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GitHub Repository Maven Central Javadocs Github License

Overview

IQFeed4j is a Java API for the market data vendor DTN IQFeed. IQFeed provides a wide variety of market data including:

  • Real-time tick-by-tick data on US and Canadian equities
  • Real-time equity/index Options and Forex data
  • OHLCV historical data
  • Fundamental data
  • Real-time streaming news

This library is community developed. If you have any questions, please ask them on Github Discussions. If you have discovered an issue, open a new issue here.

Give this repository a star ⭐ if it helped you build an awesome trading algorithm in Java!

Gradle and Maven Integration

If you are using Gradle as your build tool, add the following dependency to your build.gradle file:

dependencies {
    implementation group: 'net.jacobpeterson', name: 'iqfeed4j', version: '6.2-2.0.0'
}

If you are using Maven as your build tool, add the following dependency to your pom.xml file:

<dependency>
    <groupId>net.jacobpeterson</groupId>
    <artifactId>iqfeed4j</artifactId>
    <version>6.2-2.0.0</version>
    <scope>compile</scope>
</dependency>

Note that you don't have to use the Maven Central artifacts and instead can just install a clone of this project to your local Maven repository as shown in the Building section.

Configuration

Creating an iqfeed4j.properties file on the classpath with the following format allows you to easily load properties using the IQFeed4j default constructor and the IQConnectExecutable default constructor:

# For IQConnectExecutable
iqconnect_command=<this is the command to start the IQConnect.exe program (e.g. wine /home/user/.IQFeed/iqconnect.exe)>
product_id=<supply your registered productID here>
application_version=<this is the version of YOUR application>
login=<IQFeed Datafeed account login ID>
password=<IQFeed Datafeed account password>
autoconnect=<specifies that IQConnect should automatically try to connect to the server when launched. 'true' or 'false'>
save_login_info=<specifies that IQConnect should save the user's login ID and password between runs of IQConnect. 'true' or 'false'>

# For Feeds
feed_name=<name of the feeds that IQFeed4j makes to IQConnect>
feed_hostname=<the hostname of IQConnect>
level_1_feed_port=<port number>
market_depth_feed_port=<port number>
derivative_feed_port=<port number>
admin_feed_port=<port number>
lookup_feed_port=<port number>

The default values for iqfeed4j.properties can be found here.

Logger

For logging, this library uses SLF4j which serves as an interface for various logging frameworks. This enables you to use whatever logging framework you would like. However, if you do not add a logging framework as a dependency in your project, the console will output a message stating that SLF4j is defaulting to a no-operation (NOP) logger implementation. To enable logging, add a logging framework of your choice as a dependency to your project such as Logback, Log4j 2, SLF4j-simple, or Apache Commons Logging.

Usage

Note that the examples here are not exhaustive. Refer to the IQFeed4j Javadoc for all classes and method signatures.

IQFeed4j

IQFeed4j is a class that contains feed instances to interface with IQFeed along with an instance of IQConnectExecutable. You will generally only need one instance of it in your application. Directly interact with the various feeds that IQFeed4j provides with feedName(); and start/stop the feeds with startFeedName(); and stopFeedName();. You must start the feed with startFeedName(); before using it via feedName();.

It contains various constructors that allow you to specify parameters for the feeds (e.g. port, hostname). The no-args constructor will use the properties specified in the iqfeed4j.properties file on the classpath as discussed in the Configuration section.

IQConnectExecutable

IQConnectExecutable provides a convenient way to start/stop the IQConnect.exe program. IQConnect.exe is the program that accepts TCP/IP connections to interface with IQFeed programmatically.

It contains various constructors that allow you to specify parameters for the executable (e.g. command to execute, process parameters). The no-args constructor will use the properties specified in the iqfeed4j.properties file on the classpath as discussed in the Configuration section.

Streaming Feeds

Level1Feed

This feed is used for real-time Level 1 market data.

