Python library to access DTN / IQFeed's historical data for Equities and Futures, capable downloading 1 minute historical data from IQFeed client and store it in MongoDB. My modification of the python iqfeed package from https://pypi.python.org/pypi/iqfeed/0.4.3 made to suit my needs.
- Python 2.7, MongoDB, pandas, pymongo, docker
- IQFeed account
- IQFeed client (e.g. quantomatic/iqfeed-latest')
$ pip install git+https://github.com/Quantmatic/iq2mongo.git
$ docker run -e LOGIN='<username>' -e PASSWORD='<password>' -p 9100:9101 quantomatic/iqfeed-latest
- Make sure the MongoDB service is running
$ sudo service mongod restart
import datetime
import time
from iq2mongo import Iqfeedhistoricdata
symbol = 'SPY'
interval = 60 # Makes 1M bars
dateStart = datetime.datetime(2016, 1, 1)
dateEnd = datetime.datetime(2016, 12, 31)
dbname = 'ETF'
iq = Iqfeedhistoricdata(dateStart, dateEnd, interval)
print 'Downloading '+ symbol + ' from IQFeed...'
start = time.time()
ibars = iq.download_symbol(symbol, timeout=11.5, chunk=32768)
elapsed = str(time.time() - start)
print 'Download finished in ' + elapsed + ' seconds.'
print 'Incerting '+ symbol + ' into MongoDB...'
start = time.time()
incert = iq.write_bars_to_mongo(ibars, symbol, dbname)
elapsed = str(time.time() - start)
print 'Incert finished in ' + elapsed + ' seconds.'