4 Querying the latest market data

4.1 Snapshot (top of book) quotes

We start with a simple example to retrieve the latest market information for Alphabet Inc. Class C, which trades using the GOOG symbol, using IQML’s 'quotes' action:

>> data = IQML('quotes', 'Symbol','GOOG')
data =
Symbol: 'GOOG'
Most_Recent_Trade: 1092.14
Most_Recent_Trade_Size: 1
Most_Recent_Trade_Time: '09:46:31.960276'
Most_Recent_Trade_Market_Center: 25
Total_Volume: 113677
Bid: 1092.13
Bid_Size: 100
Ask: 1092.99
Ask_Size: 100
Open: 1099.22
High: 1099.22
Low: 1092.38
Close: 1090.93
Message_Contents: 'Cbaohlc'
Message_Description: 'Last qualified trade; A bid update
occurred, An ask update occurred; An open
declaration occurred; A high declaration
occurred; A low declaration occurred; A
close declaration occurred'
Most_Recent_Trade_Conditions: '3D87'
Trade_Conditions_Description: 'Intramaket Sweep; Odd lot trade'
Most_Recent_Market_Name: 'Direct Edge A (EDGA)'

As can be seen, the returned data object is a Matlab struct with self-explanatory fields.19 To access any specific field, use the standard Matlab dot-notation:

>> bidPrice = data.Bid; %=1092.13 in this specific case

If the symbol is not currently trading, some fields return empty values:

>> data = IQML('quotes', 'Symbol','GOOG')
data =
Symbol: 'GOOG'
Most_Recent_Trade: 1078.99
Most_Recent_Trade_Size: 1
Most_Recent_Trade_Time: '19:58:47.052099'
Most_Recent_Trade_Market_Center: 26
Total_Volume: 0
Bid: 1077.6
Bid_Size: 100
Ask: 1079.89
Ask_Size: 200
Open: []
High: []
Low: []
Close: 1078.92
Message_Contents: 'Cbav'
Message_Description: 'Last qualified trade; A bid update
occurred; An ask update occurred;
A volume update occurred'
Most_Recent_Trade_Conditions: '0517'
Trade_Conditions_Description: 'Average Price Trade; Form-T Trade'
Most_Recent_Market_Name: 'Direct Edge X (EDGX)'

In this example, the query was sent outside regular trading hours (on Sunday) so Open, High and Low are empty. As expected, the data indicates this was a “Form-T” trade.

Other fields may sometimes be empty. For example, overnight LIBOR rate (Symbol= 'ONLIB.X') reports empty Bid, Ask, Most_Recent_Trade_Size (and Total_Volume=0).

In rare cases, you might see invalid field values (e.g. 0), which may indicate a data error. IQML does not modify the data reported by IQFeed, so if you see this problem consistently for a certain security or exchange, please contact IQFeed’s support.

If you specify an incorrect security name or classification properties, or if you do not have the necessary market subscription, then no data is returned, and an error message is displayed (see discussion in §3.4).

>> IQML('quotes', 'Symbol','xyz123')

Symbol 'XYZ123' was not found!

You may request more than a single snapshot quote: To get the next N real-time quotes, specify the NumOfEvents parameter. The result is an array of structs in the same format as above (or an empty array if no data is available):

>> data = IQML('quotes', 'Symbol','IBM', 'NumOfEvents',4)
data =
4×1 struct array with fields:
Symbol
Most_Recent_Trade
Most_Recent_Trade_Size
...

>> data(1)
ans =
Symbol: 'IBM'
Most_Recent_Trade: 159.16
Most_Recent_Trade_Size: 75
Most_Recent_Trade_Time: '09:36:15.534201'
Most_Recent_Trade_Market_Center: 24
Total_Volume: 135267
...

Note that it is possible that not all the requested quotes will be received before IQML’s timeout (default value: 5 secs) returns the results:

>> data = IQML('quotes', 'Symbol','IBM', 'NumOfEvents',4)

Warning: IQML timeout: only partial data is returned. Perhaps the Timeout parameter should be set to a value larger than 5 or the NumOfEvents parameter to a value smaller than 4

data =
2×1 struct array with fields:
Symbol
Most_Recent_Trade
Most_Recent_Trade_Size
...

To control the maximal duration that IQML will wait for the data, set the Timeout parameter. For example, to wait up to 60 secs to collect the next 4 upcoming quotes:

>> data = IQML('quotes', 'Symbol','IBM', 'NumOfEvents',4, 'timeout',60);

You can request quotes for multiple symbols at the same time, in a single IQML command, by specifying a colon-delimited or cell-array list of symbols. For example:

>> data = IQML('quotes', 'symbols',{'IBM','GOOG','AAPL'});

>> data = IQML('quotes', 'symbols','IBM:GOOG:AAPL'); % equivalent

The result will be an array of Matlab structs that correspond to the requested symbols:

data =
1×3 struct array with fields:
Symbol
Most_Recent_Trade
Most_Recent_Trade_Size
Most_Recent_Trade_Time
Most_Recent_Trade_Market_Center
Total_Volume
Bid
...

>> data(2)
ans =
struct with fields:
Symbol: 'GOOG'
Most_Recent_Trade: 1078.99
Most_Recent_Trade_Size: 1
Most_Recent_Trade_Time: '19:58:47.052099'
Most_Recent_Trade_Market_Center: 26
Total_Volume: 0
Bid: 1077.6
Bid_Size: 100
Ask: 1079.89
Ask_Size: 200
Open: []
High: []
Low: []
Close: 1078.92
Message_Contents: 'Cbav'
Message_Description: 'Last qualified trade; A bid update
occurred; An ask update occurred;
A volume update occurred'
Most_Recent_Trade_Conditions: '0517'
Trade_Conditions_Description: 'Average Price Trade; Form-T Trade'
Most_Recent_Market_Name: 'Direct Edge X (EDGX)'

If you have the Professional license of IQML and also Matlab’s Parallel Computing Toolbox, then setting the UseParallel parameter to true (or 1) will process the quotes query for all the specified symbols in parallel (see discussion in §3.6). Note that in the case of quote queries, there is often little or no speedup in parallelization, because the delay is caused by waiting for market quote events, not due to CPU processing:

>> data = IQML('quotes', 'symbols',{'IBM','GOOG','AAPL'}, 'UseParallel',true);

Note that if you request quotes for a very large number of symbols in a single IQML command, and especially if you set UseParallel to true, you might run into your IQFeed account’s symbols-limit (MaxSymbols; see §9.3). In such a case, IQFeed-generated error messages such as the following will be displayed on the Matlab console:

Warning: Requesting 3258 symbol quotes, which is more than your IQFeed account's concurrent symbols limit (500) - quotes for some symbols may not be available.
(Type "warning off IQML:MaxSymbols" to suppress this warning.)

Level1 symbol limit reached - symbol 'IBM' not serviced!

By default, IQFeed reports 16 data fields for each quote: Symbol, Most Recent Trade, Most Recent Trade Size, Most Recent Trade Time, Most Recent Trade Market Center, Total Volume, Bid, Bid Size, Ask, Ask Size, Open, High, Low, Close, Message Contents, and Most Recent Trade Conditions.20

If the Fields parameter is set to an empty value ({} or ''), the current set of fields and the full list of available fields, are reported (in this case, a Symbol parameter is unnecessary):

>> data = IQML('quotes', 'fields',{})
data =
CurrentFields: {1×16 cell}
AvailableFields: {1×68 cell}

>> data.AvailableFields
ans =
1×68 cell array
Columns 1 through 5
{'Symbol'} {'Exchange ID'} {'Last'} {'Change'} {'Percent Change'}
Columns 6 through 11
{'Total Volume'} {'High'} {'Low'} {'Bid'} {'Ask'} {'Bid Size'}
Columns 12 through 17
{'Ask Size'} {'Tick'} {'Range'} {'Open Interest'} {'Open'} {'Close'}
Columns 18 through 22
{'Spread'} {'Settle'} {'Delay'} {'Restricted Code'} {'Net Asset Value'}
...