The following example will change what fields are sent when a SummaryUpdate occurs on this feed, prints Apple's most recent split, and prints AAPL trades continuously:

try {
    iqFeed4j.startLevel1Feed();
    iqFeed4j.level1().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    iqFeed4j.level1().selectUpdateFieldNames(
            SummaryUpdateField.MOST_RECENT_TRADE,
            SummaryUpdateField.MOST_RECENT_TRADE_SIZE,
            SummaryUpdateField.MOST_RECENT_TRADE_MARKET_CENTER,
            SummaryUpdateField.MOST_RECENT_TRADE_DATE,
            SummaryUpdateField.MOST_RECENT_TRADE_TIME);

    iqFeed4j.level1().requestWatchTrades("AAPL",
            (fundamentalData) -> System.out.printf("Apple's most recent %.2f split was on %s.\n",
                    fundamentalData.getSplitFactor1(), fundamentalData.getSplitFactor1Date()),
            (summaryUpdate) -> System.out.printf("AAPL trade occurred with %d shares at $%.4f with " +
                            "the market center code %d at %s %s with a latency of %s milliseconds.\n",
                    summaryUpdate.getMostRecentTradeSize(),
                    summaryUpdate.getMostRecentTrade(),
                    summaryUpdate.getMostRecentTradeMarketCenter(),
                    summaryUpdate.getMostRecentTradeDate(),
                    summaryUpdate.getMostRecentTradeTime(),
                    ChronoUnit.MILLIS.between(
                            summaryUpdate.getMostRecentTradeTime(),
                            LocalTime.now(ZoneId.of("America/New_York")))));
} catch (IOException | InterruptedException | TimeoutException exception) {
    exception.printStackTrace();
}

MarketDepthFeed

Not implemented yet. See TODO.

DerivativeFeed

This feed allows you to stream real-time interval bar data derived from Level 1 data.

The following example will listen to AAPL 1-minute interval bars during Eastern market hours and print them out:

try {
    iqFeed4j.startDerivativeFeed();
    iqFeed4j.derivative().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    iqFeed4j.derivative().requestIntervalWatch(
            "AAPL",
            60,
            LocalDateTime.now(),
            null,
            null,
            LocalTime.of(9, 30),
            LocalTime.of(12 + 4, 0),
            IntervalType.SECONDS,
            null,
            (interval) -> System.out.printf("Received AAPL interval: %s\n", interval));
} catch (IOException | InterruptedException | TimeoutException exception) {
    exception.printStackTrace();
}

AdminFeed

This feed allows you to manage the IQFeed connection in various ways and retrieve connection information.

The following example demonstrates a few things you can do with the AdminFeed.

try {
    iqFeed4j.startAdminFeed();
    iqFeed4j.admin().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    // Set the login ID and password (and wait for confirmation response)
    String currentLoginID = iqFeed4j.admin().setLoginID("<login ID>").get();
    String currentPassword = iqFeed4j.admin().setPassword("<password>").get();
    System.out.println(currentLoginID);
    System.out.println(currentPassword);

    // Get the next occurrence of the 'FeedStatistics' message
    System.out.printf("Feed stats: %s\n", iqFeed4j.admin().getNextFeedStatistics().get());

    // Print all 'ClientStatistics' after 5 seconds
    iqFeed4j.admin().setClientStatsOn();
    Thread.sleep(5000);
    iqFeed4j.admin().getClientStatisticsOfClientIDs().entrySet().forEach(System.out::println);
} catch (IOException | ExecutionException | InterruptedException | TimeoutException exception) {
    exception.printStackTrace();
}

Lookup Feeds

HistoricalFeed

This feed allows you to request historical ticks (trades) and intervals.

The following example will request ascending AAPL 1-minute interval bars during market hours from 6/10/2021 to 6/11/2021.

try {
    iqFeed4j.startHistoricalFeed();
    iqFeed4j.historical().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    // Using synchronous data consumption method (aka consume data as it is being read)
    iqFeed4j.historical().requestIntervals(
            "AAPL",
            60,
            LocalDateTime.of(2021, 6, 10, 9, 30),
            LocalDateTime.of(2021, 6, 11, 12 + 4, 0),
            null,
            LocalTime.of(9, 30),
            LocalTime.of(12 + 4, 0),
            DataDirection.OLDEST_TO_NEWEST,
            IntervalType.SECONDS,
            new MultiMessageAdapter<Interval>() {
                @Override
                public void onMessageReceived(Interval minuteInterval) {
                    System.out.printf("Minute Interval: %s\n", minuteInterval);
                }
            });

    // Using data accumulation method (aka all data is read into memory to be consumed asynchronously)
    List<Interval> aaplIntervals = iqFeed4j.historical().requestIntervals(
            "AAPL",
            60,
            LocalDateTime.of(2021, 6, 10, 9, 30),
            LocalDateTime.of(2021, 6, 11, 12 + 4, 0),
            null,
            LocalTime.of(9, 30),
            LocalTime.of(12 + 4, 0),
            DataDirection.OLDEST_TO_NEWEST,
            IntervalType.SECONDS);
    System.out.println("AAPL minute intervals:");
    aaplIntervals.forEach(System.out::println);
} catch (IOException | InterruptedException | TimeoutException exception) {
    exception.printStackTrace();
} catch (ExecutionException executionException) {
    if (executionException.getCause() instanceof NoDataException) {
        System.err.println("No data was found for the requested Interval!");
    } else {
        executionException.printStackTrace();
    }
}

HistoricalFeedPool

HistoricalFeedPool contains a thread-safe pool of HistoricalFeeds and has IQFeed's history request rate limit built in. This class is designed to allow a user to make as many simultaneous HistoricalFeeds requests that IQFeed allows.

