Add VIX Mini Futures (VXM) Support#9400
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Would be nice to add a sample margin file too see VX at https://github.com/QuantConnect/Lean/tree/master/Data/future/cfe/margins |
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| if (holidays.Contains(expiryDate) || holidays.Contains(nextThirdFriday)) | ||
| { | ||
| expiryDate = expiryDate.AddDays(-1); | ||
| } |
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Minor but this is blindly shifting a day backwards, doesn't validate it's a tradable date, just if it's a holiday, which seems error prone?
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*suggest checking how it's done in the others
Adds complete LEAN support for VIX Mini Futures (VXM) traded on CBOE: - Add Futures.Indices.VIXMini = "VXM" constant - Add expiry function: 30 days before third Friday of following month - Add symbol properties: multiplier 100, tick 0.01 (USD) - Add 15 test date pairs for 2023-2025 to FuturesExpiryFunctionsTestData.xml - Add [TestCase(VIXMini, EightOClockChicagoTime)] to IndicesExpiryDateFunction test - Add market hours configuration mirroring VX trading hours Closes QuantConnect#6655 Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
- Replace single `if` holiday check with `while` loop using `IsCommonBusinessDay()` to ensure the computed expiry date is always a valid tradable day (not just one step back) - Fix test data: 2025-03-19 -> 2025-03-18 (April 18 2025 is Good Friday, a CFE holiday, shifting the expiry back) - Add Data/future/cfe/margins/VXM.csv margin file Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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@Martin-Molinero Made the necessary changes. Added sample file, same as VIX sample file but at 1/10th of the maintenance since for VXM. |
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Summary
Description
Adds LEAN support for VIX Mini Futures (VXM) traded on Cboe Futures Exchange (CFE). VXM provides one-tenth the exposure of standard VIX futures contracts with identical expiration mechanics.
Related Issue
Closes #6655
Motivation and Context
VIX Mini Futures enable traders to get VIX exposure with lower capital requirements. Without LEAN support, users cannot trade or backtest VXM contracts in the framework.
Requires Documentation Change
N/A
How Has This Been Tested?
Types of changes
Checklist:
feature-[ISSUE_NUMBER]-[description]