Rudy Osuna
261366a7e2
* 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>
LEAN Data Formats / Futures
QuantConnect hosts futures data provided by AlgoSeek. The data contains quotes, trades, and open interest data. You can explore futures data on our website at https://www.quantconnect.com/data/tree/future
The data are stored as compressed ZIP files, each capable of containing a single, or multiple CSV files, depending on the resolution requested.
Futures data can be used with the following Resolutions:
- Tick
- Second
- Minute
The markets we currently support are:
- CBOT
- CME
- NYMEX
- COMEX
- CBOE
- ICE
tickType in this documentation can refer to one of the following:
- trade
- quote
- openinterest
Minute and Second File Format
Second/Minute files are located in the future / market / resolution / symbol folder. The zip file contains multiple csv entries, varying by the symbol's expiration date.
The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV file contained within has the filename: YYYYMMDD_symbol_resolution_tickType_symbolExpirationDate.csv
Second/Minute trade schema and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 63271000 | 85.22 | 85.24 | 85.21 | 85.24 | 126 |
- Time - Milliseconds since midnight
- Open - Opening price
- High - High price
- Low - Low price
- Close - Closing price
- Volume - Total contracts traded
Second/Minute quote schema and example data is as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Last Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Last Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 10920000 | 1666.5 | 1666.5 | 1666.25 | 1666.25 | 47 | 1666.75 | 1666.75 | 1666.5 | 1666.5 | 37 |
- Time - Milliseconds since midnight
- Bid Open - Opening price for the best bid
- Bid High - Highest recorded bid price
- Bid Low - Lowest recorded bid price
- Bid Close - Closing price for the best bid
- Last Bid Size - Size of best bid at close
- Ask Open - Opening price for the best ask
- Ask High - Highest recorded ask price
- Ask Low - Lowest recorded ask price
- Ask Close - Closing price for the best ask
- Last Ask Size - Size of best ask at close
Second/Minute open interest schema and example data is as follows:
| Time | Open Interest |
|---|---|
| 42660000 | 2693575 |
- Time - Milliseconds since midnight
- Open Interest - outstanding contracts
Hour and Daily File Format
Hour/Daily files are located in the future / market / resolution folder. The zip file contains only a single entry.
The zip files have the filename format: symbol_tickType.zip. The CSV file contained within has the filename format: symbol_tickType_symbolExpirationDate.csv
Hour/Daily trades schema and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 20160601 00:00 | 43.20 | 43.50 | 43.10 | 43.45 | 513 |
- Time - Formatted as
YYYYMMDD HH:mm - Open - Opening price
- High - High price
- Low - Low price
- Close - Closing price
- Volume - Total contracts traded
Hour/Daily quote schema and example data is as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Last Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Last Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 20170719 00:00 | 583.20 | 583.40 | 583.10 | 583.40 | 2932 | 583.21 | 583.50 | 583.11 | 583.44 | 392 |
Hour/Daily open interest schema and example data is as follows:
| Time | Open Interest |
|---|---|
| 20190203 00:00 | 3902 |
- Time - Formatted as
YYYYMMDD HH:mm - Open Interest - outstanding contracts
Tick File Format
Tick data is stored in the future / market / tick / symbol folder. The zip file contains multiple csv entries, varying by the symbol's expiration date.
The zip files have the filename format: YYYYMMDD_tickType.zip. The CSV files contained within have the filename format: YYYYMMDD_symbol_tick_tickType_symbolExpirationDate.csv
Tick trades schema and example data is as follows:
| Time | Last Price | Quantity | Exchange | Sale Condition | Suspicious |
|---|---|---|---|---|---|
| 939243 | 402.01 | 203 | usa | null | 0 |
- Time - Milliseconds since midnight
- Last Price - Last traded price
- Quantity - Amount traded
- Exchange - Where transaction took place
- Sale Condition - always null, not used
- Suspicious - Not used, will always be "0"