If you have the Professional (or trial) IQML license, you can request IQFeed to report up to ~70 data fields, and/or change the reported fields and their order, using the optional Fields parameter, as follows:

We can set Fields to 'All' (or 'all') to request all available data fields in reported quotes:21

>> data = IQML('quotes', 'Symbol','AAPL', 'Fields','all')
data =
Symbol: 'AAPL'
x7_Day_Yield: []
Ask: 222.91
Ask_Change: []
Ask_Market_Center: 28
Ask_Size: 100
Ask_Time: '19:59:42.031900'
Available_Regions: []
Average_Maturity: []
Bid: 222.71
...

The field names in the reported Matlab struct are the same as the IQField field names, except for the following minor changes to create valid Matlab field identifiers:

spaces are replaced by '_' (“Ask Change” à Ask_Change)

'x' is prefixed to fields that start with numbers (“7 Day Yield” à x7_Day_Yield)

A complete table of available fields is provided for convenience at the bottom of this section. If you are uncertain about the meaning of a certain field, or wish to know which field reports certain data, please ask your DTN IQFeed representative (after all, IQML just reports the data as provided by IQFeed).

Some of the reported field values may be empty. For example, AAPL’s Average_Maturity value is empty since this field is only relevant for bonds, not stocks. Similarly, EURUSD.FXCM’s Market_Capitalization value is empty because Forex securities have no market cap. Likewise, Net_Asset_Value is only relevant for funds. Delay=[] indicates a real-time quote, whereas Delay=15 indicates that the quote was delayed 15 minutes by the exchange (presumably because you do not possess a real-time data subscription for this exchange/security-type).22

The Fields parameter can be set to any subset of AvailableFields,23 as either a cell-array of strings, or as a comma-separated string. In this case, any subsequent quotes query will report the requested fields, in the specified order. For example:

>> data = IQML('quotes', 'Symbol','AAPL', 'Fields',{'Bid','Ask','Last'})
>> data = IQML('quotes', 'Symbol','AAPL', 'Fields','Bid,Ask,Last') %equivalent
data =
Symbol: 'AAPL'
Bid: 222.71
Ask: 222.91
Last: 222.11

The order of the specified Fields indicates the order in which the data fields will be reported. For example, to change the order of the reported data fields above:

>> data = IQML('quotes', 'Symbol','AAPL', 'Fields','Last,Ask,Bid')
data =
Symbol: 'AAPL'
Last: 222.11
Ask: 222.91
Bid: 222.71

Note that the Symbol field is always reported in the first position, regardless of whether or not it was specified in the Fields list, or its specified position order in the Fields list (also note the optional spaces between the comma-separated field names):

>> data = IQML('quotes', 'Symbol','AAPL', 'Fields','Ask, Bid, Last, Symbol')
data =
Symbol: 'AAPL'
Ask: 222.91
Bid: 222.71
Last: 222.11

As noted, Fields can be set to any subset of the AvailableFields. If a bad field is specified (one which is not available in IQFeed), an error message will be displayed:

>> data = IQML('quotes', 'Symbol','AAPL', 'Fields','Bid, Ask, xyz')

Error using IQML
Bad field 'xyz' was requested in IQML quotes command (check the
capitalization/spelling).
Available fields are: 7 Day Yield, Ask, Ask Change, Ask Market Center, ...

Note: the more fields that you request, the longer the required processing time, by both IQFeed and IQML. To improve run-time performance and reduce latency, request only those data fields that are actually needed by your program.

The following parameters affect quotes data queries:

The full list of available fields in IQFeed as of December 2021 is listed below. Note that some of these fields may not be available, and IQFeed may also add/modify this list at any time. The list of fields that are actually available cen be retrieved in IQML using the IQML('quotes','fields',{}) command, as explained above. For details about any of these fields, please contact your DTN/IQFeed representative (IQML just reports the data, it has no control over the reported values or definition of the data fields).

In the table below, the 16 default data fields are marked with a bold green font-face:

4.2 Fundamental information

Fundamental data on a symbol can be fetched using a 'fundamental' action, as follows:

>> data = IQML('fundamental', 'symbol','IBM')
data =
Symbol: 'IBM'
Exchange_ID: 7
PE: 25.7
Average_Volume: 4588000
x52_Week_High: 180.95
x52_Week_Low: 139.13
Calendar_Year_High: 171.13
Calendar_Year_Low: 144.395
Dividend_Yield: 3.79
Dividend_Amount: 1.5
Dividend_Rate: 6
Pay_Date: '03/10/2018'
Ex_dividend_Date: '02/08/2018'
Short_Interest: 17484332
Current_Year_EPS: 6.17
Next_Year_EPS: []
Five_year_Growth_Percentage: -0.16
Fiscal_Year_End: 12
Company_Name: 'INTERNATIONAL BUSINESS MACHINE'
Root_Option_Symbol: 'IBM'
Percent_Held_By_Institutions: 59.9
Beta: 1.05
Leaps: []
Current_Assets: 49735
Current_Liabilities: 37363
Balance_Sheet_Date: '12/31/2017'
Long_term_Debt: 39837
Common_Shares_Outstanding: 921168
Split_Factor_1: '0.50 05/27/1999'
Split_Factor_2: '0.50 05/28/1997'
Market_Center: []
Format_Code: 14
Precision: 4
SIC: 7373
Historical_Volatility: 25.79
Security_Type: 1
Listed_Market: 7
x52_Week_High_Date: '03/08/2017'
x52_Week_Low_Date: '08/21/2017'
Calendar_Year_High_Date: '01/18/2018'
Calendar_Year_Low_Date: '02/09/2018'
Year_End_Close: 153.42
Maturity_Date: []
Coupon_Rate: []
Expiration_Date: []
Strike_Price: []
NAICS: 541512
Exchange_Root: []
Option_Premium_Multiplier: []
Option_Multiple_Deliverable: []
Session_Open_Time: []
Session_Close_Time: []
Base_Currency: []
Contract_Size: []
Contract_Months: []
Minimum_Tick_Size: []
First_Delivery_Date: []
FIGI: 'BBG000BLNNH6'
Security_SubType: []
Price_Format_Description: 'Four decimal places'
Exchange_Description: 'New York Stock Exchange (NYSE)'
Listed_Market_Description: 'New York Stock Exchange (NYSE)'
Security_Type_Description: 'Equity'
Security_SubType_Description: ''
SIC_Description: 'COMPUTER INTEGRATED SYSTEMS DESIGN'
NAICS_Description: 'Computer Systems Design Services'
SIC_Sector_Name: 'Services'
NAICS_Sector_Name: 'Professional, Scientific, Technical services'

Notes:

the naming, interpretation and order of returned data fields is controlled by IQFeed, not by IQML – DTN might change these fields in the future.

Splits – when only one split is available, Split_Factor_2 will be empty; when no splits are known to IQFeed, both split fields will be empty. Splits are reported as '#.## <mm/dd/yyyy date>', i.e. an American-format date rounded to 2 decimal digits.29 In any case, only the last 2 splits are reported by IQFeed.30

the inclusion of the *_Description fields (Price_Format_Description, Exchange_Description, etc.) depends on the MsgParsingLevel parameter having value of 2 or higher (see §3.2 for details). When MsgParsingLevel is 1 or 0, these fields will not be part of the returned data struct.

