question

Upvotes
Accepted

how to extract vix futures intraday data prior to 2012

I’m trying to download intraday vix futures data from Tick History using the TickHistoryIntradaySummaries template and the generic rics VXc1 and VXc2 but I don’t get any data prior to 2012. I tried as well with RICS of the form VXH0^1 (these instruments are marked as inactive by the way but I couldn’t find any active equivalent) with which I was able to retrieve end of day data with the ElektronTimeseries template but didn’t work as well. Can you please help with that ?

tick-history-rest-apidata
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvote
Accepted
24.9k 86 10 22

Hi @ayoub.serroukheidrissi

I am not a TRTH person - but I did a quick search for 2012 and futures on the forum and came across the following post - VIX futures chains - which talks about name changes to the chains - so perhaps this also applies to the underlying RICs?

You may also find the post on finding Historical RICs also helpful

If the above posts are not relevant to your issue, hopefully, a TRTH expert should come along and assist you further.


icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes

It works with the old chain ric indeed. Thanks a lot

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.