QuantTools (version 0.5.3)

iqfeed: IQFeed

Description

IQFeed

Basis For Last

C

Last Qualified Trade

E

Extended Trade = Form T trade

O

Other Trade = Any trade not accounted for by C or E.

Markets

Market Id	Short Name
Long Name	1
NGM	Nasdaq Global Market
2	NCM
National Capital Market	3
OTC	Nasdaq other OTC
4	OTCBB
Nasdaq OTC Bulletin Board	5
NASDAQ	Nasdaq
6	NYSE_MKT
NYSE MKT (Equities and Bonds)	7
NYSE	New York Stock Exchange
8	CHX
Chicago Stock Exchange	9
PHLX	Philadelphia Stock Exchange
10	NSX
National Stock Exchange	11
NYSE_ARCA	NYSE Archipelago
12	BX
Boston Stock Exchange	13
CBOE	Chicago Board Options Exchange
14	OPRA
OPRA System	15
NASD_ADF	Nasdaq Alternate Display facility
16	ISE
International Stock Exchange	17
BOX	Boston Options Exchange
18	BATS
Better Alternative Trading System	19
NTRF	Nasdaq Trade Reporting Facility
20	PBOT
Philadelphia Board Of Trade	21
NGSM	Nasdaq Global Select Market
22	CANTOR
Cantor Fitzgerald Exchange Treasury Funds	23
C2	CBOE C2 Options Exchange
24	NYSE_TRF
NYSE Trade Reporting Facility	25
EDGA	Direct Edge A
26	EDGX
Direct Edge X	27
DTN	DTN
28	BYX
BATS Y Exchange	29
RUSSELL-FL	Russell Investments (Fee-Liable)
30	CBOT
Chicago Board Of Trade	31
DJ	Dow Jones (CBOT)
32	CFE
CBOE Futures Exchange	33
KCBOT	Kansas City Board Of Trade
34	CME
Chicago Mercantile Exchange	35
MGE	Minneapolis Grain Exchange
36	NYMEX
New York Mercantile Exchange	37
COMEX	Commodities Exchange Center
38	ICEFU
International Commodities Exchange Futures US	39
NYLUS	NYSE LIFFE US
40	CME-FL
CME Indexes (Fee Liable)	42
CBOTMINI	Chicago Board Of Trade Mini Sized Contracts
43	CMEMINI
Chicago Mercantile Exchange Mini Sized Contracts	44
USFE	US Futures Exchange
45	NYMEXMINI
Commodities Exchange Center Mini Sized Contracts	46
GREENX	The Green Exchange
47	CLEARPORT
New York Mercantile Exchange	48
COMEXMINI	New York Mercantile Exchange Mini Sized Contracts
50	TSE
Toronto Stock Exchange	51
MSE	Montreal Stock Exchange
52	CVE
Canadian Venture Exchange	53
WSE	Winnipeg Stock Exchange
54	ICEFC
International Commodities Exchange Futures Canada	55
MX	Montreal Exchange
56	LSE
London Stock Exchange	57
FTSE	Financial Times Stock Exchange
60	MDEX
Bursa Malaysia Derivatives	61
ICEFI	International Commodities Exchange Futures Derivatives
62	LME
London Metals Exchange	63
ICEEC	International Commodities Exchange European Commodities
64	ASXCM
ASX24 Commodities Exchange	65
DME	Dubai Mercantile Exchange
66	BMF
Brazilian Mercantile & Future Exchange	67
SGX	Singapore International Monetary Exchange
68	EUREX
European Exchange	69
ENID	Euronext Index Derivatives
70	ICEEF
International Commodities Exchange European Financials	71
ENCOM	Euronext Commodities
72	TULLETT
Tullett Liberty (Forex)	73
BARCLAYS	Barclays Bank (Forex)
74	FXCM
Forex Capital Markets	75
WTB	Warenterminborse Hannover
76	MGKB
MGE-KCBOT (InterCommodity Spreads)	77
MGCB	MGE-CBOT (InterCommodity Spreads)
78	TENFORE
Tenfore Systems	79
NYDME	NYMEX-DME (InterCommodity Spreads)
80	PSX
Philadelphia Stock Exchange	81
TGE	Tokyo Grain Exchange
82	TOCOM
Tokyo Commodities Exchange	83
SAFEX	South African Futures Exchange
84	EEXP
