nhedlund / qdownload Goto Github PK
View Code? Open in Web Editor NEWIQFeed CSV market data download tool
License: MIT License
IQFeed CSV market data download tool
License: MIT License
Would really appreciate it if you could include the feature to specify the interval type, to download interval bars (eg. new bar every 100 shares traded).
eg. qdownload -v 100 aapl
would download a csv with a new OHLC row after every 100 shares traded
[IntervalType] - Optional - 's' (default) for time intervals in seconds, 'v' for volume intervals, 't' for tick intervals
It's already implemented in the IQFeed developer API for historical data.
Currently building will fail with >v1 of urfave/cli. Quick fix is changing the import to "gopkg.in/urfave/cli.v1" without any other code changes.
But didn't want to send that in a pull in case you'd prefer to update the script instead. (I'm not a Go programmer for the most part...and I failed at a stab in updating it the v2/3.)
When downloading the same data from iqfeed with different timezones, e.g. -z UTC
vs without option, there is a one hour time difference.
Ubuntu 20.04 LTS minimal, x86_64
qdownload -o EST --start 20210515 interval 300 seconds AAL
qdownload -z UTC -o UTC --start 20210515 interval 300 seconds AAL
and run attached python script.
Difference
TimedeltaIndex(['0 days 01:00:00', '0 days 01:00:00', '0 days 01:00:00',
'0 days 01:00:00', '0 days 01:00:00', '0 days 01:00:00',
'0 days 01:00:00', '0 days 01:00:00', '0 days 01:00:00',
'0 days 01:00:00'],
dtype='timedelta64[ns]', name='datetime', freq=None)
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