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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)
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)
Orlando, FL
 
Experience: Advanced
Platform: NinjaTrader, ToS, Sierra Chart, MCDT
Broker: Interactive Brokers
Trading: ES, NQ, 6E, 6A, TF, CL
 
kojava's Avatar
 
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)
Nashville, TN
 
 
Posts: 10 since Feb 2015
Thanks: 5 given, 2 received


Thank you, kojava!

It worked!

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  #4 (permalink)
Milan, Italy
 
Experience: Beginner
Platform: NinjaTrader, TWS
Trading: ES, Stocks
 
guidoisot's Avatar
 
Posts: 238 since Jan 2012
Thanks: 344 given, 143 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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