Ive created a bot in python using backtrader. Using Fed Repo rates crossover strat I found alpha predicting vix spikes based of liquidity problems in the repo market. All great until I tried to use Alpaca. Big believer in the idea and mission Alpaca has but believe development must continue faster for max growth. I’d love to see futures or something where we can trade more products through the great bridge that is alpaca. @hitoshi I really want to trade the VIX I think its essential for any multi strategy trading, or else you are basically short vol by buying equities. So its a fantastic hedge as everyone is long stocks they are inherently short vol. Going long vol in liquidity crunches is a great trade, and id love to see it possible in alpaca.
VIX is an index and not an equity and, much like the DOW and the SP500, is not traded directly (with Alpaca or other brokers). However, there are a number of ETFs and ETNs that track the VIX index in various ways. Here is a list of common ones which are tradable on Alpaca.
SVXY - ProShares Short VIX Short-Term Futures ETf
UVXY - ProShares Ultra VIX Short-Term Futures ETF
VXX - iPath Series B S&P 500 VIX Short-Term Futures ETN
VXZ - iPath Series B S&P 500 VIX Mid-Term Futures ETN
XVZ - iPath S&P 500 Dynamic VIX ETN
VIXM - ProShares VIX Mid-Term Futures ETF
VIXY - ProShares VIX Short-Term Futures ETF
It’s a good observation that holding one of these VIX instruments is often used as a hedge in a long stock portfolio.
Futures are in the long term plan, but the focus now is to round out the API and tools associated with US equities first.
Thank you for the ETFs and ETNs unfortunately because of the VIXs vol these dont track the VIX well enough for my strategy. But I completely understand development is time consuming and US equities encompass the majority holdings of most portfolios so its a great focus. Still looking forward to future support for futures. Thanks!
Note: The VIXY over the last year is a decent tracker.
I strongly suggest Alpaca to have live VIX, DOW, NASDAQ, S&P etc Indexes in its Market Data Feed!
Alpaca is API based trading platform, most of users would be Algo Traders, those indexes r important factors for ALGO trading. Without those live indexes, it would make me to reconsider if Alpaca is a viable trading platform.