VIX future instrument

[heech]

Hi,

Can someone walk me through the correct way to setup VIX futures within my instrument manager? I'm unfamiliar with futures in general, and I know that my strategy can go haywire (trades disappearing) if things aren't setup correctly... so I'd rather have someone with NT at least walk me through initial setup.

http://cfe.cboe.com/Products/Spec_VIX.aspx

VXM9 (June expiration) would be a great starting point, thanks.

[NinjaTrader_Kyle]

Hi Heech,

Thank you for your post.

What data feed do you connect through?

Please follow the instructions below to add an instrument in the Instrument Manager.

• From the NinjaTrader Control Center window select the menu Tools > Instrument Manager
• Press the "New" button
• *Enter in instrument specific information and select the appropriate exchange (add Default exchange for equities in addition to the actual exchange)
• Fill in any relevant information under the "Misc" tab such as symbol mapping for your target connectivty provider
• Press the "OK" button

* If you wish to add an equity, this can be accomplished without following the steps above. Just open a chart (for example) and start typing in the symbol and a new instrument is automatically created.
The instrument is now added to the master instrument list. Please follow the instructions below if you want to add this instrument to an instrument list.

• Select the instrument list you wish to add the instrument to via the "Instrument lists" drop down list in the upper left hand corner
• Select the exchange (Default recommend for equities) as this will route orders to your broker smart routing system
• Select the appropriate expiration date if this is a futures instrument
• Press the "<" button to add the instrument to the list

You are now complete and can press the "OK" button.

[heech]

Kyle, I understand how the instrument manager works in general. I just don't understand the fields as it applies to futures.

I'm not clear, for example, what to insert in there for "rollover period", or point value.

[NinjaTrader_Kyle]

Hi Heech,

Thank you for your reply.

Rollover Period -The number of months between contracts.
Not sure what the correct value is for VIX with your data provider.

Point Value - The currency value of 1 point of movement for the instrument. In the case of VIX, 1000.

[heech]

Kyle,

Okay, I think I'm on the right path here.

Are there any problems at all with mixing futures + stock instruments within the same strategy, using Add()?

[heech]

Follow-up question... will NT automatically round to the closest tick size, if my strategy tries to place an order that's in-between? (VIX futures have minimum tick size of 0.05)

Thanks.

[NinjaTrader_Kyle]

Hi Heech,

Thank you for your replies.

1.) There will not be a problem with that.

2.) You should handle the rounding in your code for good practice. For more information, please refer to the following link: http://www.ninjatrader-support.com/HelpGuideV6/InstrumentMasterInstrumentRound2TickSize.html

[heech]

Perfect, everything looks like it's working.

For others going down the same path:
- symbol for the VX future on IB is VIX
- symbol for the VX future on IQFeed (which I'm using as price server) is @VX
- tick size is 0.05
- multiplier is 1000
- exchange is CFE

The VIX-Mini is:
- on IB, VM
- on IQFeed, @VM
- tick size is 0.05
- multiplier is 100
- exchange is still CFE

[NinjaTrader_Kyle]

Hi Heech,

Thank you for adding that information to this forum thread!

[stewarco]

Hi. Does anyone know how to add later contracts for VIX futures in IB? I'm able to get the current contract using VX, but I'm interested in charting (say) the fourth contract? I've tried using the symbols from IB (in this case VXU0), but nothing appears on the chart.

Thanks!

[NinjaTrader_PatrickG]

The VX with Interactive Brokers is not supported as it now includes weekly contracts. NinjaTrader 7 does not have the ability to map to the weekly contracts and cannot define the monthly contract to properly function.