I'm trying to pull tick data for ES from IQfeed through my trial account:
QuantTools_settings(settings = list(iqfeed_host = 'localhost',iqfeed_port = '9100', iqfeed_verbose = FALSE))
from = '2017-07-01'
to = '2017-07-03'
symbol = '@es#'
options(digits.secs = 4)
Request data
test <- get_iqfeed_data(symbol, from, to, period = 'tick')
I'm not able to get bid and ask sizes through the package:
head(test)
time price volume size bid ask tick_id basis_for_last trade_market_center trade_conditions
1: 2017-07-02 18:00:00.040 2422 6 6 2422 2422 673 C 43 1
2: 2017-07-02 18:00:00.040 2422 27 33 2422 2422 673 C 43 1
3: 2017-07-02 18:00:00.040 2422 3 36 2422 2422 673 C 43 1
4: 2017-07-02 18:00:00.040 2422 9 45 2422 2422 673 C 43 1
5: 2017-07-02 18:00:00.040 2422 48 93 2422 2422 673 C 43 1
6: 2017-07-02 18:00:00.040 2422 9 102 2422 2422 673 C 43 1
Could you advise on how I can modify the query to get best bid and ask sizes? Thanks!