An R package that interfaces to DTN IQFeed over TCP/IP
R
Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
R
man
COPYING
COPYRIGHT
DESCRIPTION
NAMESPACE
README

README

PLEASE NOTE

As you can see from the dates on the commit log, I no longer maintain this package (and in fact do not have access to DTN). I'm leaving this code here for others to use and extend as the see fit.


The iqfeed package provides a basic TCP/IP interface between R and DTN
IQFeed. It requires TCP/IP access to IQFeed. The package only contains
a few basic functions for historic LI stock and equity options. We plan
on added Level II and more Level I functions in the near future. The
packages returns all time series data in xts format.

Example:
require(iqfeed)
iqConf()
t0 <- "2010-01-18 15:25:00"
t1 <- "2010-01-22 10:00:00"
trades <- HIT("MSFT",interval=60,start=t0,end=t1)

daily <- HDX("XOM",days=14)
daily

# Options chain lookup example
symbols <- CEO("MSFT")
symbols
 [1] "MSQ1022E25" "MSQ1022E26" "MSQ1022E27" "MSQ1022E28" "MSQ1022E29"
 [6] "MSQ1022E30" "MSQ1022E31" "MSQ1022E32" "MSQ1022E33" "MSQ1022E34"
[11] "MSQ1022E35" "MSQ1022Q25" "MSQ1022Q26" "MSQ1022Q27" "MSQ1022Q28"
[16] "MSQ1022Q29" "MSQ1022Q30" "MSQ1022Q31" "MSQ1022Q32" "MSQ1022Q33"
[21] "MSQ1022Q34" "MSQ1022Q35"

# Convert to standard OSI format (e.g., for use by a broker), and back:
osi(symbols[1])
[1] "MSQ   100522C00025000"
osi2iq(.Last.value)
[1] "MSQ1022E25"