public async Task RunAsync()
{
// Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Run IQConnect launcher
IQFeedLauncher.Start();
// Choose between 3 different handlers:
// 1- Level1MessageDecimalHandler (for decimal)
// 2- Level1MessageDoubleHandler (for double) - default one through CreateNew
// 3- Level1MessageFloatHandler (for float)
var level1Client = Level1ClientFactory.CreateNew(
IQFeedDefault.Hostname,
IQFeedDefault.Level1Port,
Level1Default.SnapshotTimeout,
new Level1MessageDecimalHandler());
// Connect
level1Client.Connect();
// retrieve UpdateSummaryMessage<decimal>
var decimalUpdateSummary = await level1Client.GetUpdateSummarySnapshotAsync("AAPL");
// convert UpdateSummaryMessage<decimal> to UpdateSummaryMessage<float>
var floatUpdateSummary = decimalUpdateSummary.ToFloat();
}
static async void RunLevel1Example()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var level1Client = Level1ClientFactory.CreateNew();
// Step 4 - Connect it
level1Client.Connect();
// Step 5 - Register to appropriate events
level1Client.Timestamp += timestampMsg => Console.WriteLine(timestampMsg);
level1Client.Update += updateMsg => Console.WriteLine(updateMsg);
// Step 6 - Make your streaming Leve1 requests
level1Client.ReqWatch("AAPL");
await Task.Delay(TimeSpan.FromMinutes(1));
}
public RealTimeMarketDataService()
{
IQFeedLauncher.Start("MY_LOGIN", "MY_PASSWORD", "MY_PRODUCT_ID", "MY_PRODUCT_VERSION");
_level1Client = Level1ClientFactory.CreateNew();
_level1Client.Connect();
}
public async Task RunAsync()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var lookupClient = LookupClientFactory.CreateNew();
// Step 4 - Connect it
lookupClient.Connect();
// Step 5 - Make any requests you need or want!
var tickMessages = await lookupClient.Historical.GetHistoryTickDatapointsAsync("AAPL", 100);
var intervalMessage = await lookupClient.Historical.GetHistoryIntervalDaysAsync("AAPL", 5, 10, 100);
var dailyMessages = await lookupClient.Historical.GetHistoryDailyDatapointsAsync("AAPL", 100);
Console.WriteLine($"Fetched {tickMessages.Count()} Tick messages");
Console.WriteLine($"Fetched {intervalMessage.Count()} Interval messages");
Console.WriteLine($"Fetched {dailyMessages.Count()} Daily messages");
}
public void Run()
{
// Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Run IQConnect launcher
IQFeedLauncher.Start();
// Connect the LookupClient created from the constructor
LookupClient.Connect();
// Add 100 symbols to the concurrent queue
foreach (var symbol in MarketData.GetSymbols().Skip(100).Take(200))
{
Symbols.Enqueue(symbol);
}
// Download data for all added symbols
var sw = Stopwatch.StartNew();
Start();
sw.Stop();
// Count the total of daily messages received
var messagesFetched = 0;
foreach (var dailyMessages in _dailyMessagesBySymbol)
{
messagesFetched += dailyMessages.Value.Count;
}
Console.WriteLine($"\nFetched {messagesFetched} Daily messages for {_dailyMessagesBySymbol.Count} stocks in {sw.Elapsed.TotalMilliseconds} ms.");
}
public async Task RunAsync()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var lookupClient = LookupClientFactory.CreateNew();
// Step 4 - Connect it
lookupClient.Connect();
var tmpFilename = await lookupClient.Historical.File.GetHistoryTickDatapointsAsync(Symbol, 1000);
// Step 5 - Make file request!
