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Add VIX Mini Futures (VXM) Support (#9400)
* 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 #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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‎Common/Securities/Future/Futures.cs‎

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@@ -1388,6 +1388,12 @@ public static class Indices
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/// <returns>The symbol</returns>
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public const string VIX = "VX";
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/// <summary>
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/// VIX Mini Futures
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/// </summary>
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/// <returns>The symbol</returns>
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public const string VIXMini = "VXM";
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/// <summary>
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/// E-mini Russell 2000 Futures
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/// </summary>

‎Common/Securities/Future/FuturesExpiryFunctions.cs‎

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@@ -543,6 +543,31 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
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return expiryDate.Add(new TimeSpan(13, 0, 0));
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})
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},
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// VIX Mini Futures (VXM): https://cdn.cboe.com/resources/futures/VXM_Contract_Specifications.pdf
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{Symbol.Create(Futures.Indices.VIXMini, SecurityType.Future, Market.CFE), (time =>
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{
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// Trading occurs 30 days before S&P 500 option expiration (third Friday of contract month).
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// Last trading day is the Wednesday 30 days prior to the third Friday of the contract month.
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var market = Market.CFE;
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var symbol = Futures.Indices.VIXMini;
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var nextThirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time.AddMonths(1));
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var expiryDate = nextThirdFriday.AddDays(-30);
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var holidays = FuturesExpiryUtilityFunctions.GetExpirationHolidays(market, symbol);
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// If the reference 3rd Friday is a holiday, shift expiry back one day per spec.
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if (holidays.Contains(nextThirdFriday))
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{
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expiryDate = expiryDate.AddDays(-1);
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}
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// Ensure the computed expiry date is itself a valid tradable day.
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while (holidays.Contains(expiryDate) || !expiryDate.IsCommonBusinessDay())
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{
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expiryDate = expiryDate.AddDays(-1);
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}
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// Trading hours for expiring VXM futures contracts end at 8:00 a.m. Chicago time on the final settlement date.
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return expiryDate.Add(new TimeSpan(13, 0, 0));
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})
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},
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// Bloomberg Commodity Index (AW): https://www.cmegroup.com/trading/agricultural/commodity-index/bloomberg-commodity-index_contract_specifications.html
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{Symbol.Create(Futures.Indices.BloombergCommodityIndex, SecurityType.Future, Market.CBOT), (time =>
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{

‎Data/future/cfe/margins/VXM.csv‎

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# we don't have historical information for this symbol
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date,initial,maintenance
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19900101,1200,960

‎Data/market-hours/market-hours-database.json‎

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"saturday": [],
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"holidays": []
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},
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"Future-cfe-VXM": {
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"dataTimeZone": "UTC",
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"exchangeTimeZone": "America/Chicago",
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"sunday": [
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{
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"start": "17:00:00",
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"end": "1.00:00:00",
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"state": "premarket"
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}
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],
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"monday": [
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{
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"start": "00:00:00",
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"end": "08:30:00",
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"state": "premarket"
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},
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{
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"start": "08:30:00",
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"end": "15:00:00",
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"state": "market"
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},
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{
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"start": "15:00:00",
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"end": "16:00:00",
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"state": "postmarket"
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},
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{
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"start": "17:00:00",
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"end": "1.00:00:00",
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"state": "postmarket"
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}
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],
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"tuesday": [
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{
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"start": "00:00:00",
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"end": "08:30:00",
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"state": "premarket"
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},
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{
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"start": "08:30:00",
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"end": "15:00:00",
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"state": "market"
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},
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{
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"start": "15:00:00",
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"end": "16:00:00",
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"state": "postmarket"
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},
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{
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"start": "17:00:00",
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"end": "1.00:00:00",
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"state": "postmarket"
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}
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],
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"wednesday": [
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{
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"start": "00:00:00",
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"end": "08:30:00",
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"state": "premarket"
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},
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{
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"start": "08:30:00",
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"end": "15:00:00",
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"state": "market"
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},
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{
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"start": "15:00:00",
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"end": "16:00:00",
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"state": "postmarket"
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},
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{
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"start": "17:00:00",
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"end": "1.00:00:00",
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"state": "postmarket"
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}
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],
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"thursday": [
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{
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"start": "00:00:00",
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"end": "08:30:00",
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"state": "premarket"
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},
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{
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"start": "08:30:00",
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"end": "15:00:00",
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"state": "market"
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},
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{
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"start": "15:00:00",
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"end": "16:00:00",
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"state": "postmarket"
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},
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{
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"start": "17:00:00",
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"end": "1.00:00:00",
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"state": "postmarket"
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}
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],
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"friday": [
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{
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"start": "00:00:00",
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"end": "08:30:00",
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"state": "premarket"
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},
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{
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"start": "08:30:00",
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"end": "15:00:00",
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"state": "market"
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},
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{
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"start": "15:00:00",
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"end": "16:00:00",
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"state": "postmarket"
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}
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],
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"saturday": [],
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"holidays": []
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},
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"Future-cme-E3G": {
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"dataTimeZone": "UTC",
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"exchangeTimeZone": "America/New_York",

‎Data/symbol-properties/symbol-properties-database.csv‎

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# for backwards compatibility, order here is important for futures, since we could have the same symbol for more than 1 market in which case Lean will use the first
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cfe,VX,future,VIX futures ,USD,1000.0,0.05,1.0
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cfe,VXM,future,VIX Mini Futures,USD,100.0,0.01,1.0
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cbot,2YY,future,Micro 2-Year Yield Futures,USD,1000,0.001,1
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cbot,5YY,future,Micro 5-Year Yield Futures,USD,1000,0.001,1
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cbot,10Y,future,Micro 10-Year Yield Futures,USD,1000,0.001,1

‎Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs‎

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[TestCase(QuantConnect.Securities.Futures.Indices.Russell2000EMini, NineThirtyEasternTime)]
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[TestCase(QuantConnect.Securities.Futures.Indices.Nikkei225Dollar, FiveOClockPMEasternTime)]
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[TestCase(QuantConnect.Securities.Futures.Indices.VIX, EightOClockChicagoTime)]
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[TestCase(QuantConnect.Securities.Futures.Indices.VIXMini, EightOClockChicagoTime)]
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[TestCase(QuantConnect.Securities.Futures.Indices.Nikkei225Yen, TwoThirtyPM)]
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[TestCase(QuantConnect.Securities.Futures.Indices.MSCITaiwanIndex, OneFortyFivePM)]
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[TestCase(QuantConnect.Securities.Futures.Indices.Nifty50, ThreeThirtyPM)]

‎Tests/TestData/FuturesExpiryFunctionsTestData.xml‎

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