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R and DTN IQFeed
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R and DTN IQFeed

  #1 (permalink)
Site Administrator
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R and DTN IQFeed

I am wanting to integrate R with IQFeed, and found this package:

https://github.com/bwlewis/iqfeed


Read Me File
The iqfeed package provides a basic TCP/IP interface between R and DTN
IQFeed. It requires TCP/IP access to IQFeed. The package only contains
a few basic functions for historic LI stock and equity options. We plan
on added Level II and more Level I functions in the near future. The
packages returns all time series data in xts format.

Example:
require(iqfeed)
iqConf()
t0 <- "2010-01-18 15:25:00"
t1 <- "2010-01-22 10:00:00"
trades <- HIT("MSFT",interval=60,start=t0,end=t1)

daily <- HDX("XOM",days=14)
daily

# Options chain lookup example
symbols <- CEO("MSFT")
symbols
[1] "MSQ1022E25" "MSQ1022E26" "MSQ1022E27" "MSQ1022E28" "MSQ1022E29"
[6] "MSQ1022E30" "MSQ1022E31" "MSQ1022E32" "MSQ1022E33" "MSQ1022E34"
[11] "MSQ1022E35" "MSQ1022Q25" "MSQ1022Q26" "MSQ1022Q27" "MSQ1022Q28"
[16] "MSQ1022Q29" "MSQ1022Q30" "MSQ1022Q31" "MSQ1022Q32" "MSQ1022Q33"
[21] "MSQ1022Q34" "MSQ1022Q35"

# Convert to standard OSI format (e.g., for use by a broker), and back:
osi(symbols[1])
[1] "MSQ 100522C00025000"
osi2iq(.Last.value)
[1] "MSQ1022E25"

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, as well as facilitate communication between Linux quant boxes and Windows IQFeed boxes. A new Redis-based utility is included that is very effective at processing level 1 market data.

illposed.net

Real-time minute bars from IQ Feed streaming quote data using Redis server.

I noticed this work is 3 years old, so question if everything still works with the latest IQFeed API. At the very least it would need some modernizing to take advantage of IQFeed 5.0.

Does anyone else have a better method for using IQFeed with R?

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.

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  #2 (permalink)
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  #3 (permalink)
Elite Member
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Big Mike View Post

Does anyone else have a better method for using IQFeed with R?

I store IQfeed datas in Amibroker and then use R from it with the R-plugin.
R is wonderful to get quick stats but I've found database management more complicated.

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  #4 (permalink)
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TheTrend View Post
I store IQfeed datas in Amibroker and then use R from it with the R-plugin.
R is wonderful to get quick stats but I've found database management more complicated.

I am wanting to eliminate third party platforms (Ami, etc) so that is not going to work for me.

Can you elaborate on the database management issues?

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
 
  #5 (permalink)
Elite Member
Paris, France
 
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Posts: 96 since Jun 2011
Thanks: 118 given, 102 received

OK I see.

Anyway, you'll have to store your IQfeed data somewhere: CSV, txt or in a SQL database.

So this not a real issue but it does add a layer of complexity while you have softwares that can do that for you in a very timely and efficient manner.

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  #6 (permalink)
Site Administrator
Manta, Ecuador
 
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Posts: 46,240 since Jun 2009
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TheTrend View Post
OK I see.

Anyway, you'll have to store your IQfeed data somewhere: CSV, txt or in a SQL database.

So this not a real issue but it does add a layer of complexity while you have softwares that can do that for you in a very timely and efficient manner.

OK gotcha. Yes, I am doing that already.

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
 
  #7 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,231 received

This package does seem to work, FYI.

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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  #8 (permalink)
Elite Member
San Francisco, CA
 
Futures Experience: Intermediate
Platform: Python, R, WealthLab
Broker/Data: IB + IQFeed
Favorite Futures: N/A
 
Posts: 4 since Feb 2013
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Hi Mike,

I've just recently rediscovered futures.io (formerly BMT), making my first post. I'm THRILLED that you've taken to R as a core platform. I've been learning it for some time now and see its huge potential for lots of aspects of system design and monitoring, just needs some of the rough edges taken off.

Can you comment on anything specific you needed to do to get the IQFeed R package running? I'm not even able to get the package built successfully. Any tips? Have you done any modification to the IQFeed package?

PS - I just came across your webinar with Eric H and the DTNIQ guys - fantastic stuff!

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  #9 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,231 received


ReversionTrader View Post
Hi Mike,

I've just recently rediscovered futures.io (formerly BMT), making my first post. I'm THRILLED that you've taken to R as a core platform. I've been learning it for some time now and see its huge potential for lots of aspects of system design and monitoring, just needs some of the rough edges taken off.

Can you comment on anything specific you needed to do to get the IQFeed R package running? I'm not even able to get the package built successfully. Any tips? Have you done any modification to the IQFeed package?

PS - I just came across your webinar with Eric H and the DTNIQ guys - fantastic stuff!

I ended up largely rewriting the package to suit my needs. You can email the author of the package and ask for help on getting it built, he is responsive and helpful.

All my R work is discussed here:
https://futures.io/elite-automated-trading/29764-big-mike-s-custom-trading-platform.html

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
 
  #10 (permalink)
Elite Member
tel aviv
 
Futures Experience: Advanced
Platform: Multicharts, SC
Favorite Futures: es
 
Posts: 34 since Jun 2009
Thanks: 4 given, 1 received

how do i use this?


i went to https://github.com/bwlewis/iqfeed
as a R newbee how do i install / use it so i can get live feed into R?
thanks

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