I am running the following code and am trying to return the full futures chain for VIX futures. However, it is only giving me the front-month and second-month contracts (ie. 'vx_chain' List is only 2 elements), yet the full chain is 9 deep as per http://www.cboe.com/delayedquote/futures-quotes
def before_trading_start(context, data): context.vx_future =continuous_future('vx') vx_chain = data.current_chain(context.vx_future) front_contract = vx_chain secondary_contract = vx_chain vxh18 = symbols('VXH18')
Trying to reference vx_chain obviously results in a list index out of range as a result...
Furthermore, if I run the line of code vxh18 = symbols('VXH18') I get a "KeyError: 'VXH18', but that contract is absolutely a valid contract (ie. Mar 18)
Did I miss an announcement or explanation that the "current_chain" function doesn't return full chains on some Futures? Is this reconcilable?