Tag Archives: market data

Source code for Matlab C Plot with DotNet CSharp calling real time IQFeed market data

Source code for Matlab C Plot with DotNet CSharp calling real time IQFeed market data

Matlab code with generated DLL via Builder NE toolbox VolatilityClusterPlotTest

.NET C# Visual Studio project IQFVolatilityCluster

Here is all the code as demoed in the video

https://www.youtube.com/watch?v=FRJ4zG4FksU

Here is an R package to interface R and IQFeed together for market data and tick feed

Here is an R package to interface R and IQFeed together for market data and tick feed

https://github.com/bwlewis/iqfeed

I will try this out with a potential review.

NOTE: This appears it does not run. There is an Python version ut I gave up as I don’t know it

https://github.com/sobotklp/pyqfeed/blob/master/setup.py

daily <- HDX("XOM",days=3)
Warning message:
In doTryCatch(return(expr), name, parentenv, handler) :
  could not find function "xts"
> fix(daily)
Error in file(filename, "r") : cannot open the connection
In addition: Warning message:
In file(filename, "r") :
  cannot open file 'C:UserscausticAppDataLocalTempRtmp0wKFX8Redit1af0306278cd': No such file or directory
Error in edit(name, file, title, editor) : expression parsing error

To get running, you could follow the instructions in the README but to get working, download the iqfeed. Run the following script:

## If you want to source() a bunch of files, something like
> ## the following may be useful:
> sourceDir <- function(path, trace = TRUE, ...) {
+   for (nm in list.files(path, pattern = "\.[RrSsQq]$")) {
+     if(trace) cat(nm,":")
+     source(file.path(path, nm), ...)
+     if(trace) cat("n")
+   }
+ }
> sourceDir("C:\Users\caustic\Documents\R\bwlewis-iqfeed-27273bc\bwlewis-iqfeed-27273bc\R")

How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R

How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R

From http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf

This appears to work ok but this RTAQ package is impressing me each time

High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern

High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern

This is a pretty good tutorial PDF:

http://faculty.washington.edu/ezivot/research/hfanalysis.pdf

Get the data from: http://faculty.washington.edu/ezivot/splus.htm

This is hinted at the bottom of page2.Ensure to load the RTAQ R package from CRAN for use to load the data. Note that the TAQLoad has changed since this PDF so you will need to change the call.

This also contains some great metrics where you can instantly capture things llike realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern

All I can say is wow!