The iqfeed package provides a basic TCP/IP interface between R and DTN
IQFeed. It requires TCP/IP access to IQFeed. The package only contains
a few basic functions for historic LI stock and equity options. We plan
on added Level II and more Level I functions in the near future. The
packages returns all time series data in xts format.

Example:
require(iqfeed)
iqConf()
t0 <- "2010-01-18 15:25:00"
t1 <- "2010-01-22 10:00:00"
trades <- HIT("MSFT",interval=60,start=t0,end=t1)

daily <- HDX("XOM",days=14)
daily

# Options chain lookup example
symbols <- CEO("MSFT")
symbols
 [1] "MSQ1022E25" "MSQ1022E26" "MSQ1022E27" "MSQ1022E28" "MSQ1022E29"
 [6] "MSQ1022E30" "MSQ1022E31" "MSQ1022E32" "MSQ1022E33" "MSQ1022E34"
[11] "MSQ1022E35" "MSQ1022Q25" "MSQ1022Q26" "MSQ1022Q27" "MSQ1022Q28"
[16] "MSQ1022Q29" "MSQ1022Q30" "MSQ1022Q31" "MSQ1022Q32" "MSQ1022Q33"
[21] "MSQ1022Q34" "MSQ1022Q35"

# Convert to standard OSI format (e.g., for use by a broker), and back:
osi(symbols[1])
[1] "MSQ   100522C00025000"
osi2iq(.Last.value)
[1] "MSQ1022E25"