IQFeed Historical data downloader

iqfeed_hist.py

import socket


# https://ws1.dtn.com/IQ/Guide/

def read_historical_data_socket(sock, recv_buffer=4096):
    """
    Read the information from the socket, in a buffered
    fashion, receiving only 4096 bytes at a time.

    Parameters:
    sock - The socket object
    recv_buffer - Amount in bytes to receive per read
    """
    buffer = b""
    while True:
        data = sock.recv(recv_buffer)
        buffer += data

        # Check if the end message string arrives
        if "!ENDMSG!".encode() in buffer:
            break

    # Remove the end message string
    buffer = buffer[:-12]
    return buffer

# iqfeed.py

if __name__ == "__main__":
    # Define server host, port and symbols to download
    host = "127.0.0.1"  # Localhost
    port = 9100  # Historical data socket port
    syms = ["EURUSD.FXCM", "EURUSD.COMP", "XAUUSD.FXCM", "XAUUSD.COMP", "@ESU23","@M6EU23","@M6BU23"]

    # Download each symbol to disk
    for sym in syms:
        print("Downloading symbol: %s..." % sym)

        # Construct the message needed by IQFeed to retrieve data
        # message = "HIT,%s,60,20230801 075000,,,093000,160000,1\n" % sym
        message = "HTD,%s,2,,093000,160000,1,,\n" % sym

        # Open a streaming socket to the IQFeed server locally
        sock = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
        sock.connect((host, port))

        # Send the historical data request
        # message and buffer the data
        sock.sendall(message.encode())
        data = read_historical_data_socket(sock)
        sock.close()

        # Remove all the endlines and line-ending
        # comma delimiter from each record
        data = "".join(data.decode().split("\r"))
        data = data.replace(",\n","\n")[:-1]

        # Write the data stream to disk
        f = open("%s.csv" % sym, "w")
        f.write(data)
        f.close()