VIX Futures

[Real Money]

Trying to get the front month VIX futures API data steam.

I'm getting data but it's not what TWS is showing for the VIX Sep16'20 instrument.

When I use the local symbol VXTU0 the data isn't right.
(VXU0 isn't working either)

Anybody now what to use instead?

[RESOLVED]

Had the wrong exchange, VXU0 @CFE works.

 

[trader221]

VIX16U20 = september contract

 

[trader221]

I realized there are several Vix contracts which expire in the same month.
The only way I can find to choose the contract I'm looking for is to sort it by expiration date.
Contract vix = null;
String expir = "date expires";


then make a loop to collect all the contract vix in a variable (var convix).
then do if (convix.Expiry.ToString.Equals (expir)) vix = convix



it's just a trivial example

 

[globalarbtrader]

I realized there are several Vix contracts which expire in the same month.
The only way I can find to choose the contract I'm looking for is to sort it by expiration date.
Contract vix = null;
String expir = "date expires";


then make a loop to collect all the contract vix in a variable (var convix).
then do if (convix.Expiry.ToString.Equals (expir)) vix = convix



it's just a trivial example

Python

def _is_vix_symbol_monthly(symbol):
    if re.match("VX[0-9][0-9][A-Z][0-9]", symbol):
        # weekly
        return weekly
    elif re.match("VX[A-Z][0-9]", symbol):
        # monthly
        return monthly

GAT