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Does anyone know how to connect IQFeeds with Matlab. It seems the datafeed toolbox only accepts Reuters, Bloomberg, Yahoo and one or two more. I've been looking all over the place for a Matlab toobox or some code because I'm using IQFeeds. It's weird because on here I've read many posts of people talking about their IQFeeds into MAtlab as if its just normal and their question instead focusses on the API conncetion with IB or something. Can anyone please help me since I feel totally on my own here?

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you could create your own socket code to connect to it. You need to have developer rights to get an understanding of the socket api. They have said they would come up with something "prebuilt" on the next release of matlab 2012b (2nd half of year)

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  • $\begingroup$ thxs sma, yes i've also heard perhaps Q4 for 2012b. I assume these guys probably then wrote their own when always talking about it. dam wish they can share it otherwise it will take me some time or just have to wait till Q4 $\endgroup$ – jake123 Jul 6 '12 at 7:11
  • $\begingroup$ Perhaps one can use the DSP Toolbox wihhc has the ability to to import UDP packets for an IP port. Any thoughts guys? $\endgroup$ – jake123 Jul 13 '12 at 9:57
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Try IQML (Matlab connector to IQFeed), which runs in Matlab and connects directly to IQFeed.

IQML is an independent 3rd-party product that works on all recent Matlab/IQFeed releases and platforms (Windows, Linux, Mac). The connector is super-reliable, easy-to-use, and lightning-fast (including parallelization). It comes with a detailed User Guide packed with usage examples, sample Matlab scripts, and implementation tips.

IQML needs only the core Matlab to run - no toolboxes are required (parallelization uses the Parallel Computing Toolbox, but IQML runs well even without it).

Here's an example of fetching live IQFeed data into Matlab using IQML:

>> 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)'

IQML supports the entire IQFeed API, including:

  • Both blocking (snapshot) and non-blocking (streaming) data queries
  • Live Level1 top-of-book market data (quotes and trades)
  • Live Level2 market-depth data
  • Historic, intra-day and live market data (individual ticks or interval bars)
  • Fundamental info on assets
  • Options and futures chains lookup (with latest market data and Greeks)
  • Symbols and market codes lookup
  • News headlines, story-counts and complete news stories, with user-specified filters
  • Ability to attach user-defined Matlab callback functions to IQFeed messages and market events
  • User-defined custom alerts on streaming market events (news/quotes/interval-bar/regional triggers)
  • Connection stats and programmatic connect/disconnect

Users can combine all of the above functionality for a full-fledged end-to-end automated trading system using plain Matlab.

IQML was developed independently as a commercial 3rd-party product; it is not affiliated with MathWorks or DTN. Give it a try and check for yourself.

Yair Altman

IQML.net, https://UndocumentedMatlab.com/IQML

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