Creating a time series object from IQFeed data.

So the data imported from IQFeed is just about useless because it's in a cell and it's all strings. Anyway to create a usable time series object out of it?

[per isakson]

"just about useless" &nbsp Why is that? What does the text look like?

Do you use the Datafeed Toolbox Product Description ?

Answer 1

[Yair Altman]

Consider using my IQML (IQFeed-Matlab) connector as an alternative. IQML enables both synchronous (blocking) and asynchronous (background) queries, that are fetched either serially or in parallel (using the Matlab Parallel Computing Toolbox). A simple usage example:

>> 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'

The returned struct arrays can easily be converted into Matlab tables and timeseries objects using the built-in Matlab functions such as struct2table, table2timetable and datetime:

>> table2timetable(struct2table(data), 'RowTimes',datetime(datestr([data.Datenum])))
ans =
  100×9 timetable
       Time        Symbol       Datestamp        Datenum       High      Low       Open     Close     PeriodVolume    OpenInterest
    ___________    _______    ______________    __________    ______    ______    ______    ______    ____________    ____________
    08-Aug-2019    {'IBM'}    {'2019-08-08'}    7.3765e+05    140.42    137.76    138.45     140.1     5.2614e+06          0      
    09-Aug-2019    {'IBM'}    {'2019-08-09'}    7.3765e+05    139.31    135.35    139.27    136.13     5.2446e+06          0      
    12-Aug-2019    {'IBM'}    {'2019-08-12'}    7.3765e+05    135.87    133.18    135.66    133.67     4.0762e+06          0      
    13-Aug-2019    {'IBM'}    {'2019-08-13'}    7.3765e+05    136.57    132.81     133.8    135.79     4.5512e+06          0      
    ...

IQML was developed with top performance, reliability and usability in mind. IQML supports 100% of IQFeed's API functionality. It is fully documented, continuously maintained/improved, and I am happy to provide support.

Details: https://undocumentedmatlab.com/IQML or https://www.mathworks.com/matlabcentral/fileexchange/69814-IQML

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...