A sample code to show how to get historical data for VIX

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How to Get VIX Historical Data

This sample code demonstrates how to retrieve VIX historical data from Interactive Brokers if you have a VIX subscription at IB. Learn how to use IBridgePy to access volatility index data for your trading strategies.

The function of superSymbol ( ) is to define the security.

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data.history ( ) has the same signature as the same function at Quantopian.

def initialize(context):
    context.sec=superSymbol(secType='IND',symbol='VIX',currency='USD',
                            exchange='SMART', primaryExchange='CBOE')
   
def handle_data(context, data):   
    print (data.history(context.sec, ['open', 'high', 'low', 'close'], 5, '1d'))
    end()

The following shows how to get historical VIX data obtained on Aug 28th 2017

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             open   high    low  close
2017-08-22  12.60  12.94  11.35  11.35
2017-08-23  11.51  12.59  11.39  12.25
2017-08-24  12.06  12.83  11.55  12.23
2017-08-25  12.20  12.45  11.10  11.28
2017-08-28  11.51  11.77  10.56  10.56
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8 thoughts on “A sample code to show how to get historical data for VIX”

  1. Thomas Chang

    Hi,

    I ran this example code but got error messages as follow:
    …
    #### Starting to initialize trader ####
    ## ACCOUNT Balance DU413327 ##
    CASH=1006518.29
    portfolio_value=1006518.29
    positions_value=0.0
    ## NO ANY POSITION ##
    ## NO any order ##
    #### Initialize trader COMPLETED ####
    IBridgePy.IBAccountManager: errorId = 1, errorCode = 162, error message: Historical Market Data Service error message:No market data permissions for CBOE IND
    IBridgePy.IBAccountManager::check_timer: request_data failed after 30 seconds
    IBridgePy.IBAccountManager::check_timer: notDone items in self.end_check_list
    historyData reqId=1 IND,VIX,USD,SMART,CBOE status=Submitted waiver=False
    IBridgePy.IBAccountManager::request_data: Re-send request info
    IBridgePy.IBAccountManager: errorId = 2, errorCode = 354, error message: Requested market data is not subscribed.
    IBridgePy.IBAccountManager: errorId = 2, errorCode = 162, error message: Historical Market Data Service error message:No market data permissions for CBOE IND
    …

    1. IBridgePy

      You can supply historical data in csv files for any frequency to backtester. The basic rule is that users know what kind of historical data are needed in the code and supply them.

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