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Version 2.31 (2019-12-12)
 - [*.*] Fixed incompatibility with Matlab releases R2009a or older - [4.2] Fixed bug in parsing of reported date fields - [4.5] Added UseImpliedVolatility optional Greeks parameter
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‎IQML.m‎

Lines changed: 49 additions & 39 deletions
Original file line numberDiff line numberDiff line change
@@ -5,18 +5,19 @@
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%
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% Inputs:
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%
8-
% action (String) - one of: license,version,update,revert,doc,quotes,intervalbars,fundamental,greeks,news,history,summary,lookup,alert,chain,disconnect,reconnect,time,stats,command,log,marketdepth,regional
8+
% action (String) - one of: license,version,update,revert,doc,quotes,intervalbars,fundamental,greeks,news,history,summary,lookup,alert,chain,disconnect,reconnect,time,stats,command,log,marketdepth,regional,registry
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%
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% parameters - Matlab struct or XLS filename or parameter name/value pairs with the following optional parameters:
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%
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% Connection:
1313
% Username (String) the login ID for connecting to IQFeed via the client
1414
% Password (String) the password for connecting to IQFeed via the client
15+
% Protocol (Number) default=latest; the IQFeed API protocol number to be used
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%
1617
% Message processing (also see Logging section below):
1718
% Timeout (Number) default=5; max # of seconds to wait for a response to a blocking query (0=infinite)
1819
% Debug (Logical) default=0 or false; if true or 1, extra data will be displayed in Matlab console
19-
% AddPortStats (Logical) default=0 or false; if true or 1, extra port stats are streamed and returned when Action=stats
20+
% AddPortStats (Logical) default=0 or false; if true or 1, extra port stats are streamed and reported when Action=stats
2021
% MsgParsingLevel (Integer) default=2; amount of parsing for incoming IQFeed messages (0=minimal, 1=partial, 2=maximal)
2122
% ProcessFunc (function handle or struct) default=[]; if non-empty, this function is invoked upon every IQFeed message
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% RaiseErrorMsgs (Logical) default=1 or true; if true or 1, IQFeed error messages raise a Matlab error in blocking query
@@ -28,50 +29,58 @@
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% NumOfEvents (Integer) default=inf; max # of IQFeed messages to process in streaming (non-blocking) data mode
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% MaxItems (Integer) default=1; size of the reported buffer accumulating the latest streaming quotes/ticks
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% Fields (String or cell-array) list of data fields to be reported by IQFeed (default: 16 fields)
32+
% ClearBuffer (Logical) default=0 or false; if true or 1, internal cyclic quotes buffer is cleared when data is returned
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%
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% Interval bars:
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% Symbols (String :-delimited or cell-array) default=''; e.g., '@VX#' or 'IBM:GOOG' or {'IBM','GOOG'}
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% NumOfEvents (Integer) default=inf; max # of IQFeed messages to process in streaming (non-blocking) data mode
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% MaxItems (Integer) default=100; size of the reported buffer accumulating the latest streaming interval bars
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% IntervalSize (Integer) default=60; size of interval bars in specified or default units (seconds)
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% IntervalType (String) default='secs'; one of 'secs','volume','trades'
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% MaxDays (String) default=1; max number of days to be retrieved
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% IntervalType (String) default='secs'; one of 'secs','volume','trades'
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% IntervalSize (Integer) default=60; size of interval bars in specified or default units (seconds)
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% BeginFilterTime (String) default='00:00:00'; earliest bar time
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% EndFilterTime (String) default='23:59:59'; latest bar time
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% BeginDateTime (Integer or String) default=''; earliest bar date
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%
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% Market depth:
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% Symbols (String :-delimited or cell-array) default=''; e.g., '@VX#' or 'IBM:GOOG' or {'IBM','GOOG'}
47+
% NumOfEvents (Integer) default=inf; max # of IQFeed messages to process in streaming (non-blocking) data mode
48+
% IncludeEmptyQuotes (Logical) default=0 or false; if true or 1, Level 2 quotes with no Bid/Ask will also be reported
49+
%
50+
% Greeks:
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% Symbol (String) default=''; e.g., 'IBM1814L116'
52+
% UnderlyingSymbol (String) default=''; e.g., 'IBM'
53+
% Side (String) default=''; either 'Call' or 'Put'
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% HistoricVolatility (Number) default=-1; underlying asset's volatility (%)
55+
% UseImpliedVolatility (Logical) default=0 or false; if true or 1, the implied (not historic) volatility will be used to calculate Greeks
56+
% RiskFreeRate (Number) default=0; domestic risk-free rate (%)
57+
% DividendsYield (Number) default=0; underlying asset's dividends yield (%)
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% DaysToExpiration (Number) default=-1; days until the contract expires
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% AnnualFactor (Number) default=365; used to de-annualize Theta,Charm,Veta,Color
60+
%
61+
% Summary:
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% DataType (String) default='snapshot'; one of 'snapshot','fundamental','top'
63+
% Exchange (String) default='NYSE'; one of 'NYSE','NASDAQ','AMEX','CBOT',...
