Enable CBOE Indexes in Interactive Brokers Live Trading
See original GitHub issueExpected Behavior
Be able to add CBOE Indexes that are not currently supported by QuantConnect to a live algorithm using IB data feed.
Actual Behavior
It’s not possible to add indexes that QC doesn’t support like VIX3M.
AddIndex("VIX3M", market: Market.CBOE)
Potential Solution
Add generic key in MHDB
"Index-cboe-[*]"
and allows Market.CBOE
in CanSubscribe
.
Reproducing the Problem
Deploy basic algorithm with:
AddIndex("VIX3M", market: Market.CBOE)
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
master
branch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Issue Analytics
- State:
- Created 2 years ago
- Comments:5 (2 by maintainers)
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Top GitHub Comments
Thanks for opening the ticket! I’m looking forward to this being available!
Hey @mmlin, CBOE VIX3M custom data is working in live trading, we gave it a sanity test just in case (@Marinovsky), are you still having issues with it? If you can contact support directly would be helpful to pin any specific algorithm issues, see logs.
@Marinovsky will add the missing MHDB & SPDB entries shortly