QUANTCONNECT COMMUNITY
Hi everyone,
I've been backtesting with the VIX index using the self.AddIndex() function to initialize VIX and the backtests ran fine, but I am unable to obtain any VIX index data during live-trading.
The following backtest is my attempt to log minute VIX close prices while live-trading and I keep getting “0.0” for some reason. Does QuantConnect not have data for the VIX index for live-trading?
Best regards
Cheng
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Fred Painchaud
Hi Li,
Are you using IBKR as a broker? https://www.quantconnect.com/datasets/algoseek-us-index-options
VIX is only avail live via IBKR.
If you do, not sure what is the problem. I recall reading something about that I believe - like you might need to make sure you enable some feed on IBKR… not sure sorry.
Fred
Li Cheng
Hi Fred,
It seems like IBKR does have a CBOE market indexes data subscription option, but how do I tell my algorithm to utilize it? What function do I use besides using IBKR as my data provider for live-trading?
Do I simply use the self.AddIndex() function and my algorithm will automatically receive data for VIX from my IBKR subscription?
Varad Kabade
Hi Li Cheng,
The QuantConnect data feed does not include cash indices. In order to receive data, we need to have a data subscription with IB and use the IB data provider or the combined QC+IB data provider.
Best,
Varad Kabade
Li Cheng
Hi Varad,
Got you, I appreciate the information, but do I use self.AddIndex() to initialize an index?
Best regards
Cheng
Varad Kabade
Hi Li Cheng,
QuantConnect data feed does not include index data. For live trading, you need to purchase it from Interactive Brokers.
Best,
Varad Kabade
Li Cheng
Hi Varad,
I've already purchased the CBOE indices package from IBKR, my question was how I would initialize an index in my algorithm after having data for the index.
I tested it, and it turns out that, yes, self.AddIndex() is the method to initialize an index (after having a CBOE indices subscription on your IBKR account)
Li Cheng
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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