MATLAB Answers

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

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George Daivs
George Daivs on 10 Jul 2015
Answered: Yair Altman on 12 Jan 2020
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.

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Answers (1)

Yair Altman
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 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.
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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