message = "S,SET PROTOCOL,5.1\r\nHTT,%s,20220615 000000,20220616 130000,,092900,092959\n" % sym 

# Construct the message needed by IQFeed to retrieve data
            message = "S,SET PROTOCOL,6.2\nHTT,%s,20220616 000000,20220616 130000,,092900,092959\n" % sym
#also tried multiple variations such as message = "S,SET PROTOCOL,6.2<CR><LF>\nHTT,%s,20220616 000000,20220616 130000,,092900,092959\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
            print("First part of data:" + data[0:100]) 

Downloading symbol: SPY...
First part of data:E,6.2 is not a valid protocol.,
2022-06-16 09:29:59,370.4600,100,3609350,370.4300,370.4600,80847523 

# iqfeed.py

import sys
import socket


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 = ""
    data = ""
    while True:
        data = sock.recv(recv_buffer).decode('utf-8')
        buffer += data

        # Check if the end message string arrives
        if "!ENDMSG!" in buffer:
            break

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

# iqfeed.py

# 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 = ["SPY", "AAPL", "GOOG", "AMZN"]
    #syms = ["SPY", "AAPL", "GOOG", "AMZN"]
    syms = ["AMZN"]

    # Download each symbol to disk
    with open("all.csv", mode='a+', encoding="utf8", newline='') as f:
        for sym in syms:
            print("Downloading symbol: %s..." % sym)

            # Construct the message needed by IQFeed to retrieve data
            message = "HTT,%s,20220609 000000,20220610 130000,,092900,092959\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.split("\r")) note: this is the original that doesn't include the symbol per line.
            #data = data + ","
            data = ("%s" % sym).join(data.split("\r"))
            data = data.replace(",\n","%s \n" % sym)[:-1]

            # Write the data stream to disk
            # f = open("%s.csv" % sym, "w") note: this is the original that saves each in an individual file

            # Move read cursor to the start of file.
            f.seek(0)
            # If file is not empty then append '\n'
            countdata = f.read(100)
            if len(countdata) > 0:
                f.write("\n")
            # Append text at the end of file
            f.write(data)