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% SecType (String) default='equity'; one of 'equity','bond','mutual fund',...
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% Date (Integer or String) default=now; end-of-day (or latest) data for this date (only!) will be fetched
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% ReportEmptyFields (Logical) default=0 or false; if true or 1, empty fields will be reported
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% Filter (String or cell-array) list of criteria to filter the returned data
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%
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% History:
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% DataType (String) default='day'; one of 'day','week','month','interval','ticks'
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% Symbol (String) default=''; e.g., '@VX#'
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% DataDirection (Integer) default=1; either 1 (oldest-to-newest, default) or -1 (newest-to-oldest)
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% MaxItems (Integer) default=100; returns up to the specified # of bars
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% BeginDate (Integer or String) default=[]; earliest bar date (only relevant if DataType=day/week/month)
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% EndDate (Integer or String) default=[]; latest bar date (only relevant if DataType=day)
50-
% IntervalSize (Integer) default=60; size of interval bars in seconds (only relevant if DataType=interval)
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% IntervalType (String) default='secs'; one of secs,volume,ticks (only relevant if DataType=interval)
77+
% IntervalSize (Integer) default=60; size of interval bars in seconds (only relevant if DataType=interval)
78+
% LabelAtBeginning(Logical) default=0 or false; if true or 1, 11:17:41 data is reported in '11:17' bar (otherwise: '11:18')
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% Days (Integer) default=1; # of calendar days to return, -1=all (only relevant if DataType=interval or ticks)
53-
% BeginDateTime (Integer or String) default=''; earliest bar date (only relevant if DataType=interval or ticks)
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% EndDateTime (Integer or String) default=''; latest bar date (only relevant if DataType=interval or ticks)
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% BeginFilterTime (String) default='00:00:00'; earliest bar time (only relevant if DataType=interval or ticks)
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% EndFilterTime (String) default='23:59:59'; latest bar time (only relevant if DataType=interval or ticks)
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%
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% Summary:
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% DataType (String) default='snapshot'; one of 'snapshot','fundamental','top'
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% SecType (String) default='equity'; one of 'equity','bond','mutual fund',...
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% Exchange (String) default='NYSE'; one of 'NYSE','NASDAQ','AMEX','CBOT',...
