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R and DTN IQFeed
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R and DTN IQFeed

  #21 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,506 since Sep 2013
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Forum Reputation: Legendary

I wrote low level code, for which i don't have any problem to share

However, I bought a developer license for IQ feed, as i understood that is the way to be entitled
to access the IQfeed low level. They assigned me a specific developer string, that my applications
can use to call the IQfeed (besides the user credentials).

The API is confidential and subject to licensing.

I'm not sure what i can share public and what i can't...

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  #22 (permalink)
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Milan, Italy
 
Futures Experience: Intermediate
Platform: NinjaTrader 7, SierraChart
Broker/Data: IQFeed / Interactive Brokers
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OK...

NP at all I do understand your point, thank you for your clarification.

Addition to the R code I posted before, here you have the R code to be added in order to convert the "xts" R format downloaded from IQFeed into R "data.frame" (much more "R like" format, this format can be perfectly used to be managed by the R package so called "dplyr"):

 
Code
# Create a dataframe from the xts IQFeed downloaded data...
ticker_trades_SEC_df <- data.frame(Date=index(ticker_trades_SEC), coredata(ticker_trades_SEC))
ticker_trades_TBT_df <- data.frame(Date=index(ticker_trades_TBT), coredata(ticker_trades_TBT))
To do very efficient dataframe operations in R, the package "dplyr" is perfectly suited...
Here the cheatsheet for those who are interested:

https://www.rstudio.com/wp-content/uploads/2015/02/data-wrangling-cheatsheet.pdf

to install it just do "install.packages("dplyr")" into R...

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  #23 (permalink)
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rleplae View Post
I wrote low level code, for which i don't have any problem to share

However, I bought a developer license for IQ feed, as i understood that is the way to be entitled
to access the IQfeed low level. They assigned me a specific developer string, that my applications
can use to call the IQfeed (besides the user credentials).

The API is confidential and subject to licensing.

I'm not sure what i can share public and what i can't...

I've shared code written for R and Python in the past that contained some of the developer API calls, and I've never been told it is any kind of problem.

You could double check with @IQFeed Dave. I would encourage you to share it, the more people share the more the adoption rate is for IQFeed, good for everyone.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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  #24 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,506 since Sep 2013
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Big Mike View Post

You could double check with @IQFeed Dave.
Mike

I will do...

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  #25 (permalink)
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London + UK
 
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Platform: IB TWS
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Posts: 4 since Oct 2015
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IQFeed Market-Depth/T&S & R/MATLAB

Hi all, I'm trying to record DTN IQFeed Market-Depth and Time&Sales for futures data on flat files (csv/txt/etc.) using either R or MATLAB.

I've already built something similar for Interactive Brokers using R and the IBrokers (R-Package) storing the data in CSVs (1 file/day for each of the 2 kind of data) but I have a problem with the synchronization of the 2 data-flows which makes the dataset useless.

I've already configured MATLAB with DTN IQFeed (using the Datafeed Toolbox) and I can see the data in the workspace but I need to modify the event handlers to save the data in CSVs instead.

Given that I usually work under Mac OS X and the MATLAB IQFeed functions are Windows only I would prefer to use R under Mac (like I've done with IB/IBrokers) but the github.com/bwlewis/iqfeed Package doesn't support Level 2 data.

Before reinventing the wheel I want to ask if anybody has been able to record Market-Depth and Time&Sales data in flat-files using R/MATLAB.

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  #26 (permalink)
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Big Mike View Post
https://github.com/bwlewis/iqfeed

Also he provides:

GNU/Linux utilities for IQFeed (download) iqfeedutils.tar.bz2. A set of basic utilities to get DTN IQFeed up and running in Windows-free GNU/Linux environments...

Mike, can you please make available the iqfeedutils.tar.bz2 tarball?
I haven't been able to find it, only a few pieces around the web (illposed.net, https://github.com/wpleasant/ticks/blob/master/Makefile, meanwhile the page http://illposed.net/iqfeed/ linked on https://github.com/bwlewis/iqfeed seems down).

I've already installed DTN IQFeed and MATLAB on Wine running under OS X (and it is working fine) and other ppl are doing similar things for the IQFeed Client under Wine (https://github.com/macdice/iqfeed-debian, https://github.com/bratchenko/docker-iqfeed) so it would be interesting to see how he approached the problem.

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  #27 (permalink)
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SergeGardien View Post
Before reinventing the wheel I want to ask if anybody has been able to record Market-Depth and Time&Sales data in flat-files using R/MATLAB.

I've checked the MATLAB Datafeed Toolbox code for IQFeed and it was quite trivial so I've done it myself, I've also modded the MATLAB code to get the millisecond timestamps. The original MATLAB functions don't get any parameter to specify the IQFeed API protocol so I've added the possibility to use the protocol 5.0 which is the first API update providing millisecond timestamps.

I don't have any IQFeed API subscription but it feels that by reverse engineering the MATLAB code, the R code at https://github.com/bwlewis/iqfeed and some other random code/forum posts around the web it is possible to do the same for free.

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  #28 (permalink)
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tel aviv
 
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getting daily data into r

hi
i am using this:
HTML Code:
https://github.com/bwlewis/iqfeed/tree/master/man
and this line:
 
Code
AAPL <- HDX("AAPL",days=600)
to get aapl's last 600 days but getting only since start of 2015
any idea what i am doing wrong?
thanks

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  #29 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
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Posts: 46,240 since Jun 2009
Thanks: 29,357 given, 83,237 received


giladbi View Post
hi
i am using this:
HTML Code:
https://github.com/bwlewis/iqfeed/tree/master/man
and this line:
 
Code
AAPL <- HDX("AAPL",days=600)
to get aapl's last 600 days but getting only since start of 2015
any idea what i am doing wrong?
thanks

Make sure you request it after cash session is over, they limit historical during market hours.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
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