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ibtest.py and vix?



  • @backtrader, I tested data with IbPy data of VIX comes as tickPrice

    (backtrader) MBP:sample-ibpy $ python fancy_marketdata.py
    Server Version: 76
    TWS Time at connection:20190208 11:23:12 IST
    <managedAccounts accountsList=U2040863,U2179391,U2189300,U2336832,>
    <nextValidId orderId=1>
    <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture.nj>
    <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm.nj>
    <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfuture>
    <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:eufarm>
    <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:cashfarm>
    <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:usfarm>
    <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:euhmds>
    <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds.nj>
    <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:cashhmds>
    <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:ushmds>
    Contract Values:VIX,IND,CBOE,USD,,0.0,:

          • REQUESTING MARKET DATA * * * *
            <marketDataType reqId=1, marketDataType=1>
            <tickPrice tickerId=1, field=1, price=0, canAutoExecute=-1>
            <tickSize tickerId=1, field=0, size=0>
            <tickPrice tickerId=1, field=2, price=0, canAutoExecute=-1>
            <tickSize tickerId=1, field=3, size=0>
            <tickPrice tickerId=1, field=4, price=16.62, canAutoExecute=0>
            <tickSize tickerId=1, field=5, size=0>
            <tickSize tickerId=1, field=0, size=0>
            <tickSize tickerId=1, field=3, size=0>
            <tickSize tickerId=1, field=5, size=0>
            <tickPrice tickerId=1, field=6, price=16.86, canAutoExecute=0>
            <tickPrice tickerId=1, field=7, price=16.58, canAutoExecute=0>
            <tickPrice tickerId=1, field=9, price=16.37, canAutoExecute=0>
            <tickString tickerId=1, tickType=45, value=1549617790>
            <tickString tickerId=1, tickType=45, value=1549617805>
          • CANCELING MARKET DATA * * * *


  • @backtrader looks like this resolved the issue... could you please validate?!

    0_1549624654502_Screen Shot 2019-02-08 at 13.16.48.png


  • administrators

    As stated in the past in the previous thread, no access to VIX and no intention of having it.

    If it works for you...