I'm working on an algorithm trading /VX futures. One key piece of data I need though is the underlying VIX spot price. Currently there only seems to be the Quandl (https://www.quantopian.com/data/quandl/yahoo_index_vix) and that's about it. The problem with that data set is it's a day or two behind for live trading. Quantopian doesn't support options either currently so I have no way of manually calculating it inside of Quantopian without resorting to fetch_csv, which I'd rather avoid as opens another can of worms. It'd be great to get data for other indexes too - such as the NASDAQ, S&P 500, etc., without relying on various ETFs that track it. The EFTs alone aren't good enough as they can trade at a premium or a discount to both the futures and the underlying index.
What's the best approach currently to get real time(minute level interval) VIX data? Thanks!