https://github.com/thlorenz/pricetory

Historical market prices efficient and fast
https://github.com/thlorenz/pricetory

Last synced: 26 days ago
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Historical market prices efficient and fast

• Host: GitHub
• URL: https://github.com/thlorenz/pricetory
• Owner: thlorenz
• License: bsd-3-clause
• Created: 2012-02-14T05:12:38.000Z (almost 13 years ago)
• Default Branch: master
• Last Pushed: 2012-03-07T01:59:32.000Z (almost 13 years ago)
• Last Synced: 2024-10-23T06:14:53.463Z (2 months ago)
• Language: Haskell
• Homepage:
• Size: 289 KB
• Stars: 1
• Watchers: 3
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: Readme.md
  • License: LICENSE

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README

        
# Pricetory

- attempt at streaming historical market prices as efficient as possible

## Binary file format

Header | Tick | Tick | Tick | ...

### Header

MagicNumber | Symbol | StartTime | Interval

- MagicNumber :: Identifies file format

- Symbol      :: Word32 (the symbol that ticks are for)

- StartTime   :: Word32 (time of first tick relative to agreed on offset)

- Interval    :: Word32 (time between ticks in seconds)

- Ticks       :: Word32 (number of ticks contained in file)

HeaderExample:

assuming EurUsd code is 0x00000001

    54484f52|00000001|00ffad34|00000001|0000ffff

    - Magic Number: 0x54484f52 

    - Symbol: "EurUsd"

    - StartTime: 16 756 020 seconds

    - Interval: 1 second

    - Ticks: 65 535

### Tick

64bit struct with two 32bit fields

- TimeOffset :: Word32 (offset from start time defined in header)

- Value      :: Word32 (last 4 digits are considered after decimal, e.g., (* 10^-4)

  gets actual value