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