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% ReportEmptyFields (Logical) default=0 or false; if true or 1, empty fields will be reported
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% Filter (String or cell-array) list of criteria to filter the returned data
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% Date (Integer or String) default=now; end-of-day (or latest) data for this date (only!) will be fetched
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%
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% Greeks:
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% Symbol (String) default=''; e.g., 'IBM1814L116'
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% UnderlyingSymbol (String) default=''; e.g., 'IBM'
69-
% HistoricVolatility (Number) default=-1; underlying asset's volatility (%)
70-
% RiskFreeRate (Number) default=0; domestic risk-free rate (%)
71-
% DividendsYield (Number) default=0; underlying asset's dividends yield (%)
72-
% Side (String) default=''; either 'Call' or 'Put'
73-
% DaysToExpiration (Number) default=-1; days until the contract expires
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% AnnualFactor (Number) default=365; used to de-annualize Theta,Charm,Veta,Color
82+
% BeginDateTime (Integer or String) default=''; earliest bar date (only relevant if DataType=interval or ticks)
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% EndDateTime (Integer or String) default=''; latest bar date (only relevant if DataType=interval or ticks)
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%
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% News:
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% DataType (String) default='config'; one of 'config','headlines','story'
@@ -80,10 +89,10 @@
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% Date (Integer or String) default=[]; Date at which the news headline was published (or all dates, if empty)
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% NumOfEvents (Integer) default=inf; max # of headlines to process in streaming (non-blocking) data mode
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% MaxItems (Integer) default=inf; max # of headlines to be reported by IQFeed
92+
% GetStory (Logical) default=false; if true or 1, automatically fetch the full story text for each headline
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% ID (Integer) default=[]; news story ID
8494
% BeginDate (Integer or String) default=[]; earliest date at which the news items were published
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% EndDate (Integer or String) default=[]; latest date at which the news items were published
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% GetStory (Logical) default=false; if true or 1, automatically fetch the full story text for each headline
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%
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% Lookup:
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% DataType (String) default='symbols'; one of 'symbols','markets','sectypes','sic','naics','conditions'
@@ -94,19 +103,6 @@
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% Markets (Integers or Strings) default=[]; Limits results to those in the specified market (exchange) name(s) or code(s)
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% SecTypes (Integers or Strings) default=[]; Limits results to those with the specified security type(s)
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%
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% Alert:
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% Symbols (String :-delimited or cell-array) default=''; e.g., 'FB' or 'IBM:GOOG' or {'IBM','GOOG'}
99-
% Trigger (String) alert trigger condition; composed of data type, parameter, operator, value (e.g. 'quote bid > 7') (case insensitive)
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% AlertAction (String or function handle) default='display'; one of 'display','popup','email',function handle
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% NumOfEvents (Integer) default=1; max # of times to trigger the alert
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% AlertID (Numeric) the unique ID number assigned to each alert created, used for querying/editing/deleting existing alert
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% GetStory (Logical) default=true; if true or 1, automatically fetch the full story (not just headline) of news alerts when AlertAction='email'/callback
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% StartStream (Logical) default=false; if true or 1, automatically start data streaming
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% EmailRecipients (String :/,-delimited or cell-array of Strings); only relevant when AlertAction='email'
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% SmtpEmail (String) default='[email protected]'; sender address of email alerts. Only relevant if AlertAction='email'
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% SmtpServer (String) default='smtp.gmail.com'; sender SMTP server. Only relevant if AlertAction='email', SmtpEmail~=default
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% SmtpPassword (String) sender email password. Only relevant if AlertAction='email' and SmtpEmail~=default
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%
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% Chain:
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% Symbol (String) default=''; e.g., 'GOOG'
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% DataType (String) default='options'; one of 'options','futures','foptions','spreads'
@@ -121,9 +117,23 @@
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% NumInMoney (Integer) default=[]; only report this number of options in the money; only relevant if DataType='options'.
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% NumOutOfMoney (Integer) default=[]; only report this number of options out of money; only relevant if DataType='options'.
