VIX Futures Price Fetcher

The vix_index_futures.py fetches the latest VIX index price and VIX futures prices for the next 8 months using the Interactive Brokers API. It includes functions to calculate VIX futures expiration dates and obtain the latest VIX and VIX futures prices.

Prerequisites

1. An Interactive Brokers account with market data subscriptions for VIX and VIX futures (market data subscription for CFE)
2. Trader Workstation (TWS) or IB Gateway running and connected to your Interactive Brokers account. Don't forget to allow IBKR API at Settings/API/Settings (Enable ActiveX and Sockets) and check if the socket port is correct (7497)
3. Python 3.x installed on your machine.
4. Required Python packages: ib_insync, pandas, matplotlib, dateutil.

To install the required Python packages, run the following command:

pip install ib_insync pandas matplotlib python-dateutil

Usage

1. Import the get_vix_and_vix_futures_prices() function from the main script:

from vix_index import get_vix_and_vix_futures_prices

2. Call the get_vix_and_vix_futures_prices() function to fetch the latest VIX index price and VIX futures prices:

vix_data_list = get_vix_and_vix_futures_prices()
print(vix_data_list)

The function returns a list of dictionaries containing the contract symbols and their latest prices. Example:

[  {"symbol": "VXH23", "price": 25.5},  {"symbol": "VXJ23", "price": 26.3},  ...]

Function Descriptions

get_vix_expiration(year, month): Calculates the VIX futures expiration date for the given year and month.

get_vix_and_vix_futures_prices(): Fetches the latest VIX index price and VIX futures prices for the next 8 months using the Interactive Brokers API.

Please refer to the inline documentation in the main script for more details about the function arguments and return values.

App.py

This repository contains an app.py file that creates a backend service for fetching data on VIX index futures. The service uses the vix_index_futures.py module to retrieve the data.

To run the backend service, simply execute python app.py from the command line. The service will start running on localhost:5000/vix-data.

Note that if you plan to use this backend service with a frontend application running on a different server, you may need to set up Cross-Origin Resource Sharing (CORS) to allow requests from the frontend to the backend