Depending on your IQFeed client version, additional fundamental data fields may be returned. For example, the following fields were added in client 6.1 (some fields only have values for certain security types, e.g. futures/options): Session_Open_Time, Session_Close_Time, Base_Currency, Contract_Size, FIGI, Contract_Months, Minimum_Tick_Size, First_Delivery_Date, and Security_SubType. For example, (redacted for clarity):

>> data = IQML('fundamental', 'symbol','@ES#')
data =
struct with fields:
Symbol: '@ES#'
Exchange_ID: 34
PE: []
Average_Volume: []
x52_Week_High: 3006
x52_Week_Low: 2350
...
Company_Name: 'E-MINI S&P 500 SEPTEMBER 2019'
Expiration_Date: '09/20/2019'
Exchange_Root: 'ES'
Session_Open_Time: '18:00:00'
Session_Close_Time: '17:00:00'
Base_Currency: 'USD'
Contract_Size: 50
Contract_Months: '--H--M--U--Z'
Minimum_Tick_Size: 0.25
Underlying_Contract: '@ESU19'
Exchange_Description: 'Chicago Mercantile Exchange (CME)'
Listed_Market_Description: 'Chicago Mercantile Exchange Mini Sized
Contracts (CMEMINI)'
Security_Type_Description: 'Future'

To improve run-time performance, fundamental data is cached in Matlab memory for each symbol. IQFeed is queried for fundamental data for a symbol only if the symbol was not previously queried in the current Matlab session. This is typically a good thing, because fundamental data is relatively stable. To force IQML to re-query IQFeed for fundamental data even when it is cached, set the Debug parameter:

>> data = IQML('fundamental', 'symbol','AAPL', 'debug',true);

>> data = IQML('debug',false); % exit debug mode

It is possible to fetch fundamental data of multiple symbols in a single IQML command, by specifying a colon-delimited or cell-array list of symbols: 31

>> data = IQML('fundamental', 'symbols','AAPL:GOOG') %or: {'AAPL','GOOG'}

data =
1×2 struct array with fields:
Symbol
Exchange_ID
PE
...

>> data(1)
ans =
Symbol: 'AAPL'
Exchange_ID: 5
PE: 20.4
Average_Volume: 26900000
x52_Week_High: 228.87
x52_Week_Low: 149.16
...

>> data(2)
ans =
Symbol: 'GOOG'
Exchange_ID: 5
PE: 51.9
Average_Volume: 1239000
x52_Week_High: 1273.89
x52_Week_Low: 909.7
Calendar_Year_High: 1273.89
...

The list of fundamental data fields in IQFeed as of 1/7/2019 is listed below. Note that IQFeed may modify this list at any time (for example, IQFeed client 6.1 has added several fields). For details about any of these fields, please ask DTN/IQFeed. IQML just reports the data, it has no control over the reported values or definition of data fields. Note that the fundamental data fields cannot be modified, unlike quotes fields.

4.3 Interval bars

Interval bars data for one or more symbols can be fetched using the 'intervalbars' action. For example, to fetch the latest 60-second interval bar for the current E-Mini contract:

>> data = IQML('intervalbars', 'Symbol','@ES#')
data =
Symbol: '@ES#'
BarType: 'Complete interval bar from history'
Timestamp: '2018-09-05 12:57:00'
Open: 2887.75
High: 2888.25
Low: 2887.5
Close: 2888.25
CumulativeVolume: 1117565
IntervalVolume: 913
NumberOfTrades: 0

In the returned data struct, we can see the following fields:

Symbol – the requested Symbol.

BarType – typically ‘Complete interval bar from history’, but in some cases might be ‘Complete interval bar from stream’ or ‘Updated interval bar’.

Timestamp – server timestamp (string format) for this interval bar. The timestamp is of the end of the bar, not the beginning.

Open – price at the start of this interval bar.

High – highest price during this interval bar.

Low – lowest price during this interval bar.

Close – price at the end of this interval bar.

CumulativeVolume – total trade volume since start of the current trading day.38

IntervalVolume – trade volume during this interval bar.

NumberOfTrades – number of trades during this interval bar. Relevant only when IntervalType is set to 'ticks'/'trades'.

The IntervalType (default: 'secs') and IntervalSize (default: 60) parameters should typically be specified together. Note that IntervalSize must be a positive integer value (i.e. its value cannot be 4.5 or 0). If IntervalType is 'ticks'/'trades', IntervalSize must be 2 or higher. If IntervalType is 'volume', IntervalSize must be 100 or higher. If IntervalType is 'secs', IntervalSize must be any integer between 1-300 (5 minutes), or any multiple of 60 (1 minute) between 300-3600 (1 hour), or 7200 (2 hours).39

We can ask for multiple bars by setting NumOfEvents or MaxItems to a positive integer, resulting in an array of structs in the format above (empty array if no data is available):

>> data = IQML('intervalbars', 'Symbol','@VX#', 'NumOfEvents',4)
data =
4×1 struct array with fields:
Symbol
BarType
...

>> data(1)
ans =
Symbol: '@VX#'
BarType: 'Complete interval bar from history'
Timestamp: '2018-09-05 12:36:00'
Open: 14.45
High: 14.5
Low: 14.45
Close: 14.45
CumulativeVolume: 57077
IntervalVolume: 17
NumberOfTrades: 0

IQFeed only returns interval bars that had market ‘action’. Other bars are not sent from IQFeed – they will appear in IQML’s returned data as gaps in the Timestamp.

Also note that it is possible that not all the requested bars will be received before IQML’s timeout (default value: 5 secs) returns the results:

>> data = IQML('intervalbars', 'Symbol','IBM', 'NumOfEvents',4)

Warning: IQML timeout: only partial data is returned. Perhaps the Timeout parameter should be set to a value larger than 5 or the NumOfEvents parameter to a value smaller than 4

data =
2×1 struct array with fields:
Symbol
BarType
...

To control the maximal duration that IQML will wait for the data, set the Timeout parameter. For example, to wait up to 60 secs to collect 4 bars:

>> data = IQML('intervalbars', 'Symbol','IBM', 'NumOfEvents',4, 'timeout',60);

Interval bars query fetches historical bars data, starting from the date/time that is set by the BeginDateTime parameter (see the parameters table below). This is similar to (and subject to the same limitations as) fetching historical interval data (see §5.4), but with no specified end point. IQML will return both the historical bars, as well as new (live) real-time streaming interval bars, as they become available. BeginDateTime’s default value is 00:00:00 today (server time), so you will almost always get historical bars before live streaming bars. If you run the query at mid-day, you may get hundreds of historical bars before you get the first live streaming bar. So, if you set NumOfEvents to a low value, you might receive only historical bars, without any live streaming bars.

Unlike quotes (§4.1), when you specify NumOfEvents > 1, IQML does not wait for new bars to arrive; instead, it returns previous (historic) bars, as long as this does not conflict with the specified BeginDateTime. For example, if you set NumOfEvents=5, you will receive the latest 5 bars: 4 complete historic bars, as well as the current (incomplete) bar. If you require live (future) interval bars, then set BeginDateTime, or use the streaming mechanism that is described in §6.3. For example, if you set BeginDateTime to 5 bars ago and NumOfEvents=15, then IQFeed will return the 5 historic bars and wait for 10 additional future bars (subject to the specified Timeout).

Additional data filtering parameters: MaxDays, BeginFilterTime and EndFilterTime.

You can query multiple symbols at the same time, in a single IQML command, by specifying a colon-delimited or cell-array list of symbols. For example:

>> data = IQML('intervalbars', 'symbols',{'IBM','GOOG','AAPL'});

>> data = IQML('intervalbars', 'symbols','IBM:GOOG:AAPL'); % equivalent

If the query returns the same number of data elements for all symbols, the results will be returned as a struct array, with columns corresponding to the requested symbols:

data =
100×3 struct array with fields:
Symbol
BarType
Timestamp
Open
High
Low
Close
CumulativeVolume
IntervalVolume
NumberOfTrades

However, if IQML returns a different amount of data for various symbols, the results are returned as a cell array, with cell elements corresponding to the requested symbols. For example, in the following query, there is no symbol ‘XXX’ so IQML returns empty results for this particular symbol:40

>> data = IQML('intervalbars', 'Symbol','IBM:GOOG:XXX', 'UseParallel',true)
data =
1×3 cell array
{100×1 struct} {100×1 struct} {0×0 double}

If you have the Professional license of IQML and also Matlab’s Parallel Computing Toolbox, then setting the UseParallel parameter to true (or 1) will process the quotes query for all the specified symbols in parallel (see discussion in §3.6):

>> data = IQML('intervalbars', 'symbols',{'IBM','GOOG','AAPL'}, ...
'UseParallel',1);

The following parameters affect interval bars data queries:

4.4 Market depth (Level 2)

Level 2 (II) market data on a symbol can be fetched using a 'marketdepth' action. Starting in IQFeed client 6.2, the Level 2 data that is reported by IQFeed has changed significantly, preventing IQML from keeping exact backward compatibility with the format of the Level 2 data that was reported in IQFeed clients 6.1 or older. IQML works with both client types, but the returned data will be slightly different depending on the specific IQFeed client/protocol. The documentation below highlights the differences between IQML results with IQFeed clients up to 6.1, vs. clients since 6.2.

