2007 Oct 07 - Sun
IQFeed Source Code Release
I havn't had much time recently to keep my IQFeed libraries (for QuantHouse/SmartQuant's QuantDeveloper) updated, and I
see there are a few users with some annoyances with the libraries. I've decided to empower them to
solve the issues themselves.
I've released the code under GPL3 license terms. For those who wish to
to use it commercially, they can contact me directly.
I'd been holding off releasing the code, hoping I could clean things
up a bit more, but I better bite the bullet and just get the code out there. Perhaps Anton can create a sub-forum for
supporting the library.
There are two libraries:
The projects are in Visual Studio 2005 SP1 format.
If you have corrections to the libraries, please email the changes to me, I'll update the code, and release an updated
version.
All the code compiles. I've used it for my own market tests and evaluations. As such, it may be a little rough around
the edges, but is usable. I never did get around to implementing the IHistory module. Instead, I bypassed that interface
and wrote a mechanism to download histories for multiple symbols simultaneously. If you do implement an IHistory
interface, let me know, I'll update the code and release it.
There are few libraries that use a SQL Database back end. the OneUnified.SmartQuant library has a SQL file for
recreating the database (you'll need to do the permissions manually), and a .csv which will load the iqMessageFormat table
with stuff that might be useful.
The reason for this is that I use Genesis Securities as my broker. They have a C++ trading library, which I've started
to integrate... in a C++ environment. With Boost (which will have time series shortly), QuantLib, GSL, and a bunch of
other
libraries, I've found I can revert back to my favorite development environment for live market trading. QD will
still remain as a solid simulation and testing environment for me (depending upon what favorable or unfavorable changes
QuantHouse makes to release arrangements--they've indicated that source code rights will no longer exist--which will suck
big time).
I'm rewriting and expanding the scalping example (from the application archive) in C++ to run properly with two trading
accounts, and provide detail I couldn't do with the C# version.
If you have questions, let me know.
Happy Trading!
[/Trading/SmartQuant]
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