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- Add Futures.Indices.MiniVIX = "VXM" constant to Futures.cs - Add expiry function: 30 days before third Friday of following month (same as VIX) - Add symbol properties: multiplier 100, tick 0.05 (USD) - Add 8 test date pairs for 2024-2025 to FuturesExpiryFunctionsTestData.xml - Add [TestCase(MiniVIX, EightOClockChicagoTime)] to IndicesExpiryDateFunction_WithDifferentDates_ShouldFollowContract - Add named market hours entry for Future-cfe-VXM with Chicago trading hours Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
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Description
Adds LEAN support for Mini VIX (VXM) Futures traded on CBOE (Chicago Futures Exchange). Mini VIX futures are one-tenth the size of standard VIX futures, providing greater flexibility in volatility risk management for smaller accounts.
Related Issue
Closes #6655
Motivation and Context
Mini VIX futures offer reduced contract size (multiplier of 100 vs 1000 for standard VIX) with identical settlement mechanics - expires 30 days before the third Friday of the following month, cash-settled using the VIX Special Opening Quotation (SOQ). Without this support, users cannot trade or backtest Mini VIX futures in LEAN.
Requires Documentation Change
N/A
How Has This Been Tested?
Added test cases to Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs with 8 historical expiry dates (2024-2025). All futures expiry tests pass locally.
Types of changes
Checklist: