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

August 26, 2017 · Sample Code

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.

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

             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