With Interactive Brokers one can download data into R directly via using the IBrokers package (https://cran.r-project.org/web/packages/IBrokers/index.html).

Would anyone know if this is possible with any other data feed, like for example Rithmic and CQG? (particularly interested in these two, but the question applies to any).

Thanks

There are a few solutions to interface R to IQfeed..

https://github.com/bwlewis/iqfeed

https://github.com/sobotklp/pyqfeed/blob/master/setup.py

To talk to IQfeed, you actually open a socket and make a request according to their API