = slice.Get<VIXCentralContango>(_contango);
var ratio = contangoData?.Contango_F2_Minus_F1 ?? 0;
// Bet the market will go up if F2 - F1 price percentage change is positive, meaning the near-term market volatility is expected to be low
if (!algorithm.Portfolio.Invested && ratio > 0)
{
foreach (var symbol in _symbols)
{
insights.Add(Insight.Price(symbol, Expiry.OneMonth, InsightDirection.Up));
}
}
// Liqudiate otherwise to avoid excessive market volatility
else if (ratio < 0)
{
foreach (var symbol in _symbols)
{
insights.Add(Insight.Price(symbol, Expiry.OneMonth, InsightDirection.Flat));
}
}
return insights;
}
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
foreach (var symbol in changes.RemovedSecurities.Select(x=> x.Symbol))
{
_symbols.Remove(symbol);
}
_symbols.AddRange(changes.AddedSecurities.Select(x=> x.Symbol));
}
}
}
VIX Central Contango is allowed to be used in the cloud for personal and commercial projects for free. The data is permissioned for use within the licensed organization only
Free | Documentation
VIX Central Contango can be downloaded on premise with the LEAN CLI, for a charge per file downloaded. This download is for the licensed organization's internal LEAN use only and cannot be redistributed or converted in any format.
Starting at 5 QCC/file | Learn More
LEAN CLI is a cross-platform wrapper on the QuantConnect algorithmic trading engine called LEAN. The CLI makes using LEAN incredibly easy, reducing most of the pain points of developing and managing an algorithmic trading strategy to a few lines of bash.
Using the CLI you can download the same data QuantConnect hosts in the cloud for a small fee. These fees are per file downloaded, and are paid for in QuantConnect-Credits (QCC). We recommend purchasing credits to enable downloading.
The CLI command generator is a helpful tool to generate a copy-paste command to download this dataset from the form below.
lean data download \
--dataset "VIX Central Contango"
lean data download `
--dataset "VIX Central Contango"
Freely harness VIX Contango data in the QuantConnect Cloud for your backtesting and live trading purposes.
VIX Contango data archived in LEAN format for on premise backtesting and research. One file that is updated daily.
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Algorithm Lab is your playground for developing and refining trading algorithms with QuantConnect. Utilize advanced tools, historical data, and robust backtesting to enhance your trading strategies. Transform your ideas into actionable insights and optimize your trading approach with ease.
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