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Hey there Community!
We are very excited to announce VIX futures data! The historical data for all monthly contracts from 2011 - present is on our servers and you can start developing trading strategies with VIX futures right now. It is currently missing Open Interest data for VIX, but we are working with our vendor, AlgoSeek to get that data ready ASAP.
In order to deploy your VIX algorithm in Live mode you will need an Interactive Brokers account with active data subscription for those markets. Attached is a simple algorithm that trades ES based in the VIX vs VX futures relation. Its fairly simple but gives you a good picture - and plenty of room for improvement!
Please consider this data "in beta" - we're releasing it publicly now and would love to hear your feedback. If you find any issues please let us know through the Data Explorer.
Happy Coding!
Juan
Stefan
Awesome. Thank you!
Ritaelyn
Thank you! I'm trying to get the algorithm to work but it seems like there is no /VX data past July 30th, 2018? Is that correct?
JayJayD
Hey Randy Martinez, thanks for reporting the issue!
It's fixed now.
Serge d'Adesky
This is a huge improvement to the toolset at QC. Way to go!
Ritaelyn
Is it possible to get hourly & minute spot VIX index values? The example is using QaundlVIX which appears to only have daily data. If so, what's the code to get this data?
CloudTrader
Great. Thank you! Do you have an example in Python?
James Parrish
I'm also looking for an example in Python. Would be a huge help!
JayJayD
Thanks Serge d'Adesky!
, we don't aggregate future data into hourly and daily. You can do it in your algorithm by using consolidators. In order to get Quandl VIX data, you only need to implement a custom Quandl data reader.
public class QaundlVIX : Quandl { public QaundlVIX() : base("VIX Close") { } }CloudTrader and James Parrish, the example in this post is a simplified version of this quantpedia algorithm, we are working in a better version. It'll be posted here as soon it is ready.!
James Parrish
Ok, I will wait for that post then. Thank you for the update!
Jing Wu
James and Cloud Trader, I've implemented the python version of the VIX futures algorithm. Please see the attached algorithm
CloudTrader
Cool! Thank you so much Jing.
James Parrish
Thanks Jing!
Gabriel Mercier
That's a great thing! VIX is important to provide signals and manage risk. However, to my opinion, it would be a lot more useful if we could get data from at least 2008 as we would be able to run VIX algos in the market crash situation.
Jing Wu
We have the historical futures/options data for backtesting but we do not provide the live data feed for options/futures. To deploy this algorithm into live trading, please make sure your futures live data subscription is active in your Interactive Brokerage account.
Spacetime
I appreciate the explanation. It is understandable now. Thanks!!
JayJayD
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