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Viewing User Profile for: altmany
About Contact
Joined: Jul 30, 2018 05:38 AM
Last Post: Aug 16, 2018 09:57 AM
Last Visit: Oct 13, 2018 04:31 PM
Website: https://UndocumentedMatlab.com/IQML
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Occupation: Consultant
Interests: Matlab, finance, trading
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IQML - IQFeed-Matlab connector
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altmany has contributed to 6 posts out of 18764 total posts (0.03%) in 78 days (0.08 posts per day).

20 Most recent posts:
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


IQFeed Developer Support » Questions on upgrading to protocol 6.0 Jul 30, 2018 05:56 AM (Total replies: 4)

Perhaps the transition to 6.0 could be made easier if there were a global option that could be set during connection time and would apply a default value to LabelAtBeginning for all subsequent historic data requests (similar to setting the CLIENT NAME). Then users could set that option directly adjacent to the code that sets the protocol, and would not have to worry about modifying any of the data queries elsewhere in their program. Perhaps something such as this:

S,SET OPTION,DefaultLabelAtBeginning,0

Then, if the users use the standard HIX/HID/HIT commands without the extra LabelAtBeginning field (as in legacy 5.0-5.2 code), the new DefaultLabelAtBeginning would apply, and if they do specify the field then it would take precedence.

You can easily extend this mechanism to other options in the future.


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

Edited by altmany on Aug 2, 2018 at 04:41 AM


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