4.4.1 Common functionality

The following example fetches Level 2 data for the S&P E-Mini continuous future:

>> data = IQML('marketdepth', 'symbol','@ES#')
data =
10×1 struct array with fields:
Symbol
Bid
Ask
BidSize
AskSize
BidTime
AskDate
AskTime
BidInfoValid
AskInfoValid
BidCount
AskCount
Condition
Condition_Description
ID
ID_Description
BidSizeRatio
AskSizeRatio

The latest data (i.e., state of the market-depth table) is returned as a Matlab struct array, whose elements correspond to the market-depth rows. For example, to see the data for row #3 (i.e., 2 rows below the top-of-book row), you can access array element #3:

>> data(3)
ans =
struct with fields:
Symbol: '@ES#'
Bid: 3878
Ask: 3879.25
BidSize: 86
AskSize: 103
BidTime: '10:51:27.753961'
AskDate: '2021-02-22'
AskTime: '10:51:28.411595'
BidInfoValid: 1
AskInfoValid: 1
BidCount: 44
AskCount: 50
Condition: 52
Condition_Description: 'regular'
ID: 'MD03'
ID_Description: 'Order book row #3'
BidSizeRatio: 0.231182795698925
AskSizeRatio: 0.207243460764588

Note: In IQFeed 6.2 or newer, AskDate field is reported without a corresponding BidDate; in IQFeed 6.1 or older, the field is common to both Bid,Ask and called simply Date.

BidInfoValid and AskInfoValid values are logical (true/false) values, which appear as 1 or 0 (respectively) in the returned data struct. The ID field ('MD03' in this case) indicates that this is market-depth row 3 (also note the related ID_Description field).

BidCount and AskCount indicate how many separate trade orders there are for this particular bid/ask level. These fields are only available in IQFeed 6.2 or newer.

BidSizeRatio and AskSizeRatio are the relative fraction of bid/ask size in this particular bid/ask level. For example, if the total sum of BidSize in all the reported levels is 1000 and a particular level has BidSize=23, then BidSizeRatio will be 0.023. Note that if you limit the reported levels (using the NumOfEvents and MaxLevels parameters), this will affect the total sum of bid/ask sizes in the calculation of the SizeRatio fields.

Each incoming market depth message provides information on a single Level 2 data row. IQFeed’s messages arrive at a random, unsorted, unpredictable order in two groups: first the messages that define the current (snapshot) baseline of all rows, then update messages for individual rows when traders add, cancel or modify orders.

Depending on the requested Symbol, IQFeed may report 5 to 15 market-depth rows. To ensure that all baseline data rows are received, set NumOfEvents and MaxLevels parameters to at least the total number of rows expected for the Symbol. For example:

>> data = IQML('marketdepth','symbol','@ES#','NumOfEvents',999,'MaxLevels',15)
data =
15×1 struct array with fields:
Symbol
Bid
Ask
...

The returned struct array can be converted into a Matlab table object, as follows:42

>> struct2table(data)
ans =
15×18 table
Symbol Bid Ask BidSize AskSize BidTime ...
______ _______ _______ _______ _______ _________________
'@ES#' 2927.25 2927.5 58 121 '03:21:25.213504'
'@ES#' 2927 2927.75 78 111 '03:21:22.040253'
'@ES#' 2926.75 2928 94 129 '03:21:15.037291'
'@ES#' 2926.5 2928.25 95 107 '03:21:04.023779'
'@ES#' 2926.5 2928.75 104 184 '03:42:19.025285'
'@ES#' 2926.25 2929 123 181 '03:42:43.020801'
'@ES#' 2926 2929.25 137 127 '03:43:01.042949'
'@ES#' 2925.75 2929.5 86 135 '03:42:01.029094'
'@ES#' 2925.5 2929.75 183 161 '03:42:02.021818'
'@ES#' 2925.25 2930 152 382 '03:42:07.003202'
...

Alternatively, you can also receive the results directly in table format, using the OutputFormat parameter (see §3.5):

>> data = IQML('marketdepth', ..., 'OutputFormat','table');

If your IQFeed account is not authorized/subscribed for Level 2 data, you will receive an error message whenever you request market depth data:43

Account not authorized for Level II

If your IQFeed account is authorized for Level 2 data but not for a certain exchange, you will receive an error message when requesting market depth info from that exchange:

>> data = IQML('marketdepth', 'Symbol','IBM') % not subscribed to NYSE Level2

Error using IQML
Symbol 'IBM' was not found!

Note: IQFeed often reports an error that the requested symbol was not found, even when this is not the case! This is probably due to a bug on IQFeed’s servers. In such cases, if you are certain that you are indeed subscribed to the corresponding Level 2 data and that it should exist for the requested symbol, simply pause a few seconds and then resubmit your query. Here is a code snippet for retrying the query up to 5 times:

tries = 5;
while tries > 0
try
data = IQML('marketdepth', ...);
break % successful fetch – exit the retry loop
catch err
if tries == 1 % failed 5 attempts
rethrow(err); % give up and rethrow the original error
end
tries = tries – 1;
pause(2.0); % pause 2 secs before retrying the fetch query
end
end

4.4.2 Detailed quotes in IQFeed 6.2 or newer

If you are using IQFeed client/protocol 6.2 or newer, you can request detailed insight into the various price levels using the Detailed parameter (default: false). When Detailed is set to true or 1, the price levels’ components are reported: the constituent orders (for futures), or the top market maker quotes (for equities):

>> data = IQML('marketdepth', 'Symbol','@ES#', 'Detailed',1, ...
'OutputFormat','table', 'MaxLevels',999)
data =
211×18 table
Symbol Bid Ask BidSize AskSize BidTime ...
______ _______ _______ _______ _______ _________________
'@ES#' 3868.25 3871.5 2 1 '08:01:21.390568'
'@ES#' 3867.75 3871.5 2 1 '07:53:00.399083'
'@ES#' 3867.25 3874.5 1 10 '08:04:28.829508'
'@ES#' 3865.75 3876 1 1 '07:44:45.468775'
'@ES#' 3865.5 3876.25 2 2 '04:06:45.172317'
'@ES#' 3864 3879.25 3 1 '04:06:36.324680'
'@ES#' 3862.25 3880.75 2 1 '03:56:05.241568'
'@ES#' 3862.25 3881 2 2 '04:23:28.283821'
'@ES#' 3860 3881.25 1 10 '03:37:42.519913'
'@ES#' 3860 3882.5 2 2 '03:55:39.598845'
'@ES#' 3860 3887.25 5 1 '21:53:56.596841'

For futures, the returned data will include the order IDs of the constituent trade orders (in the BidOrderID, AskOrderID fields) as well as their relative priority (in BidPriority and AskPriority fields). For example:

>> table2struct(data(1,:))
ans =
struct with fields:
Symbol: '@ES#'
Bid: 3868.25
Ask: 3871.5
BidSize: 2
AskSize: 1
BidTime: '08:01:21.390568'
AskDate: '2021-02-22'
AskTime: '08:04:46.779352'
BidInfoValid: 1
AskInfoValid: 1
BidPriority: 9996864447
AskPriority: 9996874599
Condition: 52
Condition_Description: 'regular'
BidOrderID: 647979156407
AskOrderID: 647981205874
BidSizeRatio: 0.00118133490844654
AskSizeRatio: 0.00515463917525773

In the case of equities, the top market-maker quotes will be reported, in this case with BidMMID, AskMMID fields instead of BidOrderID, AskOrderID). Only the top quotes for each market maker is reported (market width):44

>> data = IQML('marketdepth', 'Symbol','MSFT', 'Detailed',1, 'MaxLevels',999)
data =
32×1 struct array with fields:
Symbol
Bid
Ask
...

