qdownload

qdownload is a command line IQFeed CSV market data download tool that can download EOD bars, minute bars or tick data.

Use it to download a list of symbols, or a large number of symbols stored in a text file.

Features

• Daily bars
• Minute bars
• Interval bars (volume, ticks or seconds)
• Tick data
• Parallel downloads (8 by default)
• CSV (default) or TSV format
• Uncompressed (default) or GZipped files
• Start and end date filter (all data by default)
• Bars timestamps at start of bar (default), or end of bar
• Optional time zone conversion of timestamps

Requirements

• Go to compile the project: Download Go
• IQFeed subscription and client:
  • Windows and Mac: IQFeed Client
  • Linux: IQFeed Docker Image

Installation

Use go get and install to download and compile qdownload:

go get -u github.com/nhedlund/qdownload
go install github.com/nhedlund/qdownload

Usage

Run qdownload without any arguments for usage:

$ qdownload
USAGE:
   qdownload [global options] command [command options] <symbols or symbols file>

COMMANDS:
     eod       Download EOD bars
     minute    Download minute bars
     tick      Download tick data
     interval  Download interval bars: <length> <seconds|volume|ticks>
     help, h   Shows a list of commands or help for one command

GLOBAL OPTIONS:
   --start value, -s value        start date filter: yyyymmdd
   --end value, -e value          end date filter: yyyymmdd
   --out value, -o value          output directory (default: "data")
   --timezone value, -z value     timestamps time zone (default: "ET")
   --parallelism value, -p value  number of parallel downloads (default: 8)
   --tsv, -t                      use tab separator instead of comma
   --detailed-logging, -d         detailed log output
   --gzip, -g                     compress files with gzip
   --end-timestamp, -m            use end of bar timestamps instead of start
   --help, -h                     show help

Download Apple and Microsoft stock price minute bars from 2007 to today:

$ qdownload minute aapl,msft
   • Read symbols              symbols=2
   • Downloading               symbol=AAPL
   • Downloading               symbol=MSFT
   • Completed                 duration=19177ms rows=1428612 symbol=MSFT
   • Completed                 duration=43670ms rows=1853585 symbol=AAPL

Download daily bars for 10 different symbols from a list in symbols.txt:

$ qdownload eod symbols.txt
   • Read symbols              symbols=10
   • Downloading               symbol=FB
   • Downloading               symbol=SPY
   • Downloading               symbol=NFLX
   • Downloading               symbol=AMZN
   • Downloading               symbol=GOOG
   • Downloading               symbol=AAPL
   • Downloading               symbol=GLD
   • Downloading               symbol=SLV
   • Completed                 duration=468ms rows=1238 symbol=GOOG
   • Downloading               symbol=USO
   • Completed                 duration=473ms rows=1703 symbol=FB
   • Downloading               symbol=FARM
   • Completed                 duration=612ms rows=4219 symbol=NFLX
   • Completed                 duration=611ms rows=3229 symbol=SLV
   • Completed                 duration=624ms rows=3591 symbol=GLD
   • Completed                 duration=745ms rows=5828 symbol=SPY
   • Completed                 duration=769ms rows=7342 symbol=AAPL
   • Completed                 duration=876ms rows=5478 symbol=AMZN
   • Completed                 duration=604ms rows=3242 symbol=USO
   • Completed                 duration=608ms rows=5429 symbol=FARM

Download volume 1000 interval bars for SPY starting from 2019-04-18:

$ qdownload -s 20190418 interval 1000 volume spy
   • Using newer protocol required for bar start timestamps, requiring at least IQFeed 6.0
   • Read symbols              symbols=1
   • Downloading               symbol=SPY
   • Completed                 duration=1126ms rows=50104 symbol=SPY

Download volume 1000 interval bars for SPY with timestamp at end of bar, starting from 2019-04-18:

$ qdownload -m -s 20190418 interval 1000 volume spy
   • Read symbols              symbols=1
   • Downloading               symbol=SPY
   • Completed                 duration=1120ms rows=50359 symbol=SPY

Timezone support

By default intraday timestamps use the default IQFeed time zone US Eastern Time.

However it is possible to output timestamps in a different timezone.

Use the -z option to set the output timezone to either a shortcut alias or an IANA time zone from: Time Zones

Examples:

• ET or EST for US Eastern Time (New York)
• CT or CST for US Central Time (Chicago)
• PT or PST for US Pacific Time (Los Angeles)
• UTC
• America/New_York
• Europe/Stockholm