MATLAB Answers

Can't build Tick data from iQfeed for e-mini S&P Futures(symbol: ES)

3 views (last 30 days)
George Daivs
George Daivs on 10 Jul 2015
Answered: Yair Altman on 12 Jan 2020
I am able to establish a connection to iQfeed using: *q=iqf('user','password');
I am also able to gain an immediate history in the command window using: historyIQ(q,'@ESU15',15,'Ticks'). This returns 15 rows of the most recent tick history as of the moment I hit return.
However, I want to build a large database of continuous history based on defined time periods. I have tried many combinations of code such as: >> historyIQ(q,'@ESU15',{'07/01/2015 09:30:00','07/01/2015 10:00:00'},'Ticks')
This code produces a 1x7 cell that has the correct time stamp, but the other data does not make sense.
How do I obtain a continuous tick history? Thank you.

Answers (1)

Yair Altman
Yair Altman on 12 Jan 2020
Consider using my IQML (IQFeed-Matlab) connector for this. IQML enables both synchronous (blocking) and asynchronous (background) queries for multiple symbols, that are fetched either serially or in parallel (using the Matlab Parallel Computing Toolbox). A simple usage example that fetches historic ticks (you can specify start/end timestamps, parallelization and other optional parameters):
>> data = IQML('history', 'symbol','AAPL', 'dataType','ticks')
data =
100×1 struct array with fields:
Symbol
Timestamp
Datenum
Last
LastSize
TotalVolume
Bid
Ask
TickID
BasisForLast
TradeMarketCenter
TradeConditions
TradeAggressorCode
DayOfMonth
BasisDescription
TradeMarketName
TradeDescription
AggressorDescription
>> data(end)
ans =
Symbol: 'AAPL'
Timestamp: '2019-10-04 09:45:03.862626'
Datenum: 737702.406294699
Last: 224.67
LastSize: 100
TotalVolume: 5226196
Bid: 224.66
Ask: 224.68
TickID: 7432
BasisForLast: 'C'
TradeMarketCenter: 19
TradeConditions: '01'
TradeAggressorCode: 0
DayOfMonth: 4
BasisDescription: 'Last qualified trade'
TradeMarketName: 'Nasdaq Trade Reporting Facility (NTRF)'
TradeDescription: 'Normal Trade'
AggressorDescription: 'Unknown/unsupported'
IQML was developed with top performance, reliability and usability in mind. IQML supports 100% (repeat: 100%) of IQFeed's API functionality. It is fully documented, continuously maintained/improved, and I am happy to provide support.
Note: I am an independent software developer and not a MathWorks employee. Don't get angry at me for bringing an independent alternative to the table...

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by