Add VIX Mini Futures (VXM) Support

Common/Securities/Future/Futures.cs

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

Common/Securities/Future/FuturesExpiryFunctions.cs

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

Data/future/cfe/margins/VXM.csv

@@ -0,0 +1,3 @@
+# we don't have historical information for this symbol
+date,initial,maintenance
+19900101,1200,960

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

@@ -71632,6 +71632,124 @@
       "saturday": [],
       "holidays": []
     },
+    "Future-cfe-VXM": {
+      "dataTimeZone": "UTC",
+      "exchangeTimeZone": "America/Chicago",
+      "sunday": [
+        {
+          "start": "17:00:00",
+          "end": "1.00:00:00",
+          "state": "premarket"
+        }
+      ],
+      "monday": [
+        {
+          "start": "00:00:00",
+          "end": "08:30:00",
+          "state": "premarket"
+        },
+        {
+          "start": "08:30:00",
+          "end": "15:00:00",
+          "state": "market"
+        },
+        {
+          "start": "15:00:00",
+          "end": "16:00:00",
+          "state": "postmarket"
+        },
+        {
+          "start": "17:00:00",
+          "end": "1.00:00:00",
+          "state": "postmarket"
+        }
+      ],
+      "tuesday": [
+        {
+          "start": "00:00:00",
+          "end": "08:30:00",
+          "state": "premarket"
+        },
+        {
+          "start": "08:30:00",
+          "end": "15:00:00",
+          "state": "market"
+        },
+        {
+          "start": "15:00:00",
+          "end": "16:00:00",
+          "state": "postmarket"
+        },
+        {
+          "start": "17:00:00",
+          "end": "1.00:00:00",
+          "state": "postmarket"
+        }
+      ],
+      "wednesday": [
+        {
+          "start": "00:00:00",
+          "end": "08:30:00",
+          "state": "premarket"
+        },
+        {
+          "start": "08:30:00",
+          "end": "15:00:00",
+          "state": "market"
+        },
+        {
+          "start": "15:00:00",
+          "end": "16:00:00",
+          "state": "postmarket"
+        },
+        {
+          "start": "17:00:00",
+          "end": "1.00:00:00",
+          "state": "postmarket"
+        }
+      ],
+      "thursday": [
+        {
+          "start": "00:00:00",
+          "end": "08:30:00",
+          "state": "premarket"
+        },
+        {
+          "start": "08:30:00",
+          "end": "15:00:00",
+          "state": "market"
+        },
+        {
+          "start": "15:00:00",
+          "end": "16:00:00",
+          "state": "postmarket"
+        },
+        {
+          "start": "17:00:00",
+          "end": "1.00:00:00",
+          "state": "postmarket"
+        }
+      ],
+      "friday": [
+        {
+          "start": "00:00:00",
+          "end": "08:30:00",
+          "state": "premarket"
+        },
+        {
+          "start": "08:30:00",
+          "end": "15:00:00",
+          "state": "market"
+        },
+        {
+          "start": "15:00:00",
+          "end": "16:00:00",
+          "state": "postmarket"
+        }
+      ],
+      "saturday": [],
+      "holidays": []
+    },
     "Future-cme-E3G": {
       "dataTimeZone": "UTC",
       "exchangeTimeZone": "America/New_York",

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

@@ -212,6 +212,7 @@ usa,AEX,index,,EUR,1,0.01,1
 
 # 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
 cfe,VX,future,VIX futures ,USD,1000.0,0.05,1.0
+cfe,VXM,future,VIX Mini Futures,USD,100.0,0.01,1.0
 cbot,2YY,future,Micro 2-Year Yield Futures,USD,1000,0.001,1
 cbot,5YY,future,Micro 5-Year Yield Futures,USD,1000,0.001,1
 cbot,10Y,future,Micro 10-Year Yield Futures,USD,1000,0.001,1

Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs

@@ -394,6 +394,7 @@ public void FinancialsExpiryDateFunction_WithDifferentDates_ShouldFollowContract
         [TestCase(QuantConnect.Securities.Futures.Indices.Russell2000EMini, NineThirtyEasternTime)]
         [TestCase(QuantConnect.Securities.Futures.Indices.Nikkei225Dollar, FiveOClockPMEasternTime)]
         [TestCase(QuantConnect.Securities.Futures.Indices.VIX, EightOClockChicagoTime)]
+        [TestCase(QuantConnect.Securities.Futures.Indices.VIXMini, EightOClockChicagoTime)]
         [TestCase(QuantConnect.Securities.Futures.Indices.Nikkei225Yen, TwoThirtyPM)]
         [TestCase(QuantConnect.Securities.Futures.Indices.MSCITaiwanIndex, OneFortyFivePM)]
         [TestCase(QuantConnect.Securities.Futures.Indices.Nifty50, ThreeThirtyPM)]