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Question on chains for continuous futures

Hi,

I'm currently attempting to pull the chain for certain futures. When I try:

context.future = continuous_future('VX')
vx_chain = data.current_chain(context.future)
front_contract = vx_chain[0]

I get the error:

IndexError: list index out of range

Yet when I change the future from VX to CL, there is no error. Why can't I pull the data for the VX chain?

All help is appreciated thanks,
Milap

2 responses

Ok, took me way too long to realize VX futures are only available from Jul 2012. Couldn't find that anywhere in the documentation, and it's weird since VX has been offered since 2004.

Hi Malip,

Sorry for the confusion. If it helps, you can look up the start_date and end_date of a continuous future. I talked a bit about the VIX issue in this comment on another thread. I'm working on a notebook to show the data periods for each of the futures we have on our platform.

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