You have to complete all of the main quests and any quest that has a yellow star above the characters' heads.
You do NOT have to complete all the trade quests (blue stars). Check your quest log for any that you may be missing, if you haven't found it yet it should show the number and '????'
The one quest that wasn't obvious to me was quest 536- 'Finding Vados'
After completing the main game, go find Amelie in the prison in Lateria. Talk to her, then go to the psychic in the immortal citadel (one screen north of the teleport) and she tells you Vados is in the tower in the Frozen Tundra.
Teleport to the tower and go to the bottom level to catch Vados!
Edit: fixed spelling