>> data(1)
ans =
struct with fields:
Symbol: 'MSFT'
Bid: 234.13
Ask: 234.15
BidSize: 100
AskSize: 227
BidTime: '13:01:43.019850'
AskDate: '2021-02-22'
AskTime: '13:01:43.004548'
BidInfoValid: 1
AskInfoValid: 1
BidPriority: 1
AskPriority: 1
Condition: 52
Condition_Description: 'regular'
BidMMID: 'BATS'
AskMMID: 'NSDQ'
BidMMID_Description: 'CBOE TRADING, INC.'
AskMMID_Description: 'Nasdaq Execution Services, LLC.'
BidSizeRatio: 0.0188679245283019
AskSizeRatio: 0.0512762593178225

Note that the rows are sorted by descending Bid and ascending Ask, such that BATS may appear as the top price level for Bid (as in the snippet above), but only in row #2 for Ask. This can be understood by viewing the data in table format:

>> data = IQML('marketdepth', 'Symbol','MSFT', 'Detailed',1, ...
'OutputFormat','table', 'MaxLevels',999)
data =
32×18 table
Symbol Bid Ask BidSize AskSize ... BidMMID AskMMID ...
_______ ______ ______ _______ _______ _______ _______
'MSFT' 234.13 234.15 100 227 'BATS' 'NSDQ'
'MSFT' 234.13 234.16 200 100 'NSDQ' 'BATS'
'MSFT' 234.11 234.49 1000 100 'IEXX' 'BOSX'
'MSFT' 225.22 235.44 100 100 'BOSX' 'IEXX'
'MSFT' 225.22 242.38 100 100 'VIRT' 'SSUS'
'MSFT' 225.19 244.63 100 100 'SSUS' 'CINN'
'MSFT' 224.96 245.14 100 100 'CINN' 'VIRT'
'MSFT' 220.74 247.08 100 100 'SGAS' 'SGAS'
'MSFT' 218.41 252.91 1000 1000 'ADAM' 'ADAM'
'MSFT' 218.41 252.91 100 100 'BARD' 'BARD'
'MSFT' 218.41 252.91 100 100 'BMOC' 'BMOC'
'MSFT' 218.41 252.91 100 100 'CSTI' 'CSTI'
...

Also note that for equities, IQFeed returns market width (not depth) data – the top bid/ask row (but not order-book depth) for each market maker that trades the equity.

Using the reported Level 2 data from different market makers enables arbitrage trading: buying a security from market maker A (who offers the lowest Ask price) and selling to market maker B (who offers the highest Bid price).

Note that depending on the time of your query you may receive a different set of market-makers, between 0 and dozens of market maker rows. Market makers who do not have any valid Bid/Ask are not reported by default. If you wish to receive Level 2 quotes even when they are empty (invalid Bid and Ask), set the IncludeEmptyQuotes parameter to true or 1 (default value: false). For example:

>> IQML('marketdepth', 'symbol','MSFT', 'NumOfEvents',70, ...
'IncludeEmptyQuotes',true, 'OutputFormat','table')
ans =
67×14 table
Symbol Bid Ask BidSize AskSize BidTime Date ...
______ ______ _______ _______ _______ _________________ ____________
'MSFT' 0 0 0 0 '99:99:99.000000' '2019-05-01'
'MSFT' 0 0 0 0 '99:99:99.000000' '2019-05-01'
'MSFT' 0 129.39 0 600 '18:29:49.000347' '2019-05-01'
'MSFT' 127.91 130.09 100 100 '04:03:41.004392' '2019-05-02'
...

4.4.3 Detailed quotes in IQFeed 6.1 or older

In IQFeed client/protocol 6.1 or older, the Detailed parameter is ignored:

Futures are always reported without detail. In other words, each price level displays the summary of all constituent trade orders for that price, without details of the constituent orders (market depth).

Equities are always reported with detail. In other words, each price level displays the top bid/ask quotes of a different market maker (market width).45

For example:

>> data = IQML('marketdepth', 'symbol','MSFT', 'NumOfEvents',50)
data =
5×1 struct array with fields:
...

>> data(1)
ans =
struct with fields:
Symbol: 'MSFT'
Bid: 0
Ask: 129.39
BidSize: 0
AskSize: 600
BidTime: '18:29:49.000347'
Date: '2019-05-01'
AskTime: '99:99:99.000000'
BidInfoValid: 0
AskInfoValid: 1
Condition: 52
Condition_Description: 'regular'
ID: 'BATS'
ID_Description: 'CBOE TRADING, INC.'
BidSizeRatio: 0
AskSizeRatio: 0.12

>> data(2)
ans =
struct with fields:
Symbol: 'MSFT'
Bid: 127.91
Ask: 130.09
BidSize: 100
AskSize: 100
BidTime: '04:03:41.004392'
Date: '2019-05-02'
AskTime: '04:17:07.020285'
BidInfoValid: 1
AskInfoValid: 1
Condition: 52
Condition_Description: 'regular'
ID: 'NSDQ'
ID_Description: 'Nasdaq Execution Services'
BidSizeRatio: 0.02
AskSizeRatio: 0.02

>> struct2table(data)
ans =
4×16 table
Symbol Bid Ask BidSize AskSize BidTime Date ...
______ ______ ______ _______ _______ _________________ ____________
'MSFT' 0 129.39 0 600 '18:29:49.000347' '2019-05-01'
'MSFT' 127.91 130.09 100 100 '04:03:41.004392' '2019-05-02'
'MSFT' 127.54 127.98 200 4800 '19:53:35.049950' '2019-05-01'
'MSFT' 127.97 128.71 100 100 '04:17:13.037004' '2019-05-02'
...

In this example, which was ran outside regular trading hours (early morning of 2019-05-02), BATS reported a valid Ask from the previous evening, but no valid Bid. The other market makers (NSDQ, etc.) reported both valid Bid and Ask. Note that the reported BidTime is a valid time whereas AskTime is not (rather than the opposite, as would be expected, since only Ask is valid). This is apparently a bug in IQFeed 6.1’s data.46

As noted above, depending on the time of your query you may receive a different set of market-makers, between 0 and dozens of market maker rows. Market makers who do not have any valid Bid/Ask are not reported by default. If you wish to receive Level 2 quotes even when they are empty (invalid Bid and Ask), set the IncludeEmptyQuotes parameter to true or 1 (default value: false). For example:

>> IQML('marketdepth', 'symbol','MSFT', 'NumOfEvents',70, ...
'IncludeEmptyQuotes',true, 'OutputFormat','table')
ans =
67×16 table
Symbol Bid Ask BidSize AskSize BidTime Date ...
______ ______ _______ _______ _______ _________________ ____________
'MSFT' 0 0 0 0 '99:99:99.000000' '2019-05-01'
'MSFT' 0 0 0 0 '99:99:99.000000' '2019-05-01'
'MSFT' 0 129.39 0 600 '18:29:49.000347' '2019-05-01'
'MSFT' 127.91 130.09 100 100 '04:03:41.004392' '2019-05-02'
...

4.4.4 Common parameters

The following parameters affect market depth queries with all IQFeed client versions:

Note: Market Depth (Level 2) data is only available in the Professional IQML license.

4.5 Greeks, fair value, and implied volatility

Extra data can be fetched (calculated) for asset options using the 'greeks' action:

Greeks (Delta, Vega, Theta, Rho, Gamma etc.)

