Index

Requesting Data

Introduction

Request Index data in your algorithm to receive a feed of Index prices in the OnDataon_data method. For more information about the specific dataset we use for backtests, see the US Cash Indices dataset listing. To trade live with Index data, you can use one of the brokerage data providers.

Create Subscriptions

To create an Index subscription, in the Initializeinitialize method, call the AddIndexadd_index method. The AddIndexadd_index method returns an Index object, which contains a Symbolsymbol property. Save a reference to the Symbolsymbol so you can use it in OnDataon_data to access the security data in the Slice.

_symbol = AddIndex("VIX").Symbol;
self._symbol = self.add_index("VIX").symbol

To view the supported assets in the US Cash Indices dataset, see the Supported Indices.

Resolutions

The following table shows the available resolutions and data formats for Index subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
TickTICK

SecondSECOND

MinuteMINUTEgreen check
HourHOURgreen check
DailyDAILYgreen check

The default resolution for Index subscriptions is Resolution.MinuteResolution.MINUTE. To change the resolution, pass a resolution argument to the AddIndexadd_index method.

_symbol = AddIndex("VIX", Resolution.Daily).Symbol;
self._symbol = self.add_index("VIX", Resolution.DAILY).symbol

To create custom resolution periods, see Consolidating Data.

Supported Markets

The only market available for Indices is Market.USA, so you don't need to pass a market argument to the AddIndexadd_index method.

_symbol = AddIndex("VIX", market: Market.USA).Symbol;
self._symbol = self.add_index("VIX", market=Market.USA).symbol

The brokerage models have a default market for each asset class. If you set a brokerage model, you may not need to specify the market to use.

Fill Forward

Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.

To disable fill forward for a security, set the fillForwardfill_forward argument to false when you create the security subscription.

_symbol = AddIndex("VIX", fillForward: false).Symbol;
self._symbol = self.add_index("VIX", fill_forward=False).symbol

Data Normalization

The data normalization mode doesn't affect the data that LEAN passes to OnDataon_data or the data from history request. If you change the data normalization mode, it won't change the outcome.

Properties

The AddIndexadd_index method returns an Index object, which have the following properties:

Examples

The following examples demonstrate some common practices for requesting Index data.

Example 1: VIX EMA Cross

The following algorithm adds daily VIX Index data and uses the Exponential Moving Average (EMA) indicator to create trading signals. The algorithm uses a 30-day slow EMA and a 15-day fast EMA. It enters a long SPY position when the fast EMA crosses above the slow EMA and liquidates the position when the fast EMA crosses below the slow EMA. 

public class IndexDemoAlgorithm : QCAlgorithm
{
    private ExponentialMovingAverage _emaFast, _emaSlow;
    private Symbol _vix, _spy;
    private decimal _tolerance;

    public override void Initialize()
    {
        // Add the daily VIX and SPY data.
        _vix = AddIndex("VIX", Resolution.Daily).Symbol;
        _spy = AddEquity("SPY", Resolution.Daily).Symbol;
        // Create fast and slow EMA indicators.
        _emaFast = EMA(_vix, 15);
        _emaSlow = EMA(_vix, 30);
        // Define a small tolerance to reduce trading churn.
        _tolerance = 0.00015m;
    }
    
    public override void OnData(Slice data)
    {
        // Check if the indicators is ready.
        if (!(_emaSlow.IsReady))
        {
            return;
        }
        // When the fast VIX EMA crosses above the slow EMA, buy SPY.
        if (!Portfolio.Invested && (_emaFast.Current.Value > _emaSlow.Current.Value  * (1 + _tolerance)))
        {
            SetHoldings(_spy, 0.8m);
        }
        // When the fast VIX EMA crosses below the slow EMA, liquidate the position.
        else if (Portfolio.Invested && (_emaFast.Current.Value < _emaSlow.Current.Value  * (1 - _tolerance)))
        {
            Liquidate(_spy);
        }
    }
}
class IndexDemoAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        # Add the daily VIX and SPY data.
        self._vix = self.add_index("VIX", Resolution.DAILY).symbol
        self._spy = self.add_equity("SPY", Resolution.DAILY).symbol
        # Create the fast and slow EMA indicators.
        self._ema_fast = self.ema(self._vix, 15)
        self._ema_slow = self.ema(self._vix, 30)
        # Define a small tolerance to reduce trading churn.
        self._tolerance = 0.00015

    def on_data(self, slice: Slice) -> None:
        # Check if the indicators are ready.
        if not self._ema_slow.is_ready:
            return
        # When the fast VIX EMA crosses above the slow EMA, buy SPY.
        if (not self.portfolio.invested and 
            self._ema_fast.current.value > self._ema_slow.current.value * (1 + self._tolerance)):
            self.set_holdings(self._spy, 0.8)
        # When the fast VIX EMA crosses below the slow EMA, liquidate the position.
        elif (self.portfolio.invested and
            self._ema_fast.current.value < self._ema_slow.current.value * (1 - self._tolerance)):
            self.liquidate(self._spy)

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