First, I meant Index value as a real time market index. Obviously, its not a sid. Lets name it iid(). All Quandl indices are not available real-time and therefore are useless for real-time algo. Obviously, they can be only used for backtesting. Alternatively, if Quantopian couldn't provide real-time market indices for the whole community, why not have them available for live trading through market data subscription of each account holder? Why can't you implement market data feed into currently running live algorithm through owner subscription? So, if i have for example CFE Futures subscription through IB, I should be able to receive VX futures, Right?
Second: If VX is a "supported futures contract", why below code doesn't work?
context.futures = continuous_future('VX')
print data.current(context.futures, 'price')
cl_chain = data.current_chain(context.futures)
front_contract = cl_chain
secondary_contract = cl_chain
terciary_contract = cl_chain
And Third: There must be a way to obtain index value without using Pipeline, just as a quote, as yours environment doesn't allow to run futures on US Equity calendar, so no Pipeline can be used. So, how can I obtain VIX and VXV for example on Futures Calendar?