API Exchange code for VIX futures

March 1st, 2015, 09:22 PM

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

March 1st, 2015, 11:27 PM

Have you tried this? with Symbol = "VIX"

Code

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

March 4th, 2015, 09:53 PM

Thank you, kojava!

It worked!

November 27th, 2018, 03:22 AM

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

API Exchange code for VIX futures

Discussion in Platforms and Indicators

API Exchange code for VIX futures