Vix futures charting issue with IB

[Steve R]

Yeah unfortunately it requires a re-write since as it stands now there's no provision for anything other than a single contract in any given month.

Then you'd have to think about how you'd integrate the roll-dates etc etc for multi-contract months etc etc. What a frigging nightmare.

Well, here's my two honest cents for what its worth.

Get on it.

Forget the bells whistles and sorted mostly nonsense upgrades that add window dressing at most, and get down and do a serious upgrade. While you're at it write the damn code for native pairs trading since you'll be b@lls deep already. Hey that's only been asked for, for a decade...

There comes a time when you know your project has been maxed out as far as it can go given the path you've taken, right or wrong is completely irrelevant, then you gotta make some tough decisions to make that next real leap you know you've got to pull off to stay competitive.

Welcome to right here and now. It's game time. Are ya gonna play or just warm the bench with the other sluffs?

[Nick88]

You know how to motivate them Steve

[NinjaTrader_Brandon]

Hello,

Development has looked into this and with the changes to this instrument it will not be able to be supported in NinjaTrader 7 for the weekly or monthly contracts. Development will take into consideration/look into the possibility of adding support in NinjaTrader 8.

[curmudgeon]

Thanks for getting back to us Brandon. It's unfortunate that this can't be made a high enough priority to devote enough development time to, even if it's only on NT8 and getting people access to the Beta if required.

The strategy with VIX was one of the first ones I implemented in NT and the fact it was successful was one of the reasons I subscribed to it in the first place. This isn't exactly a pie-in-the-sky wishlist item.

[Nick88]

That wasn't the answer I was hoping to hear. I am dissapointed about this, NT to just scrap this contract as a solution to the problem.

[marcoheimann]

Hi Brandon, I'm also extremely disappointed that NT7 will no longer support VX contracts. Not even monthly? So people like me who have put serious effort in trading with those contracts, and there seem to be many of us, just can't trade them anymore and we have to find jet another workaround. Including VX in NT8 is of little use to me because there isn't even a release date. I can't plan with the promise that those contracts will work at some point in time with NT8.

[NinjaTrader_Brandon]

Hello,

Thanks for your reply.

If you want to continue to trade this contract with NinjaTrader you would need to use another broker.
The change on Interactive Brokers end on what is needed for this contract to function in NinjaTrader is not possible in NinjaTrader 7. Other brokerage connections are still able to access and trade this instrument.

[marcoheimann]

Thank you for your reply. I get data from kinetick so I know that it works on other feeds. Changing from IB to another broker is really your best advice?

It is hard to believe that this is 'impossible' in NT7. I guess you're just busy with NT8 ;-)

[curmudgeon]

In the context of the past few days market action in VIX, I regret that I chose to rely upon NinjaTrader for my programmed trading and understand Steve's attitude a lot better now. Support for VIX and Interactive Brokers are both expected in the product and worked for a long time.

To just let that go (after two weeks that I could have spent trying to implement something rather than thinking you would find a solution) is not something that I would have expected from you and is not something that's going to be good for your business's longevity - you've shaken the confidence of at least a few customers who are now scoping out competitors offerings or implementing in IB's API directly.

I'm also concerned about the fact that you guys are also white labeling for a specific brokerage firm and therefore have a conflict of interest with regards to supporting one of that firm's competitors' product line.

[NinjaTrader_Brandon]

Hello curmudgeon,

Thanks for yuor post.

The change on Interactive Brokers end resulted in this instrument no longer being able to be supported with NinjaTrader 7. To support this will require changes on the back end of NinjaTrader's software. Developments focus is NinjaTrader 8 and this is being looked into and taken into consideration for NinjaTrader 8.

[Nick88]

Has anybody found an alternative charting/trading platform which can be connected to Interactive Brokers and which is able to chart / auto-trade monthly and weekly VIX futures? I looked into the TWS api - Excel thing but that doesn't look very easy to set up, at least for someone with my knowledge

[marcoheimann]

As I needed s quick solution I use the VXX ETF now. Really not optimal but it was the easiest thing to set up without excel api or different platform. I would also appreciate reading what others are doing.

[Nick88]

Hi there Marco,

For my trading I need the datastream of VX futures in my Strategy so I am now looking into two random competitors: Amibroker and MultiCharts. Both should be able to chart the weekly and monthly VX futures. This is because with both the user can add the required symbols in IB's notation to the database. NinjaTrader is not flexible on this end. There could be other software as well, but these were the first two on my mind. MultiCharts.NET does look to have about the same capabilities as NinjaTrader, but it will cost almost 2K usd and one has to relearn the programming language....

[Nick88]

Another possibility would be to trade FVS (VSTOXX) futures on Eurex instead, but commissions will be five times as much. Plus bid-ask spread and liquidity will be an issue.

[curmudgeon]

Nick and Marco, this talk of switching instruments from one to another because NT doesn't support something is really the tail wagging the dog. I suggest you really think about what you're doing before you proceed - these products are different beasts with different market dynamics associated with them. Volatility products are really a special case that have a lot of supply/demand issues as well as cost of replication issues associated with them. Those for the VSTOXX and NKVI are very different than those for the VIX. And I'd forget about trading the vol ETPs, they have all kinds of nasty side effects (which probably contribute to the fact that the VIX futures curve is interesting to trade). Try backtesting your VIX strategy on another product and you may find it doesn't work at all or it needs dramatically different parameters.

I've been working on the IB API directly to try to replicate the same strategy that I'd been running before. It's not as daunting as I'd thought to translate the strategy towards using the API. I'm not applying charts obviously. Maybe I could have done it in the first instance, but maybe working out the strategy at the same time as working out the API would have been too much in one gulp. these tutorials are helpful: holowczak.com/ib-api-tutorials-by-programming-language/ and check out ta-lib.org if you need some of the standard indicators. Another advantage of this method is you get some of the IB order types that are not supported in NT, though this is less relevant to these contracts.

I'd looked at Multicharts but it seems that it's really ugly if you want to have multiple contracts in the same strategy and use computations on all of them to decide what to do - NT has an easy handling of multiple instrument strategies. I need this for the strategy that I'm running.

It's a shame that NT has taken this decision not to update the backend to allow continued support for VIX contracts.You simply need to add a field "tradingClass=VX" when specifying the contract to filter for the monthly VIXs from the weekly ones.