Vix futures charting issue with IB

[Nick88]

Hello Curmudgeon,

Thank you for the useful information you provided in your post. I checked out documentation of MultiCharts and Amibroker but both can't match NinjaTrader. Only with NinjaTrader one can add multiple datastreams to a Strategy and send orders to any of them on a trigger of a certain BarsInProgress event. Also, in NinjaTrader it is easy to send orders to multiple Accounts.

So, I'm now reading the Visual C# tutorials you linked to and will see if I can manage to write my strategy into a program.

Thanks!

[marcoheimann]

Hello Curmudgeon,

Thanks for your helpful comments. Replacing the Futures with VXX worked quite well in the last week. But of course you are right that it's a completely different beast. To be precise, I use market volatility in 60min timeframe as signal confirmation for trades in stocks and don't actually trade it. In my backtests the performance did change, but not enough for stopping trading. Can you tell me if some the nasty side effects you mention could ravage with my strategy setup. Of course I would then look for ways to control those.

Marco

[curmudgeon]

Hi Marco, I have 4 main issues with vxx and similar instruments
1 its an ETN not an ETF. That means it has counterparty risk to the sponsor (CS I think). You'd expect vix to go like a rocket if one of those banks failed but you'd miss out if that was the one trading with the note
2 it follows an index that can be anticipated and front run between the two near vix futures contracts. Since it is front run predictably it will bleed even more than a simple vuy and roll vix futures position. I think it is big enough to make some distortion in the future that you can anticipate and profit from. To some extent all index funds have this problem, you can see the mess of the Russell rebalance but here it is much bigger an effect as a percentage of value
3 it follows the price of the future with some distortions both because of the other reasons here as well as its own supply demand issues. The distortion does not appear symmetric nor could I figure out how to parameterize it
4 it is hard to borrow and expensive to short often - possible that there's an arbitrage strategy that you could implement between it and the future if it werent for that

[Steve R]

Hello Curmudgeon,

Thank you for the useful information you provided in your post. I checked out documentation of MultiCharts and Amibroker but both can't match NinjaTrader. Only with NinjaTrader one can add multiple datastreams to a Strategy and send orders to any of them on a trigger of a certain BarsInProgress event. Also, in NinjaTrader it is easy to send orders to multiple Accounts.

So, I'm now reading the Visual C# tutorials you linked to and will see if I can manage to write my strategy into a program.

Thanks!

Nick,

if you have the Excel IB api, you're almost there. They've done a lot of work for you, and learning VBA is about as easy as things are going to get - not to mention as with just about everything anymore, the info is free on the internet if you run into a programming snag.

As i mentioned to you gents almost from the outset, NT is such a piece of trash (absolutely NOT a professional platform as no professional would put up with these constant degradation and limitations of use over time, not to mention the 'fix' of 'use another broker' is about as insulting as it gets).. that I've been using IB's excel api for a long time now. Honestly Nick, it only seems harder to you now than it really is.

If you make the leap (free i might add) you won't regret it. As you knock off one strategy after another your ability and confidence in programming with VBA will increase.

Heck, maybe you can sell your 'live' trading license and actually salvage something out of the deal if you felt the desire.

If you want to backtest in NT, you can do easily a good enough job writing an indicator and using the free option than anyone can use with NT. You can also pump the NT data to Excel for backtesting.

There are endless things you can do without paying anyone a cent beyond what you're already doing or limiting yourself like you have to constantly do with NT-trading.

With IB's excel api the sky is the limit.

Good Luck Nick.

[Nick88]

Hi Steve,

Thanks for your reply. I looked into several other retail platforms but they all lack compared to NinjaTrader. I still think on the retail level Ninja software does a good job both on the actual software and its documentation. Unfortunately the VIX futures debacle is a dealbreaker here.

Since my trading systems are relatively simple and consist of only a couple of lines of code I'm looking into programming something in C# directly using Visual Studio and bypass the extra Excel 'layer'. With Excel I would have to learn Visual Basic also, so perhaps better to go for C# I think....

If someone has intraday data for the August VX future, could you please upload it here? I can get a chart of it in TWS but no software I tried can download the data from TWS. Pity that TWS does not have an export data function.

Cheers

[trash]

Hello Curmudgeon,

I checked out documentation of MultiCharts and Amibroker but both can't match NinjaTrader. Only with NinjaTrader one can add multiple datastreams to a Strategy and send orders to any of them on a trigger of a certain BarsInProgress event.

That's wrong.

[Steve R]

So out of morbid curiosity, did NT ever find a solution for this in NT7? 2015 pheeww already :-)

I gave up on this heap way back and moved on to the API route for anything related to monthly-v-weekly contract issues but am willing to re-deploy back to NT platform when issues are actually resolved.

My guess is it never happened in NT7 but am also curious to see if it was/is fixed in NT8? Can you now get weekly and monthly options resolved (vix futures etc) in NT8?

[NinjaTrader_PatrickG]

Monthly VX contracts are available in NinjaTrader 8. Weekly contracts are not.

[Steve R]

Actually looks like not.
It's the same breakage in NT8 as it was in NT7. The closest in monthly i can get with IB is DEC 2019 for NT8, which is the same as with NT7. This is exactly as broke today as it was 5 years ago where we couldn't get monthly quotes in months that the weeklies pop into existence.
Well hey, consistency is a wonder full thing.

[NinjaTrader_PatrickG]

I cannot reproduce the symptom you're reporting in NinjaTrader 8.

Please send me your log and trace files so that I may look into what occurred.

• You can do this by going to the Control Center-> Help-> Email Support
• Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.
• Please reference the following ticket number in the body of the email: 2297220 ATTN PatrickG