IQML

A toolbox for connecting MATLAB to DTN IQFeed, to retrieve financial market data and news.

Table of contents

• Overview
• Main functionalities
• Additional program features
• Requirements
• Compatibility
• Installation
• Usage examples
• Disclaimer
• Contact us

Overview

IQML is a Matlab connector to IQFeed, enabling users to leverage Matlab’s superior analysis and visualization capabilities, with IQFeed’s reliable data-feed of live and historic market data for stocks, ETFs, mutual funds, bonds, options, futures, commodities and Forex. IQML can be used for both automated algo-trading and selective manual trading, as well as continuous market data feed. IQML provides a reliable, easy-to-use Matlab interface to IQFeed that works right out of the box, and was optimized for excellent performance, reliability, stability and compatibility.

IQML includes a very detailed User Guide, complete with working usage examples and implementation tips.

This downloaded version is fully-functional and can run for 30 days for free. If you wish to use IQML beyond this time, you can purchase a license on IQML's webpage.

Main functionalities

Simple Matlab commands fetch market data from IQFeed, in either blocking (snapshot) or non-blocking (streaming) modes:

• 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
• Market scanner based on fundamental and trading criteria
• Options and futures chains lookup (with market data, 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
• Combine all of the above for a full-fledged end-to-end automated trading system using plain Matlab

Additional program features

• Full solution – IQML provides easy-to-use access to IQFeed’s entire data-set within Matlab. Only the core Matlab and IQFeed’s client app are required – no additional toolbox or component is required.
• Stability – IQML has been extensively tested. It is rock solid.
• Easy to use – Users can access IQFeed’s data by simple Matlab commands, without need for any Matlab programming. IQML simplifies the IQFeed API in a very easy-to-use yet powerful interface that can be used by any Matlab user, novice or advanced.
• Novice and advanced users – Users can use easy-to-use Matlab commands, to access IQFeed’s data. Minimal or no programming is required to access this data.
• Blocking and non-blocking (streaming) modes – Users can receive IQFeed data both synchronously (waiting for data to arrive with optional timeout), and asynchronously (streaming data in the background).
• Settable market alerts – Users can define custom alerts on streaming news/quotes/interval-bars/regional-updates, which can be reported in various ways (popup window, console message, email, text (SMS) message, or Matlab callback function).
• User callbacks – Users can attach Matlab code (callbacks) to IQFeed messages. For example, this enables adding an entry in an Excel file, or sending an email, whenever a stock reaches a certain price or trade volume (also note the related alerts functionality).
• Security – IQML does not transmit any information externally except to IQFeed, so your trading information are as safe as your own computer.
• Compilable – IQML can be compiled into a standalone executable or program component, running as an integral part of your deployed program.
• Performance – IQML is optimized for performance, providing fast and responsive connectivity. While Matlab as a platform is not well-suited for HFT, IQML enables receiving hundreds of streaming quotes or other IQFeed messages per second, with message latencies as low as 1ms and parallelization supported.
• Development – IQML was developed by an acknowledged Matlab expert, who wrote the reference textbooks on Matlab-Java connectivity and Matlab performance, as well as the acclaimed IB-Matlab connector (Matlab connector to Interactive Brokers). IQML is continuously improved and maintained.
• Support – Custom development and ongoing support is available directly from the developer, with extremely fast response times.
• Documentation – Extensive and comprehensive documentation, with numerous code examples and usage tips (see below).
• Backtesting – IQML does not include backtesting functionality. IQML’s author (Yair Altman) has extensive experience in developing complete backtesting and real-time trading applications. Yair will be happy to either develop a new application based on your specifications, or to integrate IQML into an existing application, under a consulting contract.

Requirements

IQML is a Matlab connector to IQFeed, so it naturally needs the user to have both

• a locally-installed Matlab (no toolbox is required) or MCR (for a compiled application)
• a locally-installed IQFeed client (IQConnect)
• an active IQFeed data account

Compatibility

• Platforms: IQML works on all platforms on which IQFeed runs: Windows, Mac OS, Linux.
• IQFeed: IQML works with all recent IQFeed installations, including the latest IQFeed API (6.2).
• Matlab: IQML works on all Matlab releases since 2008, including the latest release (R2025a).

Installation

1. Download or clone IQML into a local folder on your computer (preferably a separate IQML folder)
2. Add the local folder to your Matlab path using the path tool (in the Matlab Desktop’s toolstrip, click HOME / ENVIRONMENT / Set path… and save). The folder needs to be in your Matlab path whenever you run IQML.
3. Ensure that your local IQFeed client is working and can be used to log-in to IQFeed. This client would be IQConnect.exe on Windows, IQFeed application on MacOS, or ran as a Windows app on Mac/Linux using Parallels/Wine.
4. You can now run IQML within Matlab. To verify that IQML is properly installed, retrieve the latest IQFeed server time, as follows (see section 9.2 in the User Guide):

>> t = IQML('time');

Additional usage examples are provided below.

Usage examples

This is a short sampling of IQML’s functionality. The product contains many more features and query types. Review the full IQML User Guide for a detailed description of the available functionality.

1. Get market data (snapshot) for a security
2. Get fundamental data for a security
3. Get the latest interval bars for a security
4. Calculate option Greeks, fair value and implied volatility
5. Get historic/intra-day data
6. Get streaming quotes data
7. Get news data
8. Get options/futures chains
9. Connect/disconnect from IQFeed
10. Get connection information/stats
11. Specify message event callbacks

1) Get market data (snapshot) for a security

>> 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: 'Cbaohlcv'
               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; A volume update occurred'
      Most_Recent_Trade_Conditions: '3D87'
      Trade_Conditions_Description: 'Intramaket Sweep; Odd lot trade'
           Most_Recent_Market_Name: 'Direct Edge A (EDGA)'

Available parameters that affect the query: Symbols, Timeout, NumOfEvents, MsgParsingLevel, Fields, UseParallel.

2) Get fundamental data for a security

>> data = IQML('fundamental', 'symbol','IBM')
data = 
                     Exchange_ID: 7
                              PE: 25.7
                  Average_Volume: 4588000
                   x52_Week_High: 180.95
                    x52_Week_Low: 139.13
              Calendar_Year_High: 171.13
               Calendar_Year_Low: 144.395
                  Dividend_Yield: 3.79
                 Dividend_Amount: 1.5
                   Dividend_Rate: 6
                        Pay_Date: '03/10/2018'
                Ex_dividend_Date: '02/08/2018'
                  Short_Interest: 17484332
                Current_Year_EPS: 6.17