Downloading Intraday US Equity Bars from IQFeed
Summary
The article describes a Python workflow for retrieving historical intraday US equity data from an IQFeed service. It assumes the local IQLink server is running, then connects to its socket, sends a historical-data request specifying a ticker, bar interval, date range, and market-hours filter, and reads the response until the service’s end marker arrives. The returned records are cleaned and saved as separate CSV files.
An example requests one-minute bars for several liquid symbols and shows the fields in each record: timestamp, OHLC prices, volume, and open interest. The article notes that downloads covering many symbols or several years can take time, and that access depends on subscribing to the relevant exchanges and data granularity. A key research caveat is that the intraday prices are unadjusted for corporate actions such as splits and dividends, so users need to handle those adjustments before analysis. The document explains data acquisition rather than a trading signal or strategy, and its steps depend on the vendor service and interface described.
Key ideas
- Historical intraday bars can be requested through a local streaming socket connection to the data service.
- The request specifies the symbol, bar interval, date range, and intraday time filter.
- Returned records contain timestamps, OHLC prices, volume, and open interest.
- Large downloads may take time and require subscriptions for the relevant market data.
- The data is unadjusted for corporate actions, which must be addressed in research workflows.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.