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Viewing User Profile for: altmany
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Joined: Jul 30, 2018 05:38 AM
Last Post: Today @ 02:00 AM
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Website: https://UndocumentedMatlab.com/IQML
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Interests: Matlab, finance, trading
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IQML - IQFeed-MATLAB connector
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altmany has contributed to 21 posts out of 18993 total posts (0.11%) in 233 days (0.09 posts per day).

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Stephen - I believe that you've recently changed your Twitter handle from @DTN_IQFeed to @DTNMarkets, the direct link now being https://twitter.com/DTNMarkets

(the @DTN_IQFeed handle/link no longer works)

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


DTN.IQ Client Software Support » "Invalid interval reference time" Mar 17, 2019 02:41 PM (Total replies: 5)

I am also seeing these errors on-and-off. It seems that if I enter a valid trading start date then it resumes working and gets out of the loop that constantly throws the "Invalid interval reference time" error. For example:

Original request - error:
=> 20190317 21:34:49.028 (Lookup) HIT,@KCK19,60,20190315 000001,20190317 235959,1,,,1,H-@KCK19,,s
<= 20190317 21:34:49.427 (Lookup) H-@KCK19,E,Invalid interval reference time.

Modified request - good data:
=> 20190317 21:34:57.536 (Lookup) HIT,@KCK19,60,20190312 000001,20190317 235959,1,,,1,H-@KCK19,,s
<= 20190317 21:34:57.942 (Lookup) H-@KCK19,2019-03-15 13:30:00,97.65,97.50,97.65,97.60,13763,56,0

Original request again - good data:
=> 20190317 21:35:02.040 (Lookup) HIT,@KCK19,60,20190315 000001,20190317 235959,1,,,1,H-@KCK19,,s
<= 20190317 21:35:02.443 (Lookup) H-@KCK19,2019-03-15 13:30:00,97.65,97.50,97.65,97.60,13763,56,0


Yair Altman
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML
I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Mar 18, 2019 at 04:55 AM


Stephen - w, HID, HTD and BW for TST$Y result in n,TST$Y (i.e. Symbol not found).
Only the HDX/HWX/HMX historic queries seem to work ok.
Please check...

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » NHL News Headlines Request Mar 12, 2019 03:15 PM (Total replies: 5)

PyDev - I think that you may be misunderstanding the purpose of the NCG request and its relation to NHL, and that this causes your confusion.

In fact, NCG is entirely unrelated to NHL - NCG is simply a request for IQFeed to send you your account's news-sources configuration, in either text or XML format. NCG does not modify anything for subsequent NHL queries, nor does it update anything in your account's news configuration, which does not change during the run-time of your program. The text/XML field in the NCG query only affects the response message for this query and not for any other subsequent query. Also, NCG does not start streaming any news headlines.

In contrast, NHL is a query to retrieve news headlines, in either text or XML formats. It is entirely unrelated to NCG, except for the fact that the 3-letter news source is described in the NCG response message (for example, CPR = PR Newswire). You can ask the NHL query responses in either text or XML format, but this is separate from the format that you asked in the NCG query.

Your program should query NCG just once, at the beginning of your program run, and then call NHL multiple times later. There is no point in calling NCG more than once in the program since the config information does not change.

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



Fantastic - thanks!

Does the test stream work only with Level1 watches (w/t) or also with streaming Level2 / derivatives/ regionals?



Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML

Edited by altmany on Mar 12, 2019 at 02:15 PM


bump - any news on this enhancement request?
This would greatly assist algo-trading program developments

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



For completeness, in case anyone else has a similar problem, you can start IQConnect asynchronously by appending '&' at the end of the command:

IQConnect.exe ... -autoconnect &

Note that this is not specific to Matlab - It is an OS issue that may be relevant for anyone who launches IQConnect programmatically, using any programming language. Some programming languages also have alternative mechanisms for starting an external process asynchronously, without requiring an extra '&', but sending a system command with & should work across the board.

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed 3rd Party Software Support » News items with matlab Mar 12, 2019 06:37 AM (Total replies: 2)

In case anyone else has the same issue: I believe that the news configuration information is not available via Matlab's Trading Toolbox.

If you are using the IQML (IQFeed-Matlab) connector instead of Trading Toolbox, you can query the news configuration as follows:
Quote:
>> data = IQML('news', 'DataType','config')
data =
Category: 'All News'
Majors: [1×7 struct]

>> {data.Majors.Source}
ans =
1×7 cell array
{'DTN'} {'CPR'} {'CBW'} {'RTT'} {'CPZ'} {'CIW'} {'BEN'}

>> {data.Majors.Description}
ans =
1×7 cell array
{'DTN News'} {'PR Newswire'} {'Business Wire'} {'Real-Time Trader'} {'GlobeNewswire Inc'} {'Marketwire'} {'Benzinga Pro'}

You can also drill-down for details about news sources:
Quote:
>> data.Majors(1)
ans =
Source: 'DTN'
Description: 'DTN News'
AuthenticationCode: '1D'
IconID: 10
Minors: [1×4 struct]

