IQML User Guide

Version 2.24

October 4, 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) 38

4.5 Greeks, fair value, and implied volatility 42

4.6 Market summary data and scanner 47

5 Historical and intra-day data 54

5.1 Daily data 54

5.2 Weekly data 58

5.3 Monthly data 61

5.4 Interval data 64

5.5 Tick data 69

5.6 Market summary data and scanner 74

6 Streaming data 76

6.1 Streaming quotes 76

6.2 Regional updates 81

6.3 Interval bars 85

6.4 Market depth (Level 2) 90

7 News 93

7.1 Configuration 93

7.2 Story headlines 94

7.3 Story text 98

7.4 Story count 100

7.5 Streaming news headlines 102

8 Lookup of symbols and codes 106

8.1 Symbols lookup 106

8.2 Options/futures chain 111

8.3 Markets lookup 116

8.4 Security types lookup 118

8.5 SIC codes lookup 120

8.6 NAICS codes lookup 122

8.7 Trade condition codes lookup 124

9 Connection, administration and other special commands 126

9.1 Connecting & disconnecting from IQFeed 126

9.2 Server time 129

9.3 Client stats 130

9.4 Sending a custom command to IQFeed 133

9.5 Modifying IQFeed’s registry settings 134

10 Attaching user callbacks to IQFeed messages 135

10.1 Processing IQFeed messages in IQML 135

10.2 Run-time performance implications 139

10.3 Usage example – using callbacks to parse options/futures chains 140

10.4 Usage example – using callbacks for realtime quotes GUI updates 141

10.5 Usage example – using callbacks for realtime order-book GUI updates 142

11 Alerts 145

11.1 General Usage 145

11.2 Alert Configuration 147

11.3 Alerts Query 151

11.4 Alert Editing or Deletion 151

12 Messages and logging 152

12.1 IQML messages 152

12.2 IQFeed logging 154

13 Frequently-asked questions (FAQ) 157

14 Troubleshooting 160

15 Professional services 162

15.1 Sample program screenshots 163

15.2 About the author 166

Appendix A – online resources 167

Appendix B – change log 168

B.1 Complete change log (functional + documentation) 168

B.2 Functional change log (excluding documentation changes) 178