// Step 6 - Move the file
var basePath = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, DownloadBasePath);
var fullPath = Path.Combine(basePath, $"{DateTime.Now:yyyyMMddHHmmss}-{Symbol}.csv");
Directory.CreateDirectory(basePath);
File.Move(tmpFilename, fullPath);
// Step 7 - Parse TickMessages from saved file
var ticks = TickMessage.ParseFromFile(fullPath).ToList();
Console.WriteLine($"Saved {Symbol} ticks in {fullPath}");
}
public async Task RunAsync()
{
// Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Run IQConnect launcher
IQFeedLauncher.Start();
// Choose between 3 different handlers:
// 1- HistoricalMessageDecimalHandler (for decimal)
// 2- HistoricalMessageDoubleHandler (for double) - default one through CreateNew
// 3- HistoricalMessageFloatHandler (for float)
var lookupClient = LookupClientFactory.CreateNew(
IQFeedDefault.Hostname,
IQFeedDefault.LookupPort,
1,
LookupDefault.Timeout,
LookupDefault.BufferSize,
new HistoricalMessageDecimalHandler());
// Connect
lookupClient.Connect();
// retrieve IEnumerable<TickMessage<decimal>>
var decimalTicks = (await lookupClient.Historical.GetHistoryTickDatapointsAsync("AAPL", 1000)).ToList();
// convert TickMessage<decimal> to TickMessage<float>
var floatTick = decimalTicks.First().ToFloat();
// convert IEnumerable<TickMessage<decimal>> to IEnumerable<TickMessage<float>>
var floatTicks = decimalTicks.ToFloat().ToList();
}
public void SetUp()
{
RestTestDataDirectory();
IQFeedLauncher.Start();
_lookupClient = LookupClientFactory.CreateNew();
_lookupClient.Connect();
}
public async Task RunAsync()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client and specify which fields are needed
var level1DynamicClient = Level1DynamicClientFactory.CreateNew(
DynamicFieldset.Symbol,
DynamicFieldset.MostRecentTrade,
DynamicFieldset.MostRecentTradeSize,
DynamicFieldset.MostRecentTradeTime,
DynamicFieldset.MostRecentTradeMarketCenter,
DynamicFieldset.TotalVolume,
DynamicFieldset.Bid,
DynamicFieldset.BidSize,
DynamicFieldset.Ask,
DynamicFieldset.AskSize,
DynamicFieldset.Open,
DynamicFieldset.High,
DynamicFieldset.Low,
DynamicFieldset.Close,
DynamicFieldset.MessageContents,
DynamicFieldset.MostRecentTradeConditions,
DynamicFieldset.MostRecentTradeDate,
DynamicFieldset.Volatility,
DynamicFieldset.VWAP);
// Step 4 - Connect it
level1DynamicClient.Connect();
// Step 5 - Register to appropriate events
level1DynamicClient.Fundamental += Level1ClientOnFundamental;
level1DynamicClient.Summary += Level1ClientOnSummary;
level1DynamicClient.Update += Level1ClientOnSummary;
level1DynamicClient.Timestamp += Level1ClientOnTimestamp;
// Step 6 - Make your streaming Level 1 requests
level1DynamicClient.ReqWatch("AAPL");
Console.WriteLine("Watching APPL for the next 10 seconds... Please be patient ;-)\n");
await Task.Delay(TimeSpan.FromSeconds(10));
// Step 7 - Unwatch and unregister events
level1DynamicClient.ReqUnwatch("AAPL");
level1DynamicClient.Fundamental -= Level1ClientOnFundamental;
level1DynamicClient.Summary -= Level1ClientOnSummary;
level1DynamicClient.Update -= Level1ClientOnSummary;
level1DynamicClient.Timestamp -= Level1ClientOnTimestamp;
// Step 8 - Disconnect the client from IQ Feed
level1DynamicClient.Disconnect();
}
public static Downloader CreateNew(string dataDirectory, int numberOfClients)
{
IQFeedLauncher.Start();
var lookupClient = LookupClientFactory.CreateNew("localhost", IQFeedDefault.LookupPort, numberOfClients, TimeSpan.FromMinutes(20));
lookupClient.Connect();
var level1Client = Level1ClientFactory.CreateNew();
level1Client.Connect();
return(new Downloader(dataDirectory, lookupClient, level1Client, numberOfClients));
}
public static void LookupClient_can_connect_and_terminate_without_error_forceIpv4(bool forceIpv4)
{
// Arrange
SocketClient.ForceIpv4 = forceIpv4;
// Act
IQFeedLauncher.Start();
var client = LookupClientFactory.CreateNew();
client.Connect();
client.Disconnect();
IQFeedLauncher.Terminate();
// Assert
Assert.Pass($"IQFeedLauncher and the lookup client were able to connect and disconnect/terminate without error with the 'SocketClient.ForceIpv4' value set to '{forceIpv4}'.");
}
public void Run()
{
// Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Run IQConnect launcher
IQFeedLauncher.Start();
// Connect the LookupClient created from the constructor
LookupClient.Connect();
// Add 100 symbols to the concurrent queue
foreach (var symbol in MarketData.GetSymbols().Take(100))
{
Symbols.Enqueue(symbol);
}
// Create required directories for saving files
CreateDirectories();
// Download data for all added symbols
Start();
}
static async void RunHistoricalExample()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var lookupClient = LookupClientFactory.CreateNew();
// Step 4 - Connect it
lookupClient.Connect();
// Step 5 - Make any requests you need or want!
