Vix futures charting issue with IB

[marcoheimann]

Same issue here

Hi all and thanks to SteveR for pointing out the weekly expiration issue. Hope NT fixes this soon

[Steve R]

Thanks Marco.

As a work-around and for me a near permanent solution anyway, i have found working with IB's Excel api workbook a much easier way of dealing with coding and trading.

Plus the 'fix' for this has already been obtained by adding in the 'day' value to get the proper quote. IE Aug 5th expiration in the excel api is simply 20150805

done!

Sure it does not have the eye-candy that NT does but for me, coding and order entry/process is made significantly easier than trying to do it with NT and the unwanted overhead.

Mileage will certainly vary here depending on what different traders use for triggering entries/exits but in my case it is an extremely VBA programmer-friendly process.

I do miss the charting view i get with NT that i do not yet have implemented within the excel api, but other than that.....

[marcoheimann]

While I understand your frustration I guess for me the opportunity cost of switching is just too high right now. I have a bundle of strategies running and my trading/coding habits with NT I don't want to change. Waiting for fixes like this one (+support not getting your point) is annoying but for me it's not a reason to question the whole NT ecosystem. Good trading!

[Steve R]

......it's not a reason to question the whole NT ecosystem. Good trading!

lol now try and make a pairs-trading strategy that would not involve sacrificing your first 3 children to the trading gods to get it done and working, lol.

A whole pile of people have been wanting this since forever. There's no solution i have found that works well. Not even close. This is why i stated looking for other means. The effort was up front but man the end product when dealing with IB and their Excel API is just beautiful. Turn it on and go to the beach. lol.

What is worse NT knows of this glaring omission in their program but they just won't get around to fixing it. The best plan would be a 'native' NT based approach and not what us users have been trying to devise for years. The overhead is just too crazy.

I still run many indicators and of course charts, but my actual trading is not done with this system. It's just horrible, unless you're running something very very basic and on a single security / non pairs.

[Nick88]

Thanks Steve for reminding me of the Excel api route. I have to investigate that. It has been a week already and still no solution. Could take weeks, who knows?

[curmudgeon]

any update on ETA

hi Brandon and team

Any updates on an ETA for a fix please ?

I think there are several of us hoping to get back into our previous routines

Much thanks

[NinjaTrader_Brandon]

Hello curmudgeon,

Thanks for your reply.

Development is still working on this with Interactive Brokers.
Weekly contracts will likely not be supported. We are seeing if an update can be done to continue to support the monthly contract.

[Steve R]

In the meantime guys, you can continue to update (historically anyway) your charts with the data found here:

http://cfe.cboe.com/data/historicaldata.aspx#VX

or for ease and if you trust my numbers, find attachment.

July 14th to 30th VIX 08-15 Daily.

[Steve R]

I suspect by next week, VIX 09-15 will also go DOA.

Update while you can.

Who is interested in obtaining weeklies? I doubt i personally will be doing it but just interested as i have a couple of charting ideas that i am not sure everyone would know about.

[curmudgeon]

If you need to keep your intraday historical data updated there's a project on Github that will among other things download historical data from IB at whatever level you need so you can keep your intraday data up to date. Obviously does you no good for real time, but if you're using previous days' intraday data to set your strategy for the new day it could get you by. You'll need to write something to process the XML and prepare it for import into NT or whatever other tool you need (you need Cygwin to run it on windows too). Here's the link https://github.com/rudimeier/twstools

It seems the CBOE will list no more than 6 weekly contracts at a time, so with the September expiration of 16th, Steve is likely right that the new batch goes live next week.

One thign for everyone to think about is if these weekly contracts gain traction, whatever methodology you used to trade the VIX could now need a rethink because the behavior of the contract might change. At least cut your sizing dramatically while we see how this shakes out.

I'm kind of hoping this stuff will be like those other index VIXs that never got much volume and eventually they gave up on, having dispersed liquidity on many contracts rather than concentrated on a few does not make good market structure, and it makes more sense to trade the main item rather than trying to get too precise about what people trade/hedge. Better basis risk that you can understand than a liquidity and depth issue that you'd have with the weeklies. I suspect the monthly ones will still make up way more of the volume than all the weeklies combined but we'll see.

[Steve R]

Ooh, it happened today.

We didn't make next week.

VIX 09-15 DOA

[Nick88]

Who is interested in obtaining weeklies? I doubt i personally will be doing it but just interested as i have a couple of charting ideas that i am not sure everyone would know about.

Well, It would be great if Ninja supported the weeklies. The delisted VXST contracts didn't get any traction, but the new VIX weeklies already trade several hundred contracts per day in their first week of being listed. If there would be a workaround to chart the weeklies that would be fine too.

[Nick88]

If you need to keep your intraday historical data updated there's a project on Github that will among other things download historical data from IB at whatever level you need so you can keep your intraday data up to date.

Thank you for this information. There is also this software that could be of help:

http://ibcollector.com/Default.aspx

[Steve R]

Well, It would be great if Ninja supported the weeklies. The delisted VXST contracts didn't get any traction, but the new VIX weeklies already trade several hundred contracts per day in their first week of being listed. If there would be a workaround to chart the weeklies that would be fine too.

I can see many people being interested in vix weeklies. I think they're here to stay.

Yes it's not the best situation that NT has going on here. No support for instruments really needs to be addressed.

The last i checked in addition to vix weeklies, you also have no access to single-stock futures and of course no options contracts support whatsoever. A hole the size of Manhattan in the platform is opening up here.

What? You didn't want to actually trade something, did you? lol

[Nick88]

I can see many people being interested in vix weeklies. I think they're here to stay.

Yes it's not the best situation that NT has going on here. No support for instruments really needs to be addressed.

The last i checked in addition to vix weeklies, you also have no access to single-stock futures and of course no options contracts support whatsoever. A hole the size of Manhattan in the platform is opening up here.

What? You didn't want to actually trade something, did you? lol

Yeah, it's a shame that there is no software package I know of (in the retail price range) that can handle this. Shouldn't be too hard. The data is there to grab, you can look up the symbol IB uses. You just need the software to pull it and chart it. If I have to edit the Symbol map to do it each month/week/day, that would be fine with me.