Enable CBOE Indexes in Interactive Brokers Live Trading

[AlexCatarino]

Expected Behavior

Be able to add CBOE Indexes that are not currently supported by QuantConnect to a live algorithm using IB data feed.

Actual Behavior

It's not possible to add indexes that QC doesn't support like VIX3M.

AddIndex("VIX3M", market: Market.CBOE)

Potential Solution

Add generic key in MHDB
"Index-cboe-[*]"
and allows Market.CBOE in CanSubscribe.

Reproducing the Problem

Deploy basic algorithm with:

AddIndex("VIX3M", market: Market.CBOE)

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue

[mateuszb]

Thanks for opening the ticket! I'm looking forward to this being available!

[hohoCode]

Related issue: #2560 . Hopefully the custom data source can be also enabled with IB data feed during live trading.

[Martin-Molinero]

Solving this is just updating the market hours data base & symbol properties database with the missing entries

[mmlin]

Will this be supported soon. This used to work up until a few months ago by using the following:

self.vix3m = self.AddData(CBOE, 'VIX3M', Resolution.Daily)

This still works fine in backtesting, but not anymore in live trading where self.vix3m.Close now evaluates to zero. Not sure what changed.

[Martin-Molinero]

Will this be supported soon. This used to work up until a few months ago by using the following:

self.vix3m = self.AddData(CBOE, 'VIX3M', Resolution.Daily)

This still works fine in backtesting, but not anymore in live trading where self.vix3m.Close now evaluates to zero. Not sure what changed.

Hey @mmlin,
CBOE VIX3M custom data is working in live trading, we gave it a sanity test just in case (@Marinovsky), are you still having issues with it? If you can contact support directly would be helpful to pin any specific algorithm issues, see logs.

2022-01-13 12:30:10 : | Symbol: VIX3M.CBOE Value: 21.580000. IsFillForward: False. EndTime: 1/13/2022 12:00:00 AM
2022-01-14 12:30:10 : | Symbol: VIX3M.CBOE Value: 23.410000. IsFillForward: False. EndTime: 1/14/2022 12:00:00 AM

@Marinovsky will add the missing MHDB & SPDB entries shortly