var ticksMessages = await lookupClient.Historical.ReqHistoryTickDatapointsAsync("AAPL", 100);
var ticksFilename = await lookupClient.Historical.Raw.ReqHistoryTickDaysAsync("AAPL", 100);
// *************************************
}
public async Task RunAsync()
{
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var level2Client = Level2ClientFactory.CreateNew();
// Step 4 - Connect it
level2Client.Connect();
// Step 5 - Register to appropriate events
// ** IMPORTANT ** you should always subscribe to System event
level2Client.System += Level2ClientOnSystem;
level2Client.Error += Level2ClientOnError;
level2Client.Summary += Level2ClientOnSummary;
level2Client.Update += Level2ClientOnSummary;
level2Client.Timestamp += Level2ClientOnTimestamp;
// Step 6 - Make your streaming Level 2 requests
level2Client.ReqWatch("@ES#");
Console.WriteLine("Watching @ES# for the next 30 seconds... Please be patient ;-)\n");
await Task.Delay(TimeSpan.FromSeconds(30));
// Step 7 - Unwatch and unregister events
level2Client.ReqUnwatch("@ES#");
level2Client.Summary -= Level2ClientOnSummary;
level2Client.Update -= Level2ClientOnSummary;
level2Client.Timestamp -= Level2ClientOnTimestamp;
}
public async Task RunAsync()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var level1Client = Level1ClientFactory.CreateNew();
// Step 4 - Connect it
level1Client.Connect();
// Step 5 - Register to appropriate events
level1Client.Fundamental += Level1ClientOnFundamental;
level1Client.Summary += Level1ClientOnSummary;
level1Client.Update += Level1ClientOnSummary;
level1Client.Timestamp += Level1ClientOnTimestamp;
// Step 6 - Make your streaming Leve1 requests
level1Client.ReqWatch("AAPL");
Console.WriteLine("Watching APPL for the next 30 seconds... Please be patient ;-)\n");
await Task.Delay(TimeSpan.FromSeconds(30));
// Step 7 - Unwatch and unregister events
level1Client.ReqUnwatch("AAPL");
level1Client.Fundamental -= Level1ClientOnFundamental;
level1Client.Summary -= Level1ClientOnSummary;
level1Client.Update -= Level1ClientOnSummary;
level1Client.Timestamp -= Level1ClientOnTimestamp;
}
public Level2ClientOldProtocolTests()
{
IQFeedLauncher.Start();
}
public ChainsFacadeTests()
{
IQFeedLauncher.Start();
_years = $"{DateTime.Now.Date:yy}{DateTime.Now.Date.AddYears(1):yy}";
}
public HistoricalRawFacadeTests()
{
IQFeedLauncher.Start();
}
public HistoricalFacadeMultiClientTests()
{
IQFeedLauncher.Start();
}
public void Shutdown()
{
IQFeedLauncher.Terminate();
}
public ChainsFacadeTests()
{
IQFeedLauncher.Start();
_years = "12";
}
public Level1ClientDynamicFieldsetTests()
{
IQFeedLauncher.Start();
}
public SymbolFacadeTests()
{
IQFeedLauncher.Start();
}
public ChainsFacadeTests()
{
IQFeedLauncher.Start();
}
public DerivativeClientTests()
{
IQFeedLauncher.Start();
}
/// <summary>
/// Primary entry point to the program. This program only supports EQUITY for now.