Fair value for the derivative and the difference vs. actual trading price

Implied volatility based on the fair vs. trading prices

>> data = IQML('greeks', 'symbol','IBM1814L116')
data =
Symbol: 'IBM1814L116'
Asset_Name: 'IBM DEC 2018 C 116.00'
Strike_Price: 116
Expiration_Date: '12/14/2018'
Days_To_Expiration: 30
Inferred_Asset_Side: 'Call'
Underlying_Symbol: 'IBM'
Underlying_Asset_Name: 'INTERNATIONAL BUSINESS MACHINE'
Underlying_Spot: 121.3
Underlying_Historic_Volatility: 37.1
Assumed_Risk_Free_Rate: 0
Assumed_Dividend_Yield: 0
Asset_Fair_Value: 8.1193
Asset_Latest_Price: 7.05
Asset_Price_Diff: 1.0693
Implied_Volatility: 0.28242
Volatility_Used_By_Greeks: 0.371
Delta: 0.68197
Vega: 0.12404
Theta: -0.076697
Rho: 6.1318
CRho: 6.7992
Omega: 10.189
Lambda: 10.189
Gamma: 0.027646
Vanna: -0.3527
Charm: 0.0021809
Vomma: 5.8043
Veta: 2.4262
Speed: -0.0012419
Zomma: -0.061581
Color: -0.00038078
Ultima: -45.238
Annual_Factor_Used: 365
This_Asset_Latest_Quote: [1×1 struct]
Underlying_Latest_Quote: [1×1 struct]
This_Asset_Fundamentals: [1×1 struct]
Underlying_Fundamentals: [1×1 struct]

The reported Matlab struct contains a few fields with basic information on the derivative and its underlying, followed by fair-value, implied volatility and Greek values.

At the bottom of the returned data-struct, four sub-structs provide direct access to the latest quotes data (§4.1, for example data.This_Asset_Latest_Quote.Total_Volume) and fundamenta data (§4.2, for example data.Underlying_Fundamentals.Average_Volume), for both the option asset and its underlying stock.

Note that the returned quotes data is subject to the Fields parameter value that was set in the most recent quotes data query (see §4.1). If the most recent Fields value does not include pricing data (Most_Recent_Trade, Bid, Ask, Last, or Close fields), then some returned data fields (for example Asset_Price_Diff and Implied_Volatility) will be empty.

The following Greek values are reported by IQML:

You can request data for multiple symbols at the same time, in a single IQML command, by specifying the symbols using a colon-delimited string or a cell-array. For example:

>> data = IQML('greeks', 'symbols',{'IBM1814L116','IBM1814X116'});

>> data = IQML('greeks', 'symbols','IBM1814L116:IBM1814X116'); % equivalent

The result will be an array of Matlab structs that correspond to the requested symbols:

data =
2×1 struct array with fields:
Symbol
Asset_Name
Strike_Price
...

If you have Matlab’s Parallel Computing Toolbox, set the UseParallel parameter to true (or 1) to process the Greeks query for the specified symbols in parallel (see §3.6):

>> data = IQML('greeks', 'symbols',{'IBM1814L116','IBM1814X116'}, ...
'UseParallel',true);

Notes:

Greeks and related derivative data (the the 'greeks' action in general) are only available in IQML Professional and trial licenses, not in the Standard license.

Greeks, fair-price and implied vol values are computed by IQML on your local computer. They are NOT provided by IQFeed, and are NOT approved by DTN.

There is a performance impact: the calculations require some data fetches from IQFeed. These extra fetches and calculations may take up to 0.3-1 secs per query, depending on CPU, IQFeed round-trip latency, and the specific parameters.

The calculations assume vanilla European-style options using Black-Scholes-Merton’s model.48 Using IQML’s calculations with other derivatives (American/ Asian/barrier/exotic options etc.) may result in incorrect/misleading values.

There are various possible ways to estimate implied volatility from the option’s trading price and fair value. IQML uses a standard Newton-Raphson iterative approximation method; other methods may result in slightly different values.

Certain fields sometimes report invalid values. For example, Implied_Volatility may contain –Inf or +Inf when the Newton-Raphson algorithm fails to converge to a valid value. Likewise, some Greeks may contain a NaN value in certain cases (for example, a contract so far out-of-the-money that it has no trading price).

Some Greeks are also known by other names: Vega is sometimes called Kappa; Vomma is also known as Volga or vega convexity; Omega is also called Lambda or elasticity; Charm is also known as delta decay; and Color as gamma decay.

Various sources/systems calculate Greeks in different manners. For example, Vega, Rho, Veta and Ultima values are sometimes divided by 100 (but not in IQML); Theta, Charm, Veta and Color are sometimes annualized and sometimes divided by a representative number of days per year (365/364/360/253/252) to provide 1-day estimates (customizable in IQML, 365 by default);49 The foreign rate/dividends yield is ignored by some sources and included by others in the calculations; Some sources report Color as the positive rate of change of Gamma relative to maturity time, while others report it as the negative rate of change.50 In addition, some sources apparently have buggy math implementations.51 The result is that different sources provide different Greek values for the same inputs. IQML’s values are basically identical to those of Matlab’s Financial Toolbox, NAG and Maple.52 Unfortunately, IQFeed’s standalone Option Chains utility reports different values. IQML adheres to the core math formulae53 and we believe that IQML provides mathematically-accurate results. However, the discrepancy between the values reported by different systems means that you must carefully ensure that IQML’s reported values fit your needs and expectations.

By default, IQML uses the derivative’s fundamental data and default 0% rates in its calculations. You can override these defaults using the following optional parameters:

UnderlyingSymbol – by default this is the Asset_Name’s first string token, or the first portion of Symbol. For example, for IBM1814L116, Asset_Name='IBM DEC 2018 C 116.00' so Underlying_Symbol is set to 'IBM' (the first token in the Asset_Name); for @BOF20P28500 the Underlying_Symbol is set to '@BOF20' (Soybean Oil Jan 2020 Future).54 To check the auto-inferred UnderlyingSymbol, check the Underlying_Asset_Name field in the returned data. The Underlying_Symbol value can be overrriden using the UnderlyingSymbol parameter. For example, you could specify that the underlying symbol for Greeks computation of GOOG1816K1000 is not the default 'GOOG' (Alphabet Inc Class C), but rather 'GOOGL' (Class A).

Side – by default, the option side ('Call' or 'Put') is determined by IQML from the derivative contract’s Asset_Name. For example, for IBM1814L116, Asset_Name='IBM DEC 2018 C 116.00', which is automatically inferred to be a Call option. You can override the inferred side for contracts that have a non-standard Asset_Name (or one which is not properly reported by IQFeed in its Fundamental Data message) that IQML cannot properly analyze.

HistoricVolatility – this is usually reported by IQFeed in the underlying asset’s fundamental data (data.Underlying_Fundamentals.Historical_Volatility) and this is used in IQML by default. Instead of this reported value, you can specify another value (for example, the S&P 500 volatility), as a fixed percent value.

UseImpliedVolatility – by default, IQML uses HistoricVolatility to calculate Greek values. Set UseImpliedVolatility to 1 or true to calculate Greeks using the Implied_Volatility instead (this may be useful for some commodities).

RiskFreeRate – this is the domestic risk-free rate. IQML uses 0% by default; you can specify any other fixed percentage rate (based on e.g. LIBOR55 or T-bill56).

DividendsYield – this is the underlying asset’s dividend yield. IQML uses 0% by default; you can specify any other fixed percentage value. In the context of Forex currencies, this value may represent the foreign risk-free (carry) rate.

DaysToExpiration – by default, IQML determines the duration until contract expiry (maturity) based on its Expiration_Date. This duration can be set to any positive number of days (not necessarily an integer value).

