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Enable CBOE Indexes in Interactive Brokers Live Trading #5752

Description

@AlexCatarino

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

  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

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