/// </summary>
public static void IQFeedDownloader(IList <string> tickers, string resolution, DateTime fromDate, DateTime toDate)
{
if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
{
Console.WriteLine("IQFeedDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
Console.WriteLine("--tickers=SPY,AAPL");
Console.WriteLine("--resolution=Tick/Second/Minute/Hour/Daily/All");
Environment.Exit(1);
}
try
{
// Load settings from command line
var allResolution = resolution.ToLowerInvariant() == "all";
var castResolution = allResolution ? Resolution.Tick : (Resolution)Enum.Parse(typeof(Resolution), resolution);
var startDate = fromDate.ConvertToUtc(TimeZones.NewYork);
var endDate = toDate.ConvertToUtc(TimeZones.NewYork);
endDate = endDate.AddDays(1).AddMilliseconds(-1);
// Load settings from config.json
var dataDirectory = Config.Get("data-folder", "../../../Data");
var userName = Config.Get("iqfeed-username", "username");
var password = Config.Get("iqfeed-password", "password");
var productName = Config.Get("iqfeed-productName", "productname");
var productVersion = Config.Get("iqfeed-version", "productversion");
// Create an instance of the downloader
const string market = Market.USA;
// Connect to IQFeed
IQFeedLauncher.Start(userName, password, productName, productVersion);
var lookupClient = LookupClientFactory.CreateNew(NumberOfClients);
lookupClient.Connect();
// Create IQFeed downloader instance
var universeProvider = new IQFeedDataQueueUniverseProvider();
var historyProvider = new IQFeedFileHistoryProvider(lookupClient, universeProvider, MarketHoursDatabase.FromDataFolder());
var downloader = new IQFeedDataDownloader(historyProvider);
var quoteDownloader = new IQFeedDataDownloader(historyProvider);
var resolutions = allResolution ? new List <Resolution> {
Resolution.Tick, Resolution.Second, Resolution.Minute, Resolution.Hour, Resolution.Daily
} : new List <Resolution> {
castResolution
};
var requests = resolutions.SelectMany(r => tickers.Select(t => new { Ticker = t, Resolution = r })).ToList();
var sw = Stopwatch.StartNew();
Parallel.ForEach(requests, new ParallelOptions {
MaxDegreeOfParallelism = NumberOfClients
}, request =>
{
// Download the data
var symbol = Symbol.Create(request.Ticker, SecurityType.Equity, market);
var data = downloader.Get(new DataDownloaderGetParameters(symbol, request.Resolution, startDate, endDate));
// Write the data
var writer = new LeanDataWriter(request.Resolution, symbol, dataDirectory);
writer.Write(data);
if (request.Resolution == Resolution.Tick)
{
var quotes = quoteDownloader.Get(new DataDownloaderGetParameters(symbol, request.Resolution, startDate, endDate, TickType.Quote));
var quoteWriter = new LeanDataWriter(request.Resolution, symbol, dataDirectory, TickType.Quote);
quoteWriter.Write(quotes);
}
});
sw.Stop();
Log.Trace($"IQFeedDownloader: Completed successfully in {sw.Elapsed}!");
}
catch (Exception err)
{
Log.Error(err);
}
}
public Level1ClientTests()
{
IQFeedLauncher.Start();
}
public async Task RunAsync()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Create an array that includes the fields desired for Update and Summary messages
var fields = new[]
{
// The IQFeed servers *ALWAYS* include Symbol as first message data field, regardless of fields requested via SelectUpdateFieldName/SELECT UPDATE FIELDS
// DynamicFieldset.Symbol *MUST* be the first dynamic field in the array at this time. Parsing errors will result otherwise.
