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    Add VIX Mini Futures (VXM) Support (#9400)

    frostbyte_neo 发布于 2026-05-22 13:10:17 +00:00 | 96 次提交 在此版本后已推送到 master

    • Add VIX Mini Futures (VXM) support

    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/Lean#6655

    Co-Authored-By: Claude Haiku 4.5 noreply@anthropic.com

    • Fix VXM expiry holiday validation and add margin file
    • 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

    Co-authored-by: Claude Haiku 4.5 noreply@anthropic.com

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