AnnualFactor – by default, IQML normalizes the reported Theta, Charm, Veta and Color values by dividing the computed annualized value by 365 in order to provide 1-day estimates. You can override this scaling factor to any positive number. Setting a value of 1 provides annualized results (i.e., not 1-day estimates), as reported by Matlab’s Financial Toolbox, NAG and Maple. For various uses you could also use other factors such as 364, 360, 253, 252, 12 or 4.

Here is a usage example with some non-default parameters:

>> data = IQML('greeks', 'symbol','IBM1814L116', 'DaysToExpiration',13.5, ...
'RiskFreeRate',2.5, 'DividendsYield',3.2, 'AnnualFactor',1)

The following parameters affect Greeks data queries:

Note: The Greeks functionality is only available in the Professional and trial IQML licenses, not in the Standard license.

4.6 Market summary data and scanner

All the queries described so far in this chapter return data for individually-specified Symbols. We can retrieve a complete market snapshot of all traded securities of a specific SecType and Exchange, using a 'summary' query:

>> data = IQML('summary') % latest 5-minute data for all NYSE equities
data =
4749×1 struct array with fields:
Symbol
Exchange
Type
Last
TradeSize
TradedMarket
TradeDate
TradeTime
Open
High
Low
Close
... (total of 28 data fields)

>> data(1)
ans =
struct with fields:
Symbol: 'A'
Exchange: 7
Type: 1
Last: 72.5315
TradeSize: 5
TradedMarket: 5
TradeDate: 20190711
TradeTime: 103502
Open: 73.77
High: 73.78
Low: 72.5315
Close: 73.37
Bid: 72.51
BidMarket: 18
BidSize: 200
Ask: 72.54
AskMarket: 5
AskSize: 100
Volume: 257497
PDayVolume: 1785225
UpVolume: 84799
DownVolume: 80276
NeutralVolume: 92422
TradeCount: 2371
UpTrades: 733
DownTrades: 832
NeutralTrades: 806
VWAP: 73.1309

This query shows that 4749 equities are currently trading on NYSE.58 This data is daily (i.e., the cummulative day’s Open/High/Low/Volume etc.), and is updated on IQFeed’s servers every 5 minutes. DTN says that “the timing of the snapshot is not guaranteed, but data will be gathered every 5 minutes”. Therefore, you should assume for safety that the data is up to 5 minutes old. To get the latest data, use real-time snapshot (§4.1) and fundamental (§4.2) queries, or streaming quotes (§6.1).

The default DataType parameter value ('snapshot') fetches trading data. To fetch a market summary of fundamental data, set DataType='fundamental'. For example:

>> data = IQML('summary', 'DataType','fundamental')
data =
4749×1 struct array with fields:
Symbol
Description
PeRatio
AvgVolume
... (total of 41 data fields)

>> data(1)
ans =
struct with fields:
Symbol: 'A'
Description: 'AGILENT TECHNOLOGIES'
PeRatio: 21
AvgVolume: 1908
DivYield: 0.89
DivAmount: 0.164
DivRate: 0.656
PayDate: 20190724
ExDivDate: 20190701
CurrentEps: 3.5
SIC: 3825
Precision: 4
Display: 14
GrowthPercent: -0.14
FiscalYearEnd: 20181001
Volatility: 16.5
ListedMarket: 7
OptionRoots: 'A'
InstitutionalPercent: 86.905
YearEndClose: 67.46
Beta: 1.35
Assets: 3848
Liabilities: 1171
BalanceSheetDate: 20190430
LongTermDebt: 1799
CommonSharesOutstanding: 315993
MarketCap: 23184
x52WeekHigh: 82.27
x52WeekHighDate: 20190321
x52WeekLow: 61.01
x52WeekLowDate: 20181024
CalHigh: 82.27
CalHighDate: 20190321
CalLow: 62
CalLowDate: 20190103
LastSplit: []
LastSplitDate: []
PrevSplit: []
PrevSplitDate: []
NAICS: 334516
ShortInterest: 4130628

You can control the query using the DataType (default: 'snapshot'), SecType (default: 'equity') and/or Exchange (default: 'NYSE') parameters:

>> data = IQML('summary', 'SecType','bond', 'Exchange','NYSE', ...
'DataType','fundamental');

>> struct2table(data)
ans =
6326×11 table

Symbol Description Precision Display ListedMarket MaturityDate CouponRate ...
___________ __________________________________________ _________ _______ ____________ ____________ __________
'A20.CB' 'AGILENT TECHNOLOGIES INC. 5.0% SR NTS' [] 12 7 20200715 [] ...
'A23.CB' 'AGILENT TECHNOLOGIES INC. 3.875% 07/15/2' [] 12 7 20230715 3.875
'A26.CB' 'AGILENT TECHNOLOGIES INC 3.05 09/22/2026' [] 12 7 20260922 3.050
'AA.28.CB' 'ALUMINUM CO OF AMERICA 6.75% NTS 1/15/28' [] 12 7 20280115 []
'AA20.CB' 'ALCOA INC. 6.15% SR NTS' [] 12 7 20200815 []
'AA21.CB' 'ALCOA INC. 5.4% SR NTS' [] 12 7 20210415 []
'AA22.CB' 'ALCOA INC NT 5.87%' [] 12 7 20220223 []
'AA24.CB' 'ALCOA INC 5.125% 10/01/2024' [] 12 7 20241001 []
'AA27.CB' 'ALCOA INC 5.9% NTS 2/1/27' [] 12 7 20270201 5.900
'AA37.CB' 'ALCOA INC 5.95% NTS 2/1/37' [] 12 7 20370201 5.950
'AAP20.CB' 'ADVANCE AUTO PARTS INC. 5.75%' [] 12 7 20200501 []
'AAP22.CB' 'ADVANCE AUTO PARTS INC 4.5%' [] 12 7 20220115 []
'AAP23.CB' 'ADVANCE AUTO PARTS 4.5 12/01/23' 2 12 7 20231201 []
'AAPL22.CB' 'APPLE INC 1.00% NOTES 22' [] 0 7 20221110 []
...

Note that there is no Symbol parameter in a 'summary' query – data for all the symbols that match the specified SecType and Exchange is returned. For historic market summaries, add the Date parameter (see §5.6 for details).

By default, only data fields that contain information are returned. For example, in the snapshot query for equities, only 28 of 35 data fields are reported; 7 fields are removed from the returned struct array since they contain an empty ([]) value for all securities: MutualDiv, SevenDayYield, OpenInterest, Settlement, SettlementDate, ExpirationDate, Strike.59 Similarly, 3 additional fields (High, Low and VWAP) are not reported for bonds (only 25 fields contain information). To include all these fields (with their empty data values) in the reported data, set the ReportEmptyFields parameter to true (or 1):

>> data = IQML('summary', 'ReportEmptyFields',true)
data =
4749×1 struct array with fields:
Symbol
Exchange
... (total of 35 data fields)

>> data(1)
ans =
struct with fields:
Symbol: 'A'
...
NeutralTrades: 806
VWAP: 73.1309
MutualDiv: []
SevenDayYield: []
OpenInterest: []
Settlement: []
SettlementDate: []
ExpirationDate: []
Strike: []

Likewise, with a 'fundamental' query, only 41 of 47 possible fields are reported for equities (EstEps, MaturityDate, CouponRate, LEAPs, WRAPs and Expiration fields are not reported);60 for bonds only 11 fields are reported (Symbol, Description, Precision, Display, ListedMarket, MaturityDate, CouponRate, x52WeekHigh, x52WeekHighDate, x52WeekLow and x52WeekLowDate), while 36 other fields are not. As before, to include these fields (with their empty data values) in the reported data, set ReportEmptyFields to true (or 1).

Market summary queries can take a long time to download data, depending on amount of data and your computer speed. To ensure the query does not time-out before completing the download, the default Timeout value for summary queries is set to 300 secs, unlike other queries (5 secs). In some cases, you may need to specify an even larger Timeout.