>> data.Majors(1).Minors(1)
ans =
Source: 'DT5'
Description: 'Treasuries, Most Actives, Gainers, Losers'
AuthenticationCode: '1D'

>> data.Majors(1).Minors(2)
ans =
Source: 'RTL'
Description: 'Derivatives - Selected Futures and Options'
AuthenticationCode: '2Ab'
IconID: 10


Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » matlab examples apps Mar 12, 2019 06:21 AM (Total replies: 3)

Several Matlab apps that connect to IQFeed via the IQML connector are listed in its User Guide: https://UndocumentedMatlab.com/files/IQML/IQML_User_Guide.pdf

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed 3rd Party Software Support » MATLAB R2013b connection problem Mar 12, 2019 06:01 AM (Total replies: 3)

In case anyone stumbles on a similar error, I believe that it was caused because the Matlab iqf function (part of the Trading Toolbox) expects the username and password in string format, i.e. iqf('1234','9876') and not iqf(1234,9876).

Instead of using the Trading Toolbox to connect Matlab to IQFeed, consider using the IQML connector. IQML was optimized for run-time performance (speed), ease-of-use, and reliability. It comes with extensive documentation, and supports the entire IQFeed API. IQML works with the core Matlab; no toolbox is required. It works on all Matlab releases since R2008a, on both Windows and Mac, using IQFeed 5.0 or newer. IQML was developed independently as a commercial 3rd-party product; it is not affiliated with MathWorks or DTN. The connector is actively maintained and supported.

Main features:
  • both blocking (snapshot) and non-blocking (streaming) data queries
  • parallelized requests for super-fast data query responses
  • live Level 1 top-of-book market data (quotes and trades)
  • live Level 2 market-depth data
  • historical and intraday market data (individual ticks or interval bars)
  • fundamental info on assets
  • options and futures chains lookup (with market data, Greeks)
  • symbols and market codes lookup
  • news headlines, story-counts, and complete news stories, with user-specified filters
  • user-defined Matlab callback functions to IQFeed messages and market triggers
  • user-defined alerts on streaming market events (news/quotes/interval-bar/regional triggers)
  • connection stats (continuous update)
  • programmatic connect/disconnect

https://UndocumentedMatlab.com/IQML

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



Q1) IQFeed has a very handy feature called "streaming derivative data", which means you can request a stream of 1-minute data bars. This provides you with both historic and ongoing (streaming data), avoiding the need to construct such bars by yourself. Details: http://www.iqfeed.net/dev/api/docs/Derivatives_Overview.cfm and http://www.iqfeed.net/dev/api/docs/Derivatives_StreamingIntervalBars_TCPIP.cfm

Q2) AFAIK, Level-2 (market-depth) data is only available as live streaming data, not historical.

Q3) You don't need to turn the IQFeed client off - simply disconnecting your program from the client will do this automatically - once the client sees that it has no active connections, it automatically exits. I'll let other answer the part of your question related to launching the client. BTW, I think this part of the question warrants a dedicated thread.

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » Protocol 6.0 - Fieldnames Dec 1, 2018 10:37 AM (Total replies: 2)

<UPDATE FIELDNAMES> reports the full list of fieldnames that are potentially available from IQFeed in response to watch commands (currently about 65 fields).

<CURRENT UPDATE FIELDNAMES> reports those fields that IQFeed currently includes in your watch messages. By default this includes only 16 fields out of the ~65 total fields that are potentially available.

The process for selecting which data fields IQFeed includes in your watch messages is described here: http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm



Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML

Edited by altmany on Dec 1, 2018 at 10:38 AM
Edited by altmany on Dec 2, 2018 at 06:09 AM

IQFeed Developer Support » Timezone of timestamps Nov 19, 2018 04:05 AM (Total replies: 1)

The documentation says that IQFeed timestamps are always specified in "Eastern" timezone. Please clarify whether this means that for all timestamps (in both query parameters and returned data) the timezone is:
  • UTC-5
  • EST/EDT depending on daylight summer time in New York
  • Something else, depending on the exchange

The reason for this clarification request is a hunch that there might be a 1-hour discrepancy between the reported timestamp and the data contents of historic tick data (HTT) for @ES# ticks from Chicago (UTC-6 or EST-1). In other words, an HTT query for historic BeginDate/Time of H reports back data with a timestamp of H but data content that seems to match Chicago time H, not New York time H (or perhaps EDT instead of EST, or vice versa).

Naturally, there are 3 possibilities here:
  • That we are mistaken and the data content matches the reported time in New York
  • That it's simply a matter of clarifying the documentation
  • That there is an internal code/data problem somewhere

Please let us know...

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » Streaming / Derivative data not working Oct 24, 2018 01:07 AM (Total replies: 5)

Steve - I believe that I got confused with the historic interval bars mechanism, i.e. apparently I used larger interval sizes only with historic bars, but smaller sizes with live bars. Since the documentation of historic and streaming bars was exactly the same, I naturally assumed that they use the same back-end processing mechanism, and so they got merged in my mind into a single mechanism.

