Loading Indices (VIX Index) not working
Has anyone here been using any sort of INDEX in BT?
I have live data subscription for the VIX Index, I see realtime data in TWS, however, I've tried a 100 different ways to load it in BT - all failed.
I've also tried by requesting it a different way (the same way as described in the IBApi):
All I get is:
makecontract() called by init, symbol: VIX, sectype: IND, exchange: CBOE, currency: USD, expiry: None, strike: None, right: None, mult: , localSymbol: None (mult is ''), also tried with 1 and 1000, no difference
ContractID: 13455763 | Category: Volatility Index | Contract Month: None | Industry: Indices | Long name: CBOE Volatility Index
Market Name: None | Currency: USD | Exchange: CBOE | Multiplier: None | Expiry: None
Local symbol: VIX | Sec type: IND | Symbol: VIX | Trading class: None
Liquid Hours: 20201215:0215-20201215:0815;20201215:0830-20201215:1515;20201216:0215-20201216:0815;20201216:0830-20201216:1515;20201217:0215-20201217:0815;20201217:0830-20201217:1515;20201218:0215-20201218:0815;20201218:0830-20201218:1515
Trading Hours: 20201215:0215-20201215:0815;20201215:0830-20201215:1515;20201216:0215-20201216:0815;20201216:0830-20201216:1515;20201217:0215-20201217:0815;20201217:0830-20201217:1515;20201218:0215-20201218:0815;20201218:0830-20201218:1515
Valid Exchanges: CBOE
So - it returns a "valid" contract, but - no live data? I've not set session filters.
For some reason - it started working only after enabling rtbar=True.
The VIX Futures however seem to work without it.
Has anyone have any idea on this?