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IQFeed for live trading in LEAN

I'm thinking about using IQFeed for market data with IB using the " live-interactive-iqfeed " environment

Quick question. Do i have to start IQFeed prior to starting LEAN or will the LEAN engine start the IQFeed process?

Thanks

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Hi Jared,

Did you find anything wrong on your side?

Thanks.

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If _symbolUniverse is null then Connect() was never called; this isn't what the logs show. 

IQFeedDataQueueUniverseProvider.cs -> Before L360 -> Try this: 

if (futuresTicker == "TST$Y") continue;

Does L90 return a lot of symbols?

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Yes after the code'

    symbols = LoadSymbols()

returns 83800 symbols in it. Looks good.

Skipping the TST$Y ticker avoids the first error but it still fails at the 'sequence contains no elements' error mentioned previously.

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I'm not sure if this is correct or not but when the method LoadSymbols calls the following code

var parsed = SymbolRepresentation.ParseFutureTicker ( futuresTicker );
var underlyingString = parsed.Underlying;

With the futuresTicker = "CLQF19" it retruns "CLQ" as the underlying string

But the _iqFeedNameMap maps the string "QCL" to CL

So maybe the underlying string for the symbol and the map are out of sync?

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@Jared What do you think the chances of this getting fixed are in the near term? I understand it's open source and part of the toolbox. I just curretly cannot move forward and really need the stability of the IQFeed.

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Actually, I had error about "unzipping" when I tried to use LEAN as a "desktop" framework for options only. For stocks it worked fine.  I've been using desktop version in testing mode on Windows 10

I didn't spend much time debugging it and switched back to live testing, but I assume that in case of options it downloads history as some Zip archive and, most probably, some path in Lean is hardcoded for Linux, or live server, so desktop version simply don't know where to unpack historical quotes. 

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ScalpTrader please give that a go. We've pushed a fix for the futures IQFeed adaptor.

artemiusgreat Not sure what you're saying but IQFeed is only for live-trading in LEAN. If you have a specific issue you can clearly state the community may look into it with your help.

Open source is free as in freedom to modify and extend as you wish; not free as in free-beer.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Jared Broad I have tested the fix submitted by JJD and it seems to be working well. Thanks a lot for getting this fixed.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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