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API Exchange code for VIX futures

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  #1 (permalink)
Nashville, TN
Posts: 10 since Feb 2015
Thanks Given: 5
Thanks Received: 2

Hello Everyone,

I am trying to retrieve contract details for VIX futures. The following code:

Samples.EWrapperImpl ibClient = new Samples.EWrapperImpl();
ibClient.ClientSocket.eConnect("", 7496, 0); 
Contract contract = new Contract();
contract.Symbol = "VX";
contract.SecType = "FUT";
contract.Exchange = "CFE";
contract.Currency = "USD";
ibClient.ClientSocket.reqContractDetails(1, contract);
return error: "No security definition has been found for the request"

So I am guessing that I am not specifying Exchange correctly, since the above code works perfectly for
contract.Symbol = "ES" and contract.Exchange = "GLOBEX".

I also tried contract.Exchange = "SMART"


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  #2 (permalink)
kojava's Avatar
Orlando, FL
Experience: Advanced
Platform: NinjaTrader, ToS, Sierra Chart, MCDT
Broker: Interactive Brokers
Trading: ES, NQ, 6E, 6A, TF, CL
Posts: 43 since Jan 2011
Thanks Given: 53
Thanks Received: 29

Have you tried this? with Symbol = "VIX"

contract.Symbol         = "VIX";
contract.SecType       = "FUT";
contract.Currency      = "USD";
contract.Exchange     = "CFE";
contract.LocalSymbol = "VXH5";

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  #3 (permalink)
Nashville, TN
Posts: 10 since Feb 2015
Thanks Given: 5
Thanks Received: 2

Thank you, kojava!

It worked!

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  #4 (permalink)
gisot's Avatar
Milan, Italy
Experience: Beginner
Platform: NinjaTrader, TWS
Trading: ES, Stocks
Frequency: Every few days
Duration: Minutes
Posts: 278 since Jan 2012
Thanks Given: 385
Thanks Received: 178

I was wondering whether you trade VIX futures (calendar) spreads using IB data feed, either on TWS, or NT8 or some other platform compatible with IB, and if so whether you could share on the forum how you do it or just your experience about these spreads. Thanks

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Last Updated on November 27, 2018

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