Is the VIX for current and next contract available?

[cassb]

I'd like to develop an indicator to draw a line chart of the VIX contango/backwardation. So I would need the current VIX value and the next contract's value to calculate what to plot. Are these values available to NT indicator code? Would I need a special data connection to get it or ... where would I get it from?

Thanks!
Bryan

[NinjaTrader_Kate]

Hello cassb,

Thank you for your reply.

I'm not familiar with contango/backwardation, can you give more information on what that refers to so I can best guide you?

Thanks in advance; I look forward to assisting you further.

[cassb]

Hello cassb,

Thank you for your reply.

I'm not familiar with contango/backwardation, can you give more information on what that refers to so I can best guide you?

Thanks in advance; I look forward to assisting you further.

Hi Kate, no problem.

https://www.investopedia.com/terms/c/contango.asp

https://www.investopedia.com/terms/b/backwardation.asp

[AlexPhilip]

You could look for securities with high correlation with the vix but that’s all I can think of. Anything direct is is going to come with weird risks like you mentioned. If you do end up going for some etn just watch out for contango in the long term.

[cassb]

You could look for securities with high correlation with the vix but that’s all I can think of. Anything direct is is going to come with weird risks like you mentioned. If you do end up going for some etn just watch out for contango in the long term.

Yeah, I am looking specifically for the VIX value itself.

[NinjaTrader_Kate]

Hello cassb,

Thank you for your reply.

In looking at this it looks like contango/backwardation are specifically focused on VIX futures (VX or VXM for the mini-VIX futures) vs the current ^VIX price. You can certainly add data series of further expirations to a script and compare them. However, keep in mind that dynamically loading a data series is not supported and you'd likely need to hard code the expiries you want to look at and change them as the contracts roll to new front months.

Publicly available information on VIX futures can be found on the CBOE's site here:

https://www.cboe.com/tradable_products/vix/vix_futures/

AddDataSeries from our help guide:

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm

Working with multi-series scripts:

https://ninjatrader.com/support/helpGuides/nt8/multi-time_frame__instruments.htm

Please let us know if we may be of further assistance to you.

[cassb]

Hello cassb,

Thank you for your reply.

In looking at this it looks like contango/backwardation are specifically focused on VIX futures (VX or VXM for the mini-VIX futures) vs the current ^VIX price. You can certainly add data series of further expirations to a script and compare them. However, keep in mind that dynamically loading a data series is not supported and you'd likely need to hard code the expiries you want to look at and change them as the contracts roll to new front months.

Publicly available information on VIX futures can be found on the CBOE's site here:

https://www.cboe.com/tradable_products/vix/vix_futures/

AddDataSeries from our help guide:

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm

Working with multi-series scripts:

https://ninjatrader.com/support/helpGuides/nt8/multi-time_frame__instruments.htm

Please let us know if we may be of further assistance to you.

I just need to know how to access the realtime VIX value from an indicator.

[NinjaTrader_Kate]

Hello cassb,

Thank you for your reply.

I've created a simple example indicator that adds additional ^VIX and VX 10-21 and VX 11-21 series and prints the prices for each in the lower left corner of the chart each minute. This should serve as a jumping off point for creating your own logic using those prices.

Please let us know if we may be of further assistance to you.

[cassb]

Hello cassb,

Thank you for your reply.

I've created a simple example indicator that adds additional ^VIX and VX 10-21 and VX 11-21 series and prints the prices for each in the lower left corner of the chart each minute. This should serve as a jumping off point for creating your own logic using those prices.

Please let us know if we may be of further assistance to you.

Excellent Kate, that's what I was looking for, thanks!

[cassb]

Kate, I have a vendor account and I don't currently trade live with NinjaTrader. But I want to develop some indicators and need a live data feed to test it. I am out of demo account allowances. Can you please see if I can get a 'permanent' demo account set up to test my code with?

[NinjaTrader_Kate]

Hello cassb,

Thank you for your reply.

Unfortunately no, the only demos I can point you towards would be the NinjaTrader Continuum demo or the NinjaTrader FX demo (forex, which it sounds like wouldn't be of help to you). You've already run out of the allowances for the NinjaTrader Continuum demo and unfortunately there's not a way for our technical team to extend those. Further, that would only provide you with data for instruments traded on the CME while the VIX/VIX futures are through the CBOE, so you wouldn't get data for those anyway.

I would recommend sending an inquiry to our vendor support team to see if they have any options for you that you could try. You can reach them at vendorsupport [at] ninjatrader [dot] com.

Please let us know if we may be of further assistance to you.

[cassb]

OK thank you, I wrote to them to see if I can get CBOE on a demo acct.