MarketSummaryFeed

This feed allows you to retrieve a current summary/snapshot of various market data, both historically and currently.

The following example will print out all the FiveMinuteSnapshots of NASDAQ equities.

try {
    iqFeed4j.startMarketSummaryFeed();
    iqFeed4j.marketSummary().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    List<FiveMinuteSnapshot> fiveMinuteSnapshots = iqFeed4j.marketSummary().request5MinuteSummary(
            "1", // Equity security type
            "5"); // NASDAQ group ID
    fiveMinuteSnapshots.forEach(System.out::println);
} catch (IOException | ExecutionException | InterruptedException | TimeoutException exception) {
    exception.printStackTrace();
}

NewsFeed

This feed allows you to retrieve historical news data on various tickers.

The following example gets all the NewsConfigurations and acquires all the current NewsMinorSources from it and then fetches NewsHeadlines for AAPL and TSLA on 6/10/2021 and prints them out.

try {
    iqFeed4j.startNewsFeed();
    iqFeed4j.news().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    NewsConfiguration newsConfiguration = iqFeed4j.news().requestNewsConfiguration();
    List<String> allMinorNewsSources = newsConfiguration.getCategories().stream()
            .flatMap(newsCategory -> newsCategory.getMajorSources().stream())
            .flatMap(newsMajorSource -> newsMajorSource.getMinorSources().stream())
            .map(NewsMinorSource::getID)
            .collect(Collectors.toList());

    NewsHeadlines newsHeadlines = iqFeed4j.news().requestNewsHeadlines(
            allMinorNewsSources,
            Arrays.asList("AAPL", "TSLA"),
            null,
            Collections.singletonList(LocalDate.of(6, 10, 2021)),
            null);

    newsHeadlines.getHeadlines().forEach(System.out::println);
} catch (IOException | ExecutionException | InterruptedException | TimeoutException exception) {
    exception.printStackTrace();
}

OptionChainsFeed

This feed allows you to retrieve Option chain data including: equity Option contacts, Future contracts, Future Option contracts, Future Spreads.

The following example gets 5 In-The-Money and 5 Out-Of-The-Money Equity Put and Call Option contracts for AAPL expiring in June and prints them out.

try {
    iqFeed4j.startOptionChainsFeed();
    iqFeed4j.optionChains().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    List<OptionContract> applOptions = iqFeed4j.optionChains().getEquityOptionChainWithITMOTMFilter(
            "AAPL",
            PutsCallsOption.PUTS_AND_CALLS,
            Arrays.asList(EquityOptionMonth.JUNE_PUT, EquityOptionMonth.JUNE_CALL),
            null,
            5,
            5,
            NonStandardOptionTypes.INCLUDE).get();
    applOptions.forEach(System.out::println);
} catch (IOException | InterruptedException | ExecutionException | TimeoutException exception) {
    exception.printStackTrace();
}

SymbolMarketInfoFeed

This feed allows you to retrieve current symbol information and current market information.

The following example gets all the current ListedMarkets and prints them out.

try {
    iqFeed4j.startSymbolMarketInfoFeed();
    iqFeed4j.symbolMarketInfo().waitForProtocolVersionValidation(5, TimeUnit.SECONDS);

    List<ListedMarket> listedMarkets = iqFeed4j.symbolMarketInfo().requestListedMarkets();
    listedMarkets.forEach(System.out::println);
} catch (IOException | InterruptedException | ExecutionException | TimeoutException exception) {
    exception.printStackTrace();
}

Building

To build this project yourself, clone this repository and run:

./gradlew build

To install built artifacts to your local maven repo, run:

./gradlew install

TODO

  • Level 2 Feed
  • Unit testing
  • Use TA4j Num interface instead of Double for number variables so that users can use either Double or BigDecimal for performance or precision in price data.
  • Add TimeSeriesDataStore

Contributing

Contributions are welcome!

If you are creating a Pull Request, be sure to create a new branch in your forked repository for your feature or bug fix instead of committing directly to the master branch in your fork.