VIXCentralContango

QuantConnect.DataSource.VIXCentralContango

VIXCentralContango()

Bases: BaseData

VIXCentral Contango

Creates a new instance of the object

DATA_SOURCE_ID

DATA_SOURCE_ID: int

Data source ID

front_month

front_month: int

The month of the front month contract (possible values: 1 - 12)

f_1

f_1: float

Front month contract

f_2

f_2: float

Contract 1 month away from the front month contract

f_3

f_3: float

Contract 2 months away from the front month contract

f_4

f_4: float

Contract 3 months away from the front month contract

f_5

f_5: float

Contract 4 months away from the front month contract

f_6

f_6: float

Contract 5 months away from the front month contract

f_7

f_7: float

Contract 6 months away from the front month contract

f_8

f_8: float

Contract 7 months away from the front month contract

f_9

f_9: Optional[float]

Contract 8 months away from the front month contract

f_10

f_10: Optional[float]

Contract 9 months away from the front month contract

f_11

f_11: Optional[float]

Contract 10 months away from the front month contract

f_12

f_12: Optional[float]

Contract 11 months away from the front month contract

contango_f_2_minus_f_1

contango_f_2_minus_f_1: float

Percentage change between contract F2 and F1, calculated as: (F2 - F1) / F1

contango_f_7_minus_f_4

contango_f_7_minus_f_4: float

Percentage change between contract F7 and F4, calculated as: (F7 - F4) / F4

contango_f_7_minus_f_4_div_3

contango_f_7_minus_f_4_div_3: float

Percentage change between contract F7 and F4 divided by 3, calculated as: ((F7 - F4) / F4) / 3

period

period: timedelta

The timespan that each data point covers

end_time

end_time: datetime

The ending time of the data point

symbol

symbol: Symbol

Symbol representation for underlying Security

data_type

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time

time: datetime

Current time marker of this data packet.

value

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This codeEntityType is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This codeEntityType is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This codeEntityType is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This codeEntityType is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This codeEntityType is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

default_resolution

default_resolution() -> Resolution

Gets the default resolution for this data and security type

get_source

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Gets the source location of the VIXCentral data

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig		required
date	datetime		required
is_live_mode	bool		required

is_sparse_data

is_sparse_data() -> bool

Determines if data source is sparse

Returns:

Type	Description
bool	false.

reader

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Reads the data from the source and creates a BaseData instance

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Configuration	required
line	str	Line of data	required
date	datetime	Date we're requesting data for	required
is_live_mode	bool	Is live mode	required

Returns:

Type	Description
BaseData	New BaseData instance to be used in the algorithm.

requires_mapping

requires_mapping() -> bool

Determines whether the data source requires mapping

Returns:

Type	Description
bool	false.

supported_resolutions

supported_resolutions() -> List[Resolution]

Gets the supported resolution for this data and security type

to_string

to_string() -> str

Converts the instance to a string

Returns:

Type	Description
str	String containing open, high, low, close.

clone

clone(fill_forward: bool) -> BaseData

clone() -> BaseData

Return a new instance clone of this object, used in fill forward

Parameters:

Name	Type	Description	Default
fill_forward	Optional[bool]	True if this is a fill forward clone	None

Returns:

Type	Description
BaseData	A clone of the current object.

data_time_zone

data_time_zone() -> Any

Specifies the data time zone for this data type. This is useful for custom data types

Returns:

Type	Description
Any	The DateTimeZone of this data type.

deserialize_message

deserialize_message(serialized: str) -> Iterable[BaseData]

Deserialize the message from the data server

Parameters:

Name	Type	Description	Default
serialized	str	The data server's message	required

Returns:

Type	Description
Iterable[BaseData]	An enumerable of base data, if unsuccessful, returns an empty enumerable.

should_cache_to_security

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type	Description
bool	Whether this contains data that should be stored in the security cache.

update

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update routine to build a bar/tick from a data update.

Parameters:

Name	Type	Description	Default
last_trade	float	The last trade price	required
bid_price	float	Current bid price	required
ask_price	float	Current asking price	required
volume	float	Volume of this trade	required
bid_size	float	The size of the current bid, if available	required
ask_size	float	The size of the current ask, if available	required

update_ask

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name	Type	Description	Default
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_bid

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required

update_quote

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_trade

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name	Type	Description	Default
last_trade	float	The price of the last trade	required
trade_size	float	The quantity traded	required