Expected Behavior
Be able to add CBOE Indexes that are not currently supported by QuantConnect to a live algorithm using IB data feed.
Actual Behavior
It's not possible to add indexes that QC doesn't support like VIX3M.
AddIndex("VIX3M", market: Market.CBOE)
Potential Solution
Add generic key in MHDB
"Index-cboe-[*]"
and allows Market.CBOE in CanSubscribe.
Reproducing the Problem
Deploy basic algorithm with:
AddIndex("VIX3M", market: Market.CBOE)
Checklist
Expected Behavior
Be able to add CBOE Indexes that are not currently supported by QuantConnect to a live algorithm using IB data feed.
Actual Behavior
It's not possible to add indexes that QC doesn't support like VIX3M.
Potential Solution
Add generic key in MHDB
"Index-cboe-[*]"and allows
Market.CBOEinCanSubscribe.Reproducing the Problem
Deploy basic algorithm with:
Checklist
masterbranch