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()
{
// *************************************
// 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($"Fetched {dailyMessages.Count()} Daily messages");
}
/// <summary>
/// Please note that Expired Options file is huge.
/// It's about 600 MB so iterating through all rows
/// will take a while, especially if you don't have SSD.
/// </summary>
public void Run()
{
var lookupClient = LookupClientFactory.CreateNew();
Console.WriteLine("Downloading and Caching Expired Options file from IQFeed servers...");
Console.WriteLine("*** This may take a while the first time... ***\n");
// Getting the first 10000 expired options with Expiration date >= Today - 180 days
var expiredOptionsGreaterThan180Days = lookupClient.Symbol.GetAllExpiredOptions()
.Select(x => x.EquityOption)
.Where(x => x.Expiration >= DateTime.Now.AddDays(-180))
.Take(10000) // COMMENT OUT THIS LINE TO GET THEM ALL
.ToList();
Console.WriteLine($"Found {expiredOptionsGreaterThan180Days.Count} expired options matching Expiration date >= Today - 180 days");
// Getting the first 10000 expired options for APPL stock
var expiredOptionsForSpecificStock = lookupClient.Symbol.GetAllExpiredOptions()
.Select(x => x.EquityOption)
.Where(x => x.EquitySymbol == "AAPL")
.Take(10000) // COMMENT OUT THIS LINE TO GET THEM ALL
.ToList();
Console.WriteLine($"Found {expiredOptionsForSpecificStock.Count} expired options for AAPL stock");
}
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 async Task SetUp()
{
_lookupClient = LookupClientFactory.CreateNew();
_lookupClient.Connect();
var groupIds = await _lookupClient.Symbol.GetListedMarketsAsync("TEST"); // using ReqId as workaround for IQFeed 6.2 beta bug
_groupId = groupIds.First(g => g.ShortName == "CME").ListedMarketId;
}
public void SetUp()
{
var lookupClient = LookupClientFactory.CreateNew();
lookupClient.Connect();
_chainsFacade = lookupClient.Chains;
}
public void SetUp()
{
RestTestDataDirectory();
IQFeedLauncher.Start();
_lookupClient = LookupClientFactory.CreateNew();
_lookupClient.Connect();
}
public void SetUp()
{
var lookupClient = LookupClientFactory.CreateNew();
lookupClient.Connect();
_historicalRawFacade = lookupClient.Historical.Raw;
}
static void Main(string[] args)
{
// example
var lookupClient = LookupClientFactory.CreateNew();
var symbol = lookupClient.Symbol.GetAllMarketSymbols().First(x => x.Symbol == "AAPL");
var fileReader = new FileReader(@"C:\data", symbol, new DateTime(2020, 03, 30), DataType.Tick);
var rows = fileReader.Parse().ToList();
}
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 void Run()
{
var lookupClient = LookupClientFactory.CreateNew();
Console.WriteLine("Downloading and Caching Market Symbols file from IQFeed servers...");
Console.WriteLine("Please note that this file is updated every day.");
Console.WriteLine("*** This may take a while the first time... ***\n");
var marketSymbols = lookupClient.Symbol.GetAllMarketSymbols();
var optionableStocks = OptionableStock.GetOptionableStocks(marketSymbols).ToList();
foreach (var optionableStock in optionableStocks)
{
Console.WriteLine($"{optionableStock.MarketSymbol.Symbol} has {optionableStock.Options.Count()} options");
}
Console.WriteLine($"Found {optionableStocks.Count} stocks with options");
}
public static void LookupClient_can_connect_and_terminate_without_error_forceIpv4(bool forceIpv4)
{
// Arrange
SocketClient.ForceIpv4 = forceIpv4;
// Act
IQFeedLauncher.Start();
var client = LookupClientFactory.CreateNew();
client.Connect();
client.Disconnect();
IQFeedLauncher.Terminate();
// Assert
Assert.Pass($"IQFeedLauncher and the lookup client were able to connect and disconnect/terminate without error with the 'SocketClient.ForceIpv4' value set to '{forceIpv4}'.");
}
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 void SetUp()
{
_lookupClient = LookupClientFactory.CreateNew();
_lookupClient.Connect();
}
public ConcurrentFileHistoricalExample() : base(LookupClientFactory.CreateNew(NumberOfConcurrentClients), NumberOfConcurrentClients)
{
_basePath = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, DownloadBasePath, DateTime.Now.ToString("yyyyMMddHHmmss"));
}
/// <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 ConcurrentHistoricalExample() : base(LookupClientFactory.CreateNew(NumberOfConcurrentClients), NumberOfConcurrentClients)
{
_dailyMessagesBySymbol = new ConcurrentDictionary <string, List <DailyWeeklyMonthlyMessage <double> > >();
}
public void SetUp()
{
var lookupClient = LookupClientFactory.CreateNew();
_symbolFacade = lookupClient.Symbol;
}
