Does the Matlab iqfeed link timeseries function provide bid ask data
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Yair Altman on 12 Jan 2020
Edited: Yair Altman on 12 Jan 2020
I believe that IQFeed provides bid/ask data only for historic ticks (HTT,HTX,HTD) queries, but not interval queries (e.g. HIT). Datafeed Toolbox's timeseries function uses HTT when the per input argument (4th arg) is empty or not specified (in which case IQFeed will return Bid/Ask data), and HIT when the per input argument (4th arg) is specified (in which case IQFeed will not return Bid/Ask data).
As an alternative, consider using my IQML (IQFeed-Matlab) connector. 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('marketdepth', 'symbol','@ES#');
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...