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Question: Where are Indices? Futures?

As I understand Indices are not implemented, Right?
It's kind of a shame that such site doesn't have indices database or maybe it has? What are the sids and how to use them?

Another question: Futures
'CL' works fine, but what about 'VX' -- what is going on?

2 responses

A sid is an asset. It's something that you can buy and sell. You can't buy an index, so you won't find an index as a sid. Of course, many indices have a tracking ETF, like SPY, and those can be bought and sold.

If you're looking for the actual values of an index, many of them are available in our imported data.

VX is a supported futures contract.


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First, I meant Index value as a real time market index. Obviously, its not a sid. Lets name it iid(). All Quandl indices are not available real-time and therefore are useless for real-time algo. Obviously, they can be only used for backtesting. Alternatively, if Quantopian couldn't provide real-time market indices for the whole community, why not have them available for live trading through market data subscription of each account holder? Why can't you implement market data feed into currently running live algorithm through owner subscription? So, if i have for example CFE Futures subscription through IB, I should be able to receive VX futures, Right?

Second: If VX is a "supported futures contract", why below code doesn't work?
... context.futures = continuous_future('VX')
print data.current(context.futures, 'price')
cl_chain = data.current_chain(context.futures)
front_contract = cl_chain[0]
secondary_contract = cl_chain[1]
terciary_contract = cl_chain[2]
print front_contract
print secondary_contract
... And Third: There must be a way to obtain index value without using Pipeline, just as a quote, as yours environment doesn't allow to run futures on US Equity calendar, so no Pipeline can be used. So, how can I obtain VIX and VXV for example on Futures Calendar?