European Energy Exchange - Power	85
EEXN	European Energy Exchange - Natural Gas
86	EEXE
European Energy Exchange - Emission Rights	87
EEXC	European Energy Exchange - Coal
88	MIAX
Miami International Securities Exchange	89
KBCB	KCBOT-CBOT (InterCommodity Spreads)
90	PK_SHEETS
Pink Sheets - No Tier	91
PK_QXPREM	Pink Sheets - OTCQX - PremierQX Tier
92	PK_QXPRIME
Pink Sheets - OTCQX - PrimeQX Tier	93
PK_IQXPREM	Pink Sheets - OTCQX - International PremierQX Tier
94	PK_IQXPRIME
Pink Sheets - OTCQX - International PrimeQX Tier	95
PK_OTCQB	Pink Sheets - OTCBB Pink Sheets dually Quoted Tier
96	PK_BBONLY
Pink Sheets - OTCBB Only Tier	97
PK_CURRENT	Pink Sheets - Current Tier
98	PK_LIMITED
Pink Sheets - Limited Tier	99
PK_NOINFO	Pink Sheets - No Information Tier
100	PK_GREY
Pink Sheets - Grey Market Tier	101
PK_YL_SHEETS	Yellow Sheets
102	PK_PR_SHEETS
Partner Sheets	103
PK_GL_SHEETS	Global Sheets
104	PK_NYSE
Pink Sheets - NYSE Listed	105
PK_NASDAQ	Pink Sheets - NASDAQ Listed
106	PK_NYSE_AMEX
Pink Sheets - NYSE AMEX Listed	107
PK_ARCA	Pink Sheets - ARCA Listed
108	NYSE_AMEX
NYSE AMEX Options Exchange	109
GLOBEX_RT	CME GLOBEX Group Authorization
110	CME_GBX
Chicago Mercantile Exchange (GLOBEX)	111
CBOT_GBX	Chicago Board Of Trade (GLOBEX)
112	NYMEX_GBX
New York Mercantile Exchange (GLOBEX)	113
COMEX_GBX	Commodities Exchange Center (GLOBEX)
114	DME_GBX
Dubai Mercantile Exchange (GLOBEX)	115
RUSSELL	Russell Investments
116	BZX
BATS Z Exchange	117
CFTC	US Commodity Futures Trading Commission
118	USDA
US Department of Agriculture	119
WASDE	World Supply and Demand Estimates Report
120	GRNST
Grain Stock Report	121
GEMINI	ISE Gemini Options Exchange
122	ARGUS
Argus Energy	123
RACKS	Racks Energy
124	SNL
SNL Energy	125
RFSPOT	Refined Fuels Spots Exchange
126	EOXNGF
EOX Live Natural Gas Forward Curve	127
EOXPWF	EOX Live Power Forward Curve
128	EOXCOR
EOX Live Correlations	129
ICEENDEX	ICE Energy Derivatives Exchange
130	KCBOT_GBX
Kansas City Board of Trade (GLOBEX)	131
MGE_GBX	Minneapolis Grain Exchange (GLOBEX)
132	BLOOMBERG
Bloomberg Indices	133
ELSPOT	Nord Pool Spot
134	N2EX
NASDAQ OMX-Nord Pool	135
ICEEA	International Commodities Exchange European Agriculture
136	CMEUR
Chicage Mercantile Exchange Europe Ltd	137
COMM3	Commodity 3 Exchange
138	JACOBSEN
The Jacobsen	139
NFX	NASDAQ OMX Futures
140	SGXAC
SGX Asia Clear	141
PJMISO	Pa-Nj-Md Independent System Operator
142	NYISO
New York Independent System Operator	143
NEISO	New England Independent System Operator
144	MWISO
Mid West Independent System Operator	145
SPISO	SW Power Pool Independent System Operator
146	CAISO
California Independent System Operator	147
ERCOT	ERCOT Independent System Operator
148	ABISO
Alberta Independent System Operator	149
ONISO	Ontario Independent System Operator
150	MERCURY
ISE Mercury Options Exchange	151
DCE	Dalian Commodity Exchange
152	ZCE
Zengchou Commodity Exchange	153
IEX	Investors Exchange LLC
154	MCX
Multi Commodity Exchange of India Limited	155
NCDEX	National Commodity Exchange of India Limited
156	PEARL
MIAX PEARL Options exchange	157
CTS	CTS System
158	LSEI
London Stock Exchange International	Market Id