I understand the limitation on a streaming daily bar, but I suggest that you remove the restrictions on smaller interval sizes, so that (for example) it would be possible to request streaming bars of 1.5, 3, 4 or 5 hours.

Separately, it would be very useful if you could improve the reported error message, which currently simply states "INVALID PARAMETERS FOR BW REQUEST". It is sometimes hard to understand which parameter caused a query rejection. It would be helpful to know which parameter is at fault ("Invalid parameter IntervalSize for BW request"), and even better to know the reason ("Invalid parameter IntervalSize for BW request: must be <300, or 300-3600 in multiples of 60, or 7200"). This suggestion applies to many other query types as well, which return a generic rejection error message.

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » Streaming / Derivative data not working Oct 21, 2018 01:09 PM (Total replies: 5)

I see the same buggy behavior as you do. This query used to work well until recently. In fact, it was just a month ago that the documentation was modified to reflect that "Second interval values must be 1 or greater and less than 1 day (86400)".

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » Questions regarding option chain requesting Aug 16, 2018 09:57 AM (Total replies: 6)

Thanks for updating the doc page with the updated response messages Tim.

Could you also please comment regarding the NearMonths issue? i.e. is the fact that in practice values higher than 4 (as high as 30 for SPX for example) work an unsupported feature that should not be relied on, or perhaps it only works in certain exchanges/secTypes/accounts, etc.?

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


Data and Content Support » Reduce internet Traffic Aug 12, 2018 03:46 AM (Total replies: 5)

@JBEN - try to use the Dynamic FieldSet (http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm) functionality

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » Questions regarding option chain requesting Aug 12, 2018 03:34 AM (Total replies: 6)

@homie70 - welcome to IQFeed!

1. IQFeed currently only reports option contracts for the next several months.
Note that while the documentation says that NearMonths should be 1-4, in reality IQFeed reports contracts further in the future, based on the specified [Near Months] parameter. In my experiments today, I received a June 2019 contract when I specified NearMonths=8, but perhaps on other dates you could receive contracts even 9-10 months ahead. In any case, a value that is too large is silently ignored. For example, specifying 99 is the same as specifying 8...
Note that IQFeed officially documents NearMonths of just 1-4 - the undocumented functionality of supporting larger NearMonths values (which is excellent) might change in the future.

2. The doc-page for the CEO command (http://www.iqfeed.net/dev/api/docs/OptionChainsviaTCPIP.cfm) is indeed misleading, but in reality IQFeed returns valid results. Here's what I get by running the example in the doc-page - as you can see, the strike price is indeed included:

=> CEO,GOOG,pc,,1
<= GOOG1817H1000,GOOG1817H1005,GOOG1817H1010,GOOG1817H1015,GOOG1817H1020, ...

Hopefully some day DTN will amend the doc-page for both of these points.

Note that I am not a DTN employee and this is not an official answer.

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Datafeed Wish List » Matlab Aug 2, 2018 05:47 AM (Total replies: 11)

For anyone using MATLAB, an alternative Matlab connector to IQFeed is available: IQML.

IQML supports IQFeed's entire API, is optimized for run-time performance (speed) and reliability, and comes with extensive documentation. IQML works with the core Matlab; no toolbox is required. It works on all Matlab releases since R2008a, on both Windows and Mac, using IQFeed 5.0 or newer. IQML is actively maintained and supported; feedbacks welcome.

Main features include:
  • support for both blocking or non-blocking (streaming) data queries
  • current market data (quotes and trades) in snapshot (blocking) or streaming modes
  • live (realtime) top-of-book and Level2 market-depth data (snapshot or streaming)
  • historical and intraday market data (individual ticks or interval bars)
  • fundamental info on assets
  • option chains and futures chains lookup
  • news headlines, story-counts and complete news stories, with user-specified filters
  • user-defined Matlab callback functions for IQFeed messages
  • user-defined alerts on streaming market events (news/quotes/interval-bar/regional triggers)
IQML was developed independently as a commercial 3rd-party product; it is not affiliated with MathWorks or DTN.

As a late-comer competing with an existing product, IQML offers advantages in functionality, performance, reliability, documentation, support, and cost-effectiveness. Give it a try and check for yourself.

http://IQML.net
https://UndocumentedMatlab.com/IQML

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » Historical Tick Data Request Hours Aug 2, 2018 04:21 AM (Total replies: 12)

I believe that during trading hours IQFeed only provides tick data for the past 8 calendar days. In other words, even if you request just a single minute of tick data that is older than 8 days ago, IQFeed will return a !NO_DATA! response.

At the moment, the generic NO_DATA message is quite confusing, and prevents users from taking appropriate action depending on the actual error cause. I would like to suggest that in such a case, IQFeed will return a more informative error message, that will inform the users for the reason of NO_DATA, i.e. is there really no data for this request, or perhaps no data because of trading-hours limitations, or perhaps due to the 180-day limitation.

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



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