How do I get tick-by-tick historical data from iqFeed ?
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How do I get tick-by-tick historical data from iqFeed API ?
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Answers (1)
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:
>> 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.
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...
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