* to retireve above table use QuantTools:::.get_iqfeed_markets_info()

Trade Conditions

Condition Code	Short Name
Description	01
REGULAR	Normal Trade
02	ACQ
Acquisition	03
CASHM	Cash Only Market
04	BUNCHED
Bunched Trade	05
AVGPRI	Average Price Trade
06	CASH
Cash Trade (same day clearing)	07
DIST	Distribution
08	NEXTDAY
Next Day Market	09
BURSTBSKT	Burst Basket Execution
0A	BUNCHEDSOLD
Bunched Sold Trade	0B
ORDETAIL	Opening/Reopening Trade Detail
0C	INTERDAY
Intraday Trade Detail	0D
BSKTONCLOSE	Basket Index on Close
0E	RULE127
Rule - 127 Trade NYSE	0F
RULE155	Rule - 155 Trade AMEX
10	SOLDLAST
Sold Last (late reporting)	11
NEXTDAYCLR	Next Day Clearing
12	LATEREP
Opened - Late Report of Opening Trade (in or out of sequence)	13
PRP	Prior Reference Price
14	SELLER
Seller	15
SPLIT	Split Trade
16	RSVD
(Reserved)	17
FORMT	Form-T Trade
18	CSTMBSKTX
Custom Basket Cross	19
SOLDOSEQ	Sold Out of Sequence
1A	CANC
Cancelled Previous Transaction	1B
CANCLAST	Cancelled Last Transaction
1C	CANCOPEN
Cancelled Open Transaction	1D
CANCONLY	Cancelled Only Transaction
1E	OPEN
Late Report of Opening Trade - out of sequence	1F
OPNL	Late Report of Opening Trade - in correct sequence
20	AUTO
Transaction Executed Electronically	21
HALT	Halt
22	DELAYED
Delayed	23
NON_BOARDLOT	NON_BOARDLOT
24	POSIT
POSIT	25
REOP	Reopen After Halt
26	AJST
Contract Adjustment for Stock Dividend - Split - etc.	27
SPRD	Spread - Trade in Two Options in the Same Class (a buy and a sell in the same class)
28	STDL
Straddle - Trade in Two Options in the Same Class (a buy and a sell in a put and a call)	29
STPD	Follow a Non-stopped Trade
2A	CSTP
Cancel Stopped Transaction	2B
BWRT	Option Portion of a Buy/Write
2C	CMBO
Combo - Trade in Two Options in the Same Options Class (a buy and a sell in the same class)	2D
UNSPEC	Unspecified
2E	MC_OFCLCLOSE
Market Center Official Closing Price	2F
STPD_REGULAR	Stopped Stock - Regular Trade
30	STPD_SOLDLAST
Stopped Stock - Sold Last	31
STPD_SOLDOSEQ	Stopped Stock - Sold out of sequence
32	BASIS
Basis	33
VWAP	Volume-Weighted Average Price
34	STS
Special Trading Session	35
STT	Special Terms Trading
36	CONTINGENT
Contingent Order	37
INTERNALX	Internal Cross
38	MOC
Market On Close Trade	39
MC_OFCLOPEN	Market Center Official Opening Price
3A	FORTMTSOLDOSEQ
Form-T Sold Out of Sequence	3B
YELLOWFLAG	Yellow Flag
3C	AUTOEXEC
Auto Execution	3D
INTRMRK_SWEEP	Intramaket Sweep
3E	DERIVPRI
Derivately Priced	3F
REOPNING	Re-Opeing Prints
40	CLSING
Closing Prints	41
CAP_ELCTN	CAP (Conversion and Parity) election trade
42	CROSS_TRADE
Cross Trade	43
PRICE_VAR	Price Variation
44	STKOPT_TRADE
Stock-Option Trade	45
SPIM	stopped at price that did not constitute a Trade-Through
46	BNMT
Benchmark Trade	47
TTEXEMPT	Transaction is Trade Through Exempt
48	LATE
Late Market	49
XCHG_PHYSICAL	Exchange for Physical
4A	CABINET
Cabinet	4B
DIFFERENTIAL	Differential
4C	HIT
Hit	4D
IMPLIED	Implied
4E	LG_ORDER
Large Order	4F
SM_ORDER	Small Order
50	MATCH
Match/Cross Trade	51
NOMINAL	Nominal
52	OPTION_EX
Option Exercise	53
