Now that Quantopian supports Future trading, is there any way to get real time spot prices for index based futures such as the VIX?

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Now that Quantopian supports Future trading, is there any way to get real time spot prices for index based futures such as the VIX?

posted Jun 9, 2017

I'm working on an algorithm trading /VX futures. One key piece of data I need though is the underlying VIX spot price. Currently there only seems to be the Quandl (https://www.quantopian.com/data/quandl/yahoo_index_vix) and that's about it. The problem with that data set is it's a day or two behind for live trading. Quantopian doesn't support options either currently so I have no way of manually calculating it inside of Quantopian without resorting to fetch_csv, which I'd rather avoid as opens another can of worms. It'd be great to get data for other indexes too - such as the NASDAQ, S&P 500, etc., without relying on various ETFs that track it. The EFTs alone aren't good enough as they can trade at a premium or a discount to both the futures and the underlying index.

What's the best approach currently to get real time(minute level interval) VIX data? Thanks!

1 response

Oh and not to mention, sadly Quantopian still doesn't support using pipeline with futures, even if you set your algorithm to only run during the equity calendar. I'd like to get this addressed right away as right now it limits a ton of possibility to use data for futures trading.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.

About Quantopian

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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.