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"