IQML User Guide

Version 2.22

July 17, 2019

Fully compatible with:

Windows, Linux, Mac OS

DTN IQFeed 5.0 - 6.1

MATLAB R2008b - R2019b

© Yair Altman, Octahedron Ltd.

http://IQML.net

https://UndocumentedMatlab.com/IQML

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Undocumented Matlab

The engineering choice for professional Matlab solutions

Table of Contents

DISCLAIMER 4

1 Introduction 5

2 Installation and licensing 6

2.1 Installing IQML 6

2.2 Licensing and activation 7

2.3 Switching activated computers 9

2.4 Updating the installed version 9

3 Using IQML 10

3.1 General usage 10

3.2 Common request properties 13

3.3 Blocking & non-blocking modes 13

3.4 Common causes of confusion 14

3.5 Returned data format 16

3.6 Run-time performance 17

4 Querying the latest market data 20

4.1 Snapshot (top of book) quotes 20

4.2 Fundamental information 29

4.3 Interval bars 34

4.4 Market depth (Level 2) 37

4.5 Greeks, fair value, and implied volatility 41

4.6 Market summary data and scanner 46

5 Historical and intra-day data 53

5.1 Daily data 53

5.2 Weekly data 57

5.3 Monthly data 60

5.4 Interval data 63

5.5 Tick data 68

5.6 Market summary data and scanner 73

6 Streaming data 75

6.1 Streaming quotes 75

6.2 Regional updates 80

6.3 Interval bars 84

6.4 Market depth (Level 2) 89

7 News 92

7.1 Configuration 92

7.2 Story headlines 93

7.3 Story text 97

7.4 Story count 99

7.5 Streaming news headlines 101

8 Lookup of symbols and codes 105

8.1 Symbols lookup 105

8.2 Options/futures chain 110

8.3 Markets lookup 115

8.4 Security types lookup 117

8.5 SIC codes lookup 119

8.6 NAICS codes lookup 121

8.7 Trade condition codes lookup 123

9 Connection, administration and other special commands 125

9.1 Connecting & disconnecting from IQFeed 125

9.2 Server time 128

9.3 Client stats 129

9.4 Sending a custom command to IQFeed 132

9.5 Modifying IQFeed’s registry settings 133

10 Attaching user callbacks to IQFeed messages 134

10.1 Processing IQFeed messages in IQML 134

10.2 Run-time performance implications 138

10.3 Usage example – using callbacks to parse options/futures chains 139

10.4 Usage example – using callbacks for realtime quotes GUI updates 140

10.5 Usage example – using callbacks for realtime order-book GUI updates 141

11 Alerts 144

11.1 General Usage 144

11.2 Alert Configuration 146

11.3 Alerts Query 150

11.4 Alert Editing or Deletion 150

12 Messages and logging 151

12.1 IQML messages 151

12.2 IQFeed logging 153

13 Frequently-asked questions (FAQ) 156

14 Troubleshooting 159

15 Professional services 161

15.1 Sample program screenshots 162

15.2 About the author 165

Appendix A – online resources 166

Appendix B – change log 167

B.1 Complete change log (functional + documentation) 167

B.2 Functional change log (excluding documentation changes) 177