PERCENTAGE	Percentage
54	AUTOQUOTE
Auto Quotes	55
INDICATIVE	Indicative
56	TAKE
Take	57
NOMINAL_CABINET	Nominal Cabinet
58	CHNG_TRANSACTION
Changing Transaction	59
CHNG_TRANS_CAB	Changing Transaction Cabinet
5A	FAST
Fast Market (ssfutures)	5B
NOMINAL_UPDATE	Nominal Update
5C	INACTIVE
Inactive - Nominal - No Trade	5D
DELTA	Last Trade with Delta Exchange
5E	ERRATIC
Erratic	5F
RISK_FACTOR	Risk Factor
60	OPT_ADDON
Short Option Add-On	61
VOLATILITY	Volatility Trade
62	SPD_RPT
Spread Reporting	63
VOL_ADJ	Volume Adjustment
64	BLANK
Blank out associated price	65
SOLDLATE	Late report of transaction - in correct sequence
66	BLKT
Block Trade	67
EXPH	Exchange Future for Physical
68	SPECIALIST_A
Ask from specialist Book	69
SPECIALIST_B	Bid from specialist Book
6A	SPECIALIST_BA
Both Bid and Ask from Specialist Book	6B
ROTATION	Rotation
6C	HOLIDAY
Holiday	6D
PREOPENING	Pre Opening
6E	POST_FULL
Post Full	6F
POST_RESTRICTED	Post Restricted
70	CLOSING_AUCTION
Closing Auction	71
BATCH	Batch
72	TRADING
Trading	73
OFFICIAL	Official Bid/Ask price
74	UNOFFICIAL
Unofficial Bid/Ask price	75
MIDPRICE	Midprice last
76	FLOOR
Floor B/A price	77
CLOSE	Closing Price
78	HIGH
End of Session High Price	79
LOW	End of Session Low Price
7A	BACKWARDATION
Backwardation - immediate delivery costing more than future delivery	7B
CONTANGO	Contango - future delivery costing more than immediate delivery
7C	RF_SETTLEMENT
Refined Fuel Spot Settlement	7D
RF_RESERVED1	Refined Fuel Spot Reserved - 1
7E	RF_RESERVED2
Refined Fuel Spot Reserved - 2	7F
RF_RESERVED3	Refined Fuel Spot Reserved - 3
80	RF_RESERVED4
Refined Fuel Spot Reserved - 4	81
YIELD	Yield Price
82	BASIS_HIGH
Current Basis High Value	83
BASIS_LOW	Current Bases Low Value
84	UNCLEAR
bid or offer price is unclear	85
OTC	Over the counter trade
86	MS
Trade entered by Market Supervision	87
ODDLOT	Odd lot trade
88	CORRCSLDLAST
Corrected Consolidated last	89
QUALCONT	Qualified Contingent Trade
8A	MC_OPEN
Market Center Opening Trade	8B
CONFIRMED	Confirmed
8C	OUTAGE
Outage	8D
SPRD_LEG	CME spread leg trade
8E	BNDL_SPRD_LEG
Final CME MDP3 trade from Trade Summary message that could not be Un-Bundled	8F
LATECORR	LSE - Late Correction
90	CONTRA
LSE - Previous days contra	91
IF_TRANSFER	LSE - Inter-fund transfer
92	IF_CROSS
LSE - Inter-fund Cross	93
NEG_TRADE	LSE - Negotiated Trade
94	OTC_CANC
LSE - OTC Trade Cancellation	95
OTC_TRADE	LSE - OTC Trade
96	SI_LATECORR
LSE - SI Late Correction	97
SI_TRADE	LSE - SI Trade
98	AUCT_TRADE
LSE - Auctions (bulk;individual)	99
LATE	LSE - Late trade
9A	STRAT
LSE - Strategy vs. Strategy Trade trade	Condition Code

* to retireve above table use QuantTools:::.get_iqfeed_trade_conditions_info()

Details

Retrieves IQFeed historical market data like ticks and candles.

Examples

symbol = 'MSFT'
to = format( Sys.time() )
from = format( Sys.time() - as.difftime( 3, units = 'days' ) )
days = 10
# ticks
get_iqfeed_data( symbol, from, to, 'tick' )
# candles
get_iqfeed_data( symbol, from, to, '1min' )
# daily candles
get_iqfeed_data( symbol, from, to )