Is there a way to get the timestamp including milliseconds when using the timeseries function of the datafeed toolbox?
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Moustafa Shama on 18 Feb 2016
Answered: Yair Altman on 12 Jan 2020
I am trying to retrieve intraday tick data from bloomberg and iqfeed using timeseries function of the datafeed toolbox. The timestamp in the result is showing only till the seconds part. I want to be able to read the milliseconds as well. I have contacted both parties and they told me that they already provide the data with milliseconds. My Matlab version is R2014b.
Yair Altman on 12 Jan 2020
IQFeed only returns the millisecs if you set the connection's IQFeed API protocol to 5.0 (see the IQFeed changelog). In certain cases (e.g., CMEGroup and equity markets), if the protocol is 5.2 or higher you may even get microsec resolution in the time fields.
As an alternative, consider using my IQML (IQFeed-Matlab) connector, which uses the latest API protocol by default. IQML enables both synchronous (blocking) and asynchronous (background) queries, that are fetched either serially or in parallel (using the Matlab Parallel Computing Toolbox). A simple usage example:
data = IQML('marketdepth', 'symbol','@ES#');
IQML was developed with top performance, reliability and usability in mind. IQML supports 100% of IQFeed's API functionality. It is fully documented, continuously maintained/improved, and I am happy to provide support.
Details: https://undocumentedmatlab.com/IQML or https://www.mathworks.com/matlabcentral/fileexchange/69814-IQML
Note: I am an independent software developer and not a MathWorks employee. Don't get angry at me for bringing an independent alternative to the table...
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