API Exchange code for VIX futures - futures io
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API Exchange code for VIX futures


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API Exchange code for VIX futures

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  #1 (permalink)
BrazilForever
Nashville, TN
 
 
Posts: 10 since Feb 2015
Thanks: 5 given, 2 received

Hello Everyone,

I am trying to retrieve contract details for VIX futures. The following code:

 
Code
Samples.EWrapperImpl ibClient = new Samples.EWrapperImpl();
ibClient.ClientSocket.eConnect("", 7496, 0); 
Contract contract = new Contract();
contract.Symbol = "VX";
contract.SecType = "FUT";
contract.Exchange = "CFE";
contract.Currency = "USD";
ibClient.ClientSocket.reqContractDetails(1, contract);
Thread.Sleep(20000);
ibClient.ClientSocket.eDisconnect();
return error: "No security definition has been found for the request"

So I am guessing that I am not specifying Exchange correctly, since the above code works perfectly for
contract.Symbol = "ES" and contract.Exchange = "GLOBEX".

I also tried contract.Exchange = "SMART"

Regards,
BrazilForever

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  #2 (permalink)
 kojava 
Orlando, FL
 
Experience: Advanced
Platform: NinjaTrader, ToS, Sierra Chart, MCDT
Broker: Interactive Brokers
Trading: ES, NQ, 6E, 6A, TF, CL
 
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Posts: 43 since Jan 2011
Thanks: 53 given, 29 received

Have you tried this? with Symbol = "VIX"

 
Code
contract.Symbol         = "VIX";
contract.SecType       = "FUT";
contract.Currency      = "USD";
contract.Exchange     = "CFE";
contract.LocalSymbol = "VXH5";

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  #3 (permalink)
BrazilForever
Nashville, TN
 
 
Posts: 10 since Feb 2015
Thanks: 5 given, 2 received


Thank you, kojava!

It worked!

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  #4 (permalink)
 guidoisot 
Milan, Italy
 
Experience: Beginner
Platform: NinjaTrader, TWS
Trading: ES, Stocks
 
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Posts: 252 since Jan 2012
Thanks: 357 given, 149 received

hi,
@BrazilForever
@kojava
I was wondering whether you trade VIX futures (calendar) spreads using IB data feed, either on TWS, or NT8 or some other platform compatible with IB, and if so whether you could share on the forum how you do it or just your experience about these spreads. Thanks

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