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Cannot get VIX from pipeline and futures in the same program


I need to pull closing values of VIX and the VIX front 2 month futures. It seems like the futures calendar doesn't yet support pipeline.

So what's my alternative but to use fetcher which is not allowed in live trading?

2 responses


Fetcher is allowed in live trading, but futures data is not yet supported live. Right now, there's no way to trade futures or get futures data in an algorithm that's trading live. We are working on getting infrastructure setup to load futures data live so we can setup a contest. In the meantime, you will have to stick to backtesting.

Sorry for the inconvenience.


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Jamie, will there be a fix for the VIX Futures data problem that has occurred since February 14th? After February 14, 2018 there is no VIX futures data. Sorry to hijack this post, but I can't see to find anyone that has an answer for this issue.