How to get VIX price at minute level for live trading

It seems the issue with the existing code was that the VIX index only supports daily resolution, not minute resolution. Here's the revised implementation that uses daily resolution for both the VIX index and its corresponding options:

from AlgorithmImports import *

class DailyVIXOptionAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2022, 1, 1)
        self.set_cash(100000)

        # Add VIX index at DAILY resolution
        self._vix = self.add_index("VIX", Resolution.DAILY).symbol

        # Add VIX index options at DAILY resolution
        vix_options = self.add_index_option("VIX", Resolution.DAILY)
        self._vix_options = vix_options.symbol

        # Set the filter for the option chain
        # Using TimeSpan to specify the minimum and maximum expiration in days
        vix_options.set_filter(-2, 2, TimeSpan.from_days(0), TimeSpan.from_days(180))

    def on_data(self, data: Slice) -> None:
        # Check if we have option chain data for the VIX options
        if self._vix_options in data.option_chains:
            chain = data.option_chains[self._vix_options]
            if not chain:
                return

            # Log a simple message about current option chain data
            for contract in chain:
                symbol_value = contract.symbol.value
                last_price = contract.last_price
                # Make sure last_price is valid before logging
                if last_price != 0:
                    self.log(f"VIX Option: {symbol_value}, Last Price: {last_price}")

Key Changes:

1. Resolution: Both add_index and add_index_option have been set to Resolution.DAILY.
2. Filter: The filter for option chains has been set with a minimum and maximum expiration specified in days.
3. OnData Method: The logging structure ensures that only valid prices are logged to avoid misleading entries.

Now the code should function correctly according to QuantConnect's data availability and resolution constraints. Let me know if you need further adjustments or explanations!

Sources: Exploiting Term Structure Of Vix Futures, US Index Options - QuantConnect.com, Index Option Bear Call Spread Algorithm, Index Option Call Calendar Spread Algorithm, Basic Template Index Daily Algorithm