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%
120+
% Alert:
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% Symbols (String :-delimited or cell-array) default=''; e.g., 'FB' or 'IBM:GOOG' or {'IBM','GOOG'}
122+
% Trigger (String) alert trigger condition; composed of data type, parameter, operator, value (e.g. 'quote bid > 7') (case insensitive)
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% AlertAction (String or function handle) default='display'; one of 'display','popup','email',function handle
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% NumOfEvents (Integer) default=1; max # of times to trigger the alert
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% AlertID (Numeric) the unique ID number assigned to each alert created, used for querying/editing/deleting existing alert
126+
% GetStory (Logical) default=true; if true or 1, automatically fetch the full story (not just headline) of news alerts when AlertAction='email'/callback
127+
% StartStream (Logical) default=false; if true or 1, automatically start data streaming
128+
% EmailRecipients (String :/,-delimited or cell-array of Strings); only relevant when AlertAction='email'
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% SmtpEmail (String) default='[email protected]'; sender address of email alerts. Only relevant if AlertAction='email'
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% SmtpServer (String) default='smtp.gmail.com'; sender SMTP server. Only relevant if AlertAction='email', SmtpEmail~=default
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% SmtpPassword (String) sender email password. Only relevant if AlertAction='email' and SmtpEmail~=default
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%
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% Custom IQFeed command:
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% String (String) default=''; command to be sent to IQFeed
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% PortName (String) default='Level1'; one of 'Level1','Level2','Admin'
136+
% ProcessFunc (Function handle) custom user callback function to process incoming IQFeed data messages
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%
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% Logging:
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% Path (String) default=''; Path of folder containing the log file

‎IQML.p‎

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‎IQML_User_Guide.pdf‎

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‎changelog.log‎

Lines changed: 14 additions & 1 deletion
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2.31 (2019-12-12)
2+
- [*.*] Fixed incompatibility with Matlab releases R2009a or older
3+
- [4.2] Fixed bug in parsing of reported date fields
4+
- [4.5] Added UseImpliedVolatility optional Greeks parameter
5+
6+
2.30 (2019-12-08)
7+
- [4.2] Improved processing speed of fundamental data queries
8+
- [4.5] Improved resiliency of Greeks query to data problems (e.g. missing data)
9+
- [5.*] Improved processing speed of historic data queries
10+
- [8.1] Improved processing speed of symbol lookup queries
11+
- [9.3] Fixed an edge-case problem with some client stats queries
12+
- [11.2] Added support for regional update alerts and for the 'contains' operator
13+
114
2.29 (2019-11-21)
215
- [2.2] Clarified activation error messages in deployed programs
316
- [2.2] Improved activation resiliency to temporary network hickups
417
- [2.2] Improved activation resiliency to MacOS-induced hostname changes
518
- [2.4] Skip version update check in deployed (compiled) environments
619
- [4.1] Improved processing speed of quotes queries with Fields parameter
7-
- [4.2] Added SIC, NAICS sector classification data in fundamental data queries
20+
- [4.2] Added SIC and NAICS sector classification data in fundamental data queries
821
- [9.1] Improved report of port conflicts with other programs in deployed programs
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2.28 (2019-11-09)

‎functionSignatures.json‎

Lines changed: 16 additions & 13 deletions
Original file line numberDiff line numberDiff line change
@@ -3,7 +3,7 @@
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{
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"inputs":
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[
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{"name":"action", "kind":"required", "type":["char","string", "choices={'license','version','update','revert','doc','quotes',intervalbars','fundamental','greeks','news','history','summary','lookup','alert','chain','disconnect','reconnect','time','stats','command'}"], "purpose":"Processing action"},
6+
{"name":"action", "kind":"required", "type":["char","string", "choices={'license','version','update','revert','doc','quotes',intervalbars','fundamental','greeks','news','history','summary','lookup','alert','chain','disconnect','reconnect','time','stats','command','log','marketdepth','regional','registry'}"], "purpose":"Processing action"},
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{"name":"parameters", "kind":"required", "type":["struct","table","class"], "purpose":"Action parameters (struct, table, or MCOS object)"}
