Vix futures charting issue with IB

[Steve R]

AS of this morning, Ninjatrader can no longer obtain the front month (August 2015) data loaded a chart, market analyzer etc with IB,

A call to IB stated that it will show up in TWS standalone but not with their Excel API or NT because there has been a change made due to weekly futures coming on line.

The current symbol for this is VIX 08-15 in NT, but we need to somehow add the day, which for monthly expiry is the 19th.

Adding this into the excel API had it working perfectly but,..

how would we do this in NT?

IB tells me this will eventually affect all months but for now it is only the front month.

[NinjaTrader_Brandon]

Hello Steve,

Thanks for your post.

I have tested this out with my demo account and I receive data without issue. I do not however have a live account that is enabled for this data. To look into this further please write into platformsupport[at]ninjatrader[dot]com

[Steve R]

Hello Steve,

Thanks for your post.

I have tested this out with my demo account and I receive data without issue. I do not however have a live account that is enabled for this data. To look into this further please write into platformsupport[at]ninjatrader[dot]com

Can you not just forward this info to them?

I already wrote everything i can offer.

How would i get the august 19th 2015 contract with interactive brokers?

only aug is affected.

This problem will soon enough be showing up here as a search for anyone that trades vix futures with IB/NT connections. I've already searched and have found nothing so this would be a good place to provide the fix for all to see??

NT 7.0.1000.11 (Live)

The "fix" for IB's Excel API went from 201508 to 20150819 into the "Expiry" column.

One way or the other with new weeklies coming online we're going to have to have NT make the distinction in the symbol matching or some such area between weeklies and monthly.

[NinjaTrader_Brandon]

Hello Steve,

Thanks for your reply.

I am able to access data for this instrument on my end without issue however this is with just a demo account. To look into this further I would need to remote into your computer and see if there is any way to custom map this or I would need to collect info to send to development to look into.

The first this I would need to do though is ensure you are running the latest version of NinjaTrader and the supported version of Traders Workstation.
I recommend that you upgrade NinjaTrader and ensure you are running the supported version of Traders Workstation. If this does not work I will need to remote into your computer to look into this further.

To upgrade NinjaTrader, please follow the link below

http://www.ninjatrader.com/GetStarted

Enter your email address
Select Download FREE Platform (this version will be the live version as well as your current installation should already have your live license).
Download the Current version
Critical: Before running the installer, ensure NinjaTrader is closed

The supported version of Traders Workstation is 944.3

To verify what version of Traders Workstation you currently have log into Traders Workstation
Under Help go to About Traders Workstation...
Scroll down and look for Build
You can download Traders Workstation 944.3 from the link below

http://www.ninjatrader.com/ninjatrader/TWS/tws40_install_944_3.exe

Follow the steps in our Interactive Brokers Connection guide (linked below) to configure Traders Workstation 944.3

http://www.ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide.php

[Steve R]

Hey Brandon.

I'm just gonna sit and wait on it then.

the last thing i want to do is screw around more with upgrades that fail to fix or otherwise screw up my system.

The fact that is worked yesterday and does not today, combined with the fact that IB already knows about this and directed me to the exact problem with proof (My Excel API now works just fine) tells me that i do not need an upgrade OR do i need to screw around again with another TWS upgrade. Mos tof which to me have been a down-grade in useability.

The problem is you guys do not see the grief that we go through trying to get everything up and running,. so you pull put of your bag instantly, run the latest TWS, NT etc etc.

I'm telling you the final fix for this is not going to be found unless you've already directly fixed this in later versions.

The TWS version is 949.3 and it is and always was fine - utnil today. Again the Excel API IB PROVIDES, ALSO didn't work, but now does because we've defined the difference between weekly and monthly contracts. Obviously NT won't work here since we cannot define it, or i do not know how yet as of this point.

How tough is it to find out how to differentiate monthly and weekly? Is this NT's first time through a similar problem? If it is, well then i understand that this need is going to be a real problem if not directly addressed in an NT version above mine.

How about we be less destructive to my system and have you guys look into a live account if you think that might matter?

Again the issue here is differentiating between monthly and weekly contracts. THIS IS THE PROBLEM.

Sorry for being terse but i have been beyond frustrated with NT for years now. A decade of asking and still no pairs-trading ability that doesn't involved balancing an elephant on the head of a pin (as an example), and upgrade after annoying upgrade fixing 2 things and breaking another 3 for some of us. This whole thing has left a seriously bad taste in my mouth for far too long.

Seriously man you have no idea how annoying this is for people that actually use this program for real because we don't have another viable option. Trust me, if i did.......

I'm just gonna sit and wait until you get 20 other people saying the same thing and have all these frankly half-assed solutions NOT fix it anyway. I'll let them go through the problems this is going to cause. I'll know a logical fix/answer when is see it.

If you can tell me for a guarantee that the latest version of NT WILL fix it because it's been directly addressed in some manner, then that's fine, but until then, no thanks bud! I'll sit on this brick for now. At least the rest of it works for now.

Look, lets use some logic here. It's not even working at your end, you just don't see it.