DynamicFieldset.Symbol,
DynamicFieldset.SevenDayYield,
DynamicFieldset.Ask,
DynamicFieldset.AskChange,
DynamicFieldset.AskMarketCenter,
DynamicFieldset.AskSize,
DynamicFieldset.AskTime,
DynamicFieldset.AvailableRegions,
DynamicFieldset.AverageMaturity,
DynamicFieldset.Bid,
DynamicFieldset.BidChange,
DynamicFieldset.BidMarketCenter,
DynamicFieldset.BidSize,
DynamicFieldset.BidTime,
DynamicFieldset.Change,
DynamicFieldset.ChangeFromOpen,
DynamicFieldset.Close,
DynamicFieldset.CloseRange1,
DynamicFieldset.CloseRange2,
DynamicFieldset.DaysToExpiration,
DynamicFieldset.DecimalPrecision,
DynamicFieldset.Delay,
DynamicFieldset.ExchangeID,
DynamicFieldset.ExtendedTrade,
DynamicFieldset.ExtendedTradeDate,
DynamicFieldset.ExtendedTradeMarketCenter,
DynamicFieldset.ExtendedTradeSize,
DynamicFieldset.ExtendedTradeTime,
DynamicFieldset.ExtendedTradingChange,
DynamicFieldset.ExtendedTradingDifference,
DynamicFieldset.FinancialStatusIndicator,
DynamicFieldset.FractionDisplayCode,
DynamicFieldset.High,
DynamicFieldset.Last,
DynamicFieldset.LastDate,
DynamicFieldset.LastMarketCenter,
DynamicFieldset.LastSize,
DynamicFieldset.LastTime,
DynamicFieldset.Low,
DynamicFieldset.MarketCapitalization,
DynamicFieldset.MarketOpen,
DynamicFieldset.MessageContents,
DynamicFieldset.MostRecentTrade,
DynamicFieldset.MostRecentTradeConditions,
DynamicFieldset.MostRecentTradeDate,
DynamicFieldset.MostRecentTradeMarketCenter,
DynamicFieldset.MostRecentTradeSize,
DynamicFieldset.MostRecentTradeTime,
DynamicFieldset.NetAssetValue,
DynamicFieldset.NumberOfTradesToday,
DynamicFieldset.Open,
DynamicFieldset.OpenInterest,
DynamicFieldset.OpenRange1,
DynamicFieldset.OpenRange2,
DynamicFieldset.PercentChange,
DynamicFieldset.PercentOffAverageVolume,
DynamicFieldset.PreviousDayVolume,
DynamicFieldset.PriceEarningsRatio,
DynamicFieldset.Range,
DynamicFieldset.RestrictedCode,
DynamicFieldset.Settle,
DynamicFieldset.SettlementDate,
DynamicFieldset.Spread,
DynamicFieldset.Tick,
DynamicFieldset.TickID,
DynamicFieldset.TotalVolume,
DynamicFieldset.Volatility,
DynamicFieldset.VWAP,
};
// Step 4 - Use the appropriate factory to create the client. Pass a new Level1MessageDynamicHandler to indicate dynamic fields in use
var level1Client = Level1ClientFactory.CreateNew(new Level1MessageDynamicHandler());
// Step 5 - Connect it
level1Client.Connect();
// Step 6 - Request the feed to begin returning selected fields in Summary and Update messages
level1Client.SelectUpdateFieldName(fields);
// Step 7 - Register to appropriate events
level1Client.Fundamental += Level1ClientOnFundamental;
level1Client.Summary += Level1ClientOnSummary;
level1Client.Update += Level1ClientOnSummary;
level1Client.Timestamp += Level1ClientOnTimestamp;
// Step 8 - Make your streaming Level 1 requests
level1Client.ReqWatch("AAPL");
Console.WriteLine("Watching APPL for the next 10 seconds... Please be patient ;-)\n");
await Task.Delay(TimeSpan.FromSeconds(10));
// Step 9 - Unwatch and unregister events
level1Client.ReqUnwatch("AAPL");
level1Client.Fundamental -= Level1ClientOnFundamental;
level1Client.Summary -= Level1ClientOnSummary;
level1Client.Update -= Level1ClientOnSummary;
level1Client.Timestamp -= Level1ClientOnTimestamp;
}
public MarketSummaryFacadeTests()
{
IQFeedLauncher.Start();
}
public AdminClientTests()
{
IQFeedLauncher.Start();
}