88
],
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"outputs":
@@ -27,6 +27,7 @@
2727
{"name":"action", "kind":"required", "type":["char","string", "choices={'quotes','IntervalBars','fundamental','greeks','news','history','summary','MarketDepth','regional','lookup','alert','chain','reconnect','time','stats','command'}"], "purpose":"Processing action"},
2828
{"name":"Username", "kind":"namevalue", "type":"char", "purpose":"IQFeed account username"},
2929
{"name":"Password", "kind":"namevalue", "type":"char", "purpose":"IQFeed account password"},
30+
{"name":"Protocol", "kind":"namevalue", "type":"numeric", "purpose":"the IQFeed API protocol number to be used (default=current IQFeed client version)"},
3031
{"name":"Timeout", "kind":"namevalue", "type":"numeric", "purpose":"max # of seconds to wait for blocking query (0=infinite; default=5)"},
3132
{"name":"MsgParsingLevel", "kind":"namevalue", "type":["numeric","integer", "choices={0,1,2}"], "purpose":"parsing level of IQFeed msgs (default=2=maximal)"},
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{"name":"ProcessFunc", "kind":"namevalue", "type":["struct","function_handle"], "purpose":"callback function of IQFeed msgs"},
@@ -59,16 +60,17 @@
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{
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"inputs":
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[
62-
{"name":"action", "kind":"required", "type":["char","string", "choices={'greeks'}"], "purpose":"Processing action"},
63-
{"name":"Symbol", "kind":"namevalue", "type":["char","cellstr"], "purpose":"IQFeed symbol(s)"},
64-
{"name":"UseParallel", "kind":"namevalue", "type":["logical","scalar"], "purpose":"Process multiple symbols in parallel? (default=false)"},
65-
{"name":"UnderlyingSymbol", "kind":"namevalue", "type":["char"], "purpose":"Symbol of the underlying asset (optional)"},
66-
{"name":"HistoricVolatility", "kind":"namevalue", "type":["numeric"], "purpose":"Underlying price volatility in percent (optional)"},
67-
{"name":"RiskFreeRate", "kind":"namevalue", "type":["numeric"], "purpose":"Domestic RF rate in percent (default=0)"},
68-
{"name":"DividendsYield", "kind":"namevalue", "type":["numeric"], "purpose":"Underlying stock div yield or carry rate in percent (default=0)"},
69-
{"name":"Side", "kind":"namevalue", "type":["char","string", "choices={'Call','Put'}"], "purpose":"Contract side (optional)"},
70-
{"name":"DaysToExpiration", "kind":"namevalue", "type":["numeric"], "purpose":"# days until contract expires (optional)"},
71-
{"name":"AnnualFactor", "kind":"namevalue", "type":["numeric"], "purpose":"# of days per year (default=365)"}
63+
{"name":"action", "kind":"required", "type":["char","string", "choices={'greeks'}"], "purpose":"Processing action"},
64+
{"name":"Symbol", "kind":"namevalue", "type":["char","cellstr"], "purpose":"IQFeed symbol(s)"},
65+
{"name":"UseParallel", "kind":"namevalue", "type":["logical","scalar"], "purpose":"Process multiple symbols in parallel? (default=false)"},
66+
{"name":"UnderlyingSymbol", "kind":"namevalue", "type":["char"], "purpose":"Symbol of the underlying asset (optional)"},
67+
{"name":"HistoricVolatility", "kind":"namevalue", "type":["numeric"], "purpose":"Underlying price volatility in percent (optional)"},
68+
{"name":"UseImpliedVolatility", "kind":"namevalue", "type":["logical","scalar"], "purpose":"Use implied (not historic) volatility to calculate Greeks? (default=false)"},
69+
{"name":"RiskFreeRate", "kind":"namevalue", "type":["numeric"], "purpose":"Domestic RF rate in percent (default=0)"},
70+
{"name":"DividendsYield", "kind":"namevalue", "type":["numeric"], "purpose":"Underlying stock div yield or carry rate in percent (default=0)"},
71+
{"name":"Side", "kind":"namevalue", "type":["char","string", "choices={'Call','Put'}"], "purpose":"Contract side (optional)"},
72+
{"name":"DaysToExpiration", "kind":"namevalue", "type":["numeric"], "purpose":"# days until contract expires (optional)"},
73+
{"name":"AnnualFactor", "kind":"namevalue", "type":["numeric"], "purpose":"# of days per year (default=365)"}
7274
]
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},
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"IQML":
@@ -230,8 +232,9 @@
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"inputs":
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[
232234
{"name":"action", "kind":"required", "type":["char","string", "choices={'command'}"], "purpose":"Processing action"},
233-
{"name":"String", "kind":"namevalue", "type":["char","string"], "purpose":"IQFeed command string"}
234-
]
235+
{"name":"String", "kind":"namevalue", "type":["char","string"], "purpose":"IQFeed command string"},
236+
{"name":"ProcessFunc", "kind":"namevalue", "type":["struct","function_handle"], "purpose":"callback function of IQFeed msgs"}
237+
]
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},
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"IQML":
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{

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