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

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.

Answer 1

[Yair Altman]

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.

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...