You have i believe 3 contract days to chose from in august. If all you're doing is typing in vix 08-15 then which of the three are you getting and how would you obtain the other two? You've not defined it so you don't know. This is pure and simple logic. Its' not even working at your end because unless i am way behind, computers still can't make arbitrary decisions and come up with 'what you really mean'.

Don't sweat it bro. Have a good day and thanks for your time.

[NinjaTrader_Brandon]

Hello Steve,

Thanks for your reply.

Since this works with my account but not yours I would have to look at your system to see what the cause is. If you are unwilling to assist in looking into this I will need to wait until another user who reports this is willing for us to look at their account further.
We have many users running on the latest version of NinjaTrader and the required version of Traders Workstation. There are many fixes that come out with each release of NinjaTrader and it is always recommended to be on the latest version.
For Traders Workstation newer versions than the required version have not been tested and we could not say if they will work.
I am not saying that updating NinjaTrader and installing the required version of Traders Workstation will resolve this however this would be the first step to eliminate and issues with versions that could exist.

[Steve R]

Hello Steve,

Thanks for your reply.

Since this works with my account but not yours I would have to look at your system to see what the cause is. If you are unwilling to assist in looking into this I will need to wait until another user who reports this is willing for us to look at their account further.
We have many users running on the latest version of NinjaTrader and the required version of Traders Workstation. There are many fixes that come out with each release of NinjaTrader and it is always recommended to be on the latest version.
For Traders Workstation newer versions than the required version have not been tested and we could not say if they will work.
I am not saying that updating NinjaTrader and installing the required version of Traders Workstation will resolve this however this would be the first step to eliminate and issues with versions that could exist.

It doesn't work with your account. You see one price at best when you'll need to see 3-4 different contract all in august.

What is the EOD quote on monthly vix for august?
what are the EOD quotes for the weeklies in August surrounding it and give me those expiry dates while you're at it.

It does not work on your system because you've not even asked for it to differentiate.
Like i said, i know an intelligent answer when i see it, and i do not have to know your job to know you're barking up the wrong tree on this one. You cant even manage to understand the question so i bolded it for you this time.

Give me the above quotes with your 'updated everything' and tell me how you did it.

Until you can do that, you do not have a solution.

[Nick88]

Hi there,

I too trade VX futures with Interactive Brokers and during a restart of NinjaTrader today got the same problem: "error in requesting historical data from IB: The contract description specified for VIX is ambigious; you must specify the multiplier (200)."

This must be because of the introduction of weekly VIX futures. The error given by IB through the api mentions the multiplier to be the problem, but I have seen a case like this some years ago with, I believe, the CL contract. It's not the multiplier, the reason no historical data can be loaded is because it is not clear wich contract you are requesting data for. There has to be added something in the Symbol Map for 'VX". Something like VX||M to distinguish between weekly and monthly contracts.

Things like this unfortunately happen each year. Each time weekly futures or Mini-contracts (see EOE and CAC futures for example) are introduced on an exchange things get mixed up and it doesn't work anymore. Without any warning, I might add. Frustrating.

Please help us to fix this as soon as possible.

Best regards,

Niek

[NinjaTrader_Brandon]

Hello Steve and Nick,

Thanks for your replies.

I have another user I am scheduling a remote call with so I can gather the needed information for development to look into this further. I will post any further updates as more information is available.

[Nick88]

Thanks Brandon.

[NinjaTrader_Brandon]

Hello Steve and Nick,

Development is looking into this.

I will update you as more information is available.

[Steve R]

Hello Steve and Nick,

Thanks for your replies.

I have another user I am scheduling a remote call with so I can gather the needed information for development to look into this further. I will post any further updates as more information is available.

Thank you Brandon.

I knew it was only a matter of time.

Nick88 nailed it perfectly. As i've said all along this is only an issue of weeklies vs monthly contracts.

Unless NT has been upgraded to fix these issue specifically, there's no amount of screwing around that's going to fix it that i can see.

As an added aid to all, this AT MOST will only be an issue for front month and possibly once in a while 2nd month futures as the info i have gathered from CBOE site and the operation of the weeklies.

For August, the monthly contract expires 19th. This has always been VIX 08-15 in NT.

We now have for the weeklies, what is called VX31 and V32. (IB and CBOE designations) These designations are for the weeks of the year, so VX31 will expire August 5th and VX32 will expire August 12th.

Looking forward to this fix.

[zstheorist]

This is critical for me as well

I just got back from a 1 week vacation today and was trying to backfill to get going again, and ran into exactly the same problem. I suspect many of your long time users are as concerned as I am that this is handled in a priority manner. Thank you for the continued service.

[sergiz]

Hepl with VIX

Hello, I too trade VX futures with Interactive Brokers, I was getting 08-15 VIX contract data until Friday the 24th, but when I restart the platform Sunday evening (UTC + 1), had the same problem as everyone has said before.

I do not receive data and get an error message:
"error in requesting historical data from IB: The contract description specified for VIX is ambiguous; you must specify the multiplier (200)."
A month were corrupting data several instruments in the workspace.

When you plan to give a solution?

Thanks in advance and sorry for my English, I did some google translation.

[NinjaTrader_Brandon]

Hello sergiz,

Thanks for your reply.

I do not have an ETA for a resolution. Development is looking into this with the Interactive Brokers API team. I will update when more information is available.