To reduce processing time, numeric codes (e.g., Exchange, TradedMarket and NAICS) are not interpreted into textual form, unlike the corresponding real-time snapshot (§4.1) and fundamental (§4.2) queries. Use a lookup query (§8) to fetch a description of such codes.

The returned data can be filtered based on multiple criteria, effectively serving as a market scanner (for the latest data by default, or for any other historic date). This is done by setting the Filter parameter to the relevant criteria. For example, to return all NYSE equities whose latest market capitalization is larger than $5Bn, we set a condition on the MarketCap data field (which reports values in $Mn, so $5Bn=5000):

data = IQML('summary', 'SecType','Equity', 'DataType','fundamental', ...
'Exchange','NYSE', 'Filter','MarketCap>5000');

This query only returns 1398 equities, compared to the unfiltered 4749. Multiple filter criteria can be specified using a cell-array. For example (this returns just 100 equities):

data = IQML(..., 'Filter',{'MarketCap>5000','PeRatio<9'}); %all criteria req'd

Multiple filter criteria are AND’ed, meaning that all of the criteria conditions must be met for a security to be reported. Instead of a cell-array of separate criteria, you can combine all the conditions in a single filter criterion, separated by the & operator:61

data = IQML(..., 'Filter','MarketCap>5000 & PeRatio<9'); %all criteria req'd

If you need an OR condition (e.g., Market-cap>$5B or P/E<9), use the | operator:62

data = IQML(..., 'Filter','MarketCap>5000 | PeRatio<9'); %any criteria req'd

In general, any Matlab expression (arithmetic, function etc.) that involves reported data field(s) and results in a scalar logical value is an acceptable Filter critera. For example:

data = IQML(..., 'Filter','log(MarketCap/1000) + 2*PeRatio > 25');

Criteria conditions are case-sensitive and must use exactly the same field names as the reported data fields, otherwise the criteria will be ignored. For example:

data = IQML(..., 'Filter','marketcap>5000');

Warning: ignoring bad summary filter 'marketcap>5000': Unrecognized function or variable 'marketcap'
(Type "warning off IQML:summary:filter" to suppress this warning.)

Whenever any field is included in a Filter condition, securities that do not have data for that field (have an empty [] value) will automatically be filtered out of the returned data – they are considered to have failed the entire condition, even if it was only a part of an or condition. For example, if your filter condition is MarketCap>5000, then securities that have MarketCap=[] (i.e. unknown) will not be reported.

Note: the data filtering operation is not done at the data source (IQFeed) but in IQML, after downloading the entire (unfiltered) data from IQFeed. Therefore, filtered queries always take longer to process than regular (unfiltered) summary queries. Filtering is vectorized, so the extra filtering time is usually negligible compared to the data download.

Note: Market summaries are only available with IQFeed client 6.1 or newer, and only if you are subscribed to the requested data at DTN and there is a relevant data for download (summary data is only available for some combinations of SecType and Exchange). In all other cases, you may receive an error such as one of the following:

The 'summary' query is only supported by IQFeed client 6.1 or newer; you are using version 6.0.

IQML market summary query error: 50004,User not authorized for market summary file requested.

IQML market summary query error: 50007,No file available.

A related mechanism for fetching pre-filtered market scans for a select number of Exchanges and Filters is available by setting DataType='Top'. This scanner type does not depend on DTN subscription or IQFeed 6.1, and is much faster than snapshot queries. However, it is limited to just 13 predefined filters and 3 US exchanges (AMEX, NYSE, NASDAQ), only supports equities, does not provide historic data, and returns only up to top 50 matching equity symbols63 with a few relevant data fields (far fewer fields than the snapshot queries), updated every 5 minutes during the trading day:

>> data = IQML('summary', 'DataType','top', 'Exchange','NYSE', 'Filter','active')
data =
50×1 struct array with fields:
...

>> data(1)
ans =
struct with fields:
Last_Update_Time: '2019/07/12 16:25 EST'
Exchange: 'NYSE'
Symbol: 'ABEV'
Company_Name: 'AMBEV S.A.'
Last_Price: 4.84
Previous_Price: 4.95
Price_Change_Dollars: -0.11
Price_Change_Percent: -2.222
Last_Volume: 50633779
Previous_Volume: 27402071
Volume_Change_Percent: 84.78

Several Filter types return additional data fields, depending on the filter. For example:

>> data = IQML('summary', 'DataType','top', 'Filter','volume spike');
>> data(1)
ans =
struct with fields:
Last_Update_Time: '2019/07/16 16:25 EST'
Exchange: 'NYSE'
Symbol: 'CPE'
Company_Name: 'CALLON PETROLEUM'
Last_Price: 5.73
Previous_Price: 5.38
Price_Change_Dollars: 0.35
Price_Change_Percent: 6.506
Last_Volume: 55574971
Previous_Volume: 57244474
Volume_Change_Percent: -2.92
Average_Volume: 8296000
Volume_vs_Avg_Change_Percent: 569.9

Here’s another example – top NASDAQ equities with last price lower than their VWAP:

>> data = IQML('summary', 'DataType','top', 'Exchange','NASDAQ', ...
'Filter','vwap % down');
>> data(1)
ans =
struct with fields:
Last_Update_Time: '2019/07/16 16:25 EST'
Exchange: 'NASDAQ'
Symbol: 'IMRN'
Company_Name: 'IMMURON LTD ADR'
Last_Price: 4.3
Previous_Price: 2.93
Price_Change_Dollars: 1.37
Price_Change_Percent: 46.758
Last_Volume: 11022919
Previous_Volume: 4704
Volume_Change_Percent: 234230.76
VWAP: 5.427
Last_Minus_VWAP_Chng_Pct: -20.77

Note that the 'Top' query may return empty ([]) data for some combinations of Exchange and Filter on certain dates, depending on the market data and availability of the requested scanner on IQFeed’s servers.64 Also note that the reported data may by up to 5 minutes old during the trading day (depending on the query time).

The following table summarizes the differences between market summary query types:

The following parameters affect market summary data queries:

Note: market summary functionality is only available in the Professional IQML license

In addition to the market summary features above, IQFeed offers hundreds of market indices, stats, breadths and indicators using dedicated “virtual” symbols. In general, market indices have a suffix of .X (or .XO for CBOE indices),67 and calculated stats/indicators have a suffix of .Z.68 Their current and historic values can be queried in IQML just as any other symbol, subject to having the necessary DTN data subscription. Some examples for such symbols:

NDX.X – NASDAQ 100 index

SPX.XO – S&P 500 index

VIX.XO – Volatility index

TNX.XO – 10-year US T-Note

NASTRIN.Z – NASDAQ Composite index TRIN (trading index)

TIQD.Z – NASDAQ Composite index underlying issues ticks decreases

VILA.Z – LSE underlying issues shares volume increases

VCNED.Z – NYSE ARCA equity puts contracts volume decreases

DI6D.Z – S&P 500 issues Dollar volume decreases

JTFT.Z – FTSE 100 net tick total

RIRT.Z – Russell 2000 trading index (TRIN)

SCQIT.Z – NASDAQ index calls trading index (TRIN)

H30NL.Z – NYSE 30-day new lows

AI1T.Z – Dow Jones Industrial Average components’ average price

M200NA.Z – Percent of NYSE stock prices below their 200-day moving avg.

PREM.Z – E-mini S&P 500 market premium

FRNT.Z – NYSE new 52-week high/low ratio

IRGT.Z – NASDAQ Global Select increasing/decreasing issues ratio

JTQT.Z – NASDAQ net up-down ticks

JV6T.Z – S&P 500 net puts-calls volume

TCQID.Z – NASDAQ Composite index calls ticks decreases

IPCFA.Z – CBOE equity ETFs calls issues increases

OPNET.Z – NYSE equity (stocks + ETFs) calls open interest total

@EM.OI.Z or GLB.OI.Z – 1-month Eurodollar future open interest

@EM.VOL.Z or GLB.VOL.Z – 1-month Eurodollar future total volume