6 releases
0.2.3 | Mar 11, 2023 |
---|---|
0.2.2 | Dec 21, 2022 |
0.1.1 | Dec 15, 2022 |
#15 in #tick
50KB
244 lines
bi5
Library and CLI utility for parsing bi5
tick files.
Bi5 is a simple file format for storing tick data (see below). The format is used by the swiss broker dukascopy, for example.
Usage
read_bi5_file
reads a single file and returns Vec<Tick>
or Error
.
use bi5::*;
let ticks = read_bi5_file("test/test.bi5", None).expect("Read failed");
assert_eq!(
ticks.first(),
Some(&Tick { millisecs: 1860002, ask: 133153, bid: 133117, askvol: 0.015, bidvol: 0.02 })
);
Bi5 files and directories can also be read using an iterator:
use bi5::*;
let bi5 = Bi5::new("test/test.bi5", None);
for (date_time, tick) in bi5.iter().expect("File error") {
println!("{},{}", date_time, tick);
}
Bi5 files only contain a time offset. If the base date/time is known it can be passed to the constructor
let bi5 = Bi5::new("test/test.bi5", Some(date_time));
catbi5 utility
The catbi5
utility dumps a bi5
tick file to stdout.
Usage: catbi5 [OPTIONS] <FILE>
Arguments:
<FILE> Filename
Options:
-d, --date <DATE_TIME> Date in yyyy-mm-ddTHH:MM:SS format
-s, --sep <SEP> Separator [default: "\t"]
-c, --count Count ticks
-h, --help Print help information
-V, --version Print version information
When no date is provided the base is 0000-01-01T00:00:00
. Otherwise the proper datetime is calculated from the date input.
The output of catbi5 test/test.bi5 -d2022-12-16T14:00:00 -s, | head -4
, for example, looks like this
t,bid,ask,bidsize,asksize
2022-12-16 14:31:00.002,133117,133153,0.02,0.015
2022-12-16 14:31:00.124,133128,133133,0.000043,0.0075
2022-12-16 14:31:00.174,133067,133103,0.02,0.015
bi5 Format
A bi5 file is a lzma encoded sequence of ticks, where each tick is encoded as follows:
Field | Format | Description |
---|---|---|
millisecs | u32 | Milliseconds since epoch start |
ask | u32 | Ask price |
bid | u32 | Bid price |
askvol | f32 | Ask size |
bidvol | f32 | Bid size |
All fields are big-endian encoded.
Dependencies
~4–11MB
~121K SLoC