CBitBuffer/TicksShort_VLQ/TicksShort.mqh

//+------------------------------------------------------------------+
//|                                                   TicksShort.mqh |
//|                                        Copyright © 2025, Amr Ali |
//|                             https://www.mql5.com/en/users/amrali |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2025, Amr Ali"
#property link      "https://www.mql5.com/en/users/amrali"
#property version   "1.02"
#property description "Implementation of the 'TicksShort' library by 'fxsaber' utilizing VLQ encoding."
#property description "Source: https://www.mql5.com/ru/code/61126"

//+------------------------------------------------------------------+
//| Class: TICKS_SHORT                                               |
//| Description: Delta + VLQ Compression for MqlTick[]               |
//| Features:                                                        |
//|   - Delta encoding of time, bid, and ask prices                  |
//|   - ZigZag transform to handle signed values                     |
//|   - VLQ variable-length integer encoding                         |
//|   - Optimized for speed and minimal allocations                  |
//+------------------------------------------------------------------+
#include "..\CBitBuffer.mqh"
class TICKS_SHORT
  {
private:
   static long PriceToInteger(const double price, const double power)
     {
      //return (long)MathRound(price * power);
      return (long)(price * power + 0.5);
     }

public:
   //+---------------------------------------------------------------+
   //| Compress ticks into ulong buffer                              |
   //+---------------------------------------------------------------+
   static int Compress(const MqlTick &ticks[], ulong &compressed[], const int iDigits = -1)
     {
      const int nticks = ArraySize(ticks);
      if (nticks == 0) { ArrayFree(compressed); return 0; }

      const int digits = (iDigits < 0) ? _Digits : MathMin(iDigits, 7);
      const double power = MathPow(10, digits);

      CBitBuffer buffer(nticks * 7); // Pre-allocate 7 bytes per tick (rough upper bound)
      buffer.WriteInt(nticks);
      buffer.WriteVarInt(digits);

      long prev_time = 0, prev_bid = 0, prev_ask = 0;
      for (int i = 0; i < nticks; i++)
        {
         const MqlTick t = ticks[i];
         buffer.WriteVarLong(t.time_msc - prev_time); // ZigZag + VLQ encode each delta
         buffer.WriteVarLong(PriceToInteger(t.bid, power) - prev_bid);
         buffer.WriteVarLong(PriceToInteger(t.ask, power) - prev_ask);

         if (buffer.GetLastError() != BIT_BUFFER_NO_ERROR)
           {
            PrintFormat("ERROR: Caught buffer error in Compress: %s", buffer.GetLastErrorString());
            return -1; // Error in compression
           }

         prev_time = t.time_msc; // Update previous
         prev_bid  = PriceToInteger(t.bid, power);
         prev_ask  = PriceToInteger(t.ask, power);
        }

      if (!buffer.GetFinalizedBuffer(compressed)) // Export to compressed[]
         return -1;

      return ArraySize(compressed); // Number of ULongs written
     }

   //+---------------------------------------------------------------+
   //| Decompress ulong buffer back to ticks                         |
   //+---------------------------------------------------------------+
   static int Decompress(const ulong &compressed[], MqlTick &out_ticks[])
     {
      const int size = ArraySize(compressed);
      if (size == 0) { ArrayFree(out_ticks); return 0; }

      CBitBuffer buffer;
      if(!buffer.SetRawBuffer(compressed)) // Import from compressed[]
         return -1;

      const int totalCompressedTicks = buffer.ReadInt();
      const int digits = buffer.ReadVarInt();
      const double point = MathPow(10, -digits);

      if (ArrayResize(out_ticks, totalCompressedTicks) == -1)
        {
         Print("ERROR: Failed to resize ticks array in Decompress.");
         return -1;
        }

      long time = 0, bid = 0, ask = 0;
      for (int i = 0; i < totalCompressedTicks; i++)
        {
         time += buffer.ReadVarLong();  // Delta reconstruction
         bid  += buffer.ReadVarLong();
         ask  += buffer.ReadVarLong();

         if (buffer.GetLastError() != BIT_BUFFER_NO_ERROR)
           {
            PrintFormat("ERROR: Caught buffer error in Decompress: %s", buffer.GetLastErrorString());
            return -1; // Error in decompression
           }

         MqlTick tick = {};
         tick.time_msc = time;
         tick.bid  = NormalizeDouble(bid * point, digits);
         tick.ask  = NormalizeDouble(ask * point, digits);
         tick.time = (datetime)(time / 1000);
         out_ticks[i] = tick; // Append reconstructed tick
        }

      return ArraySize(out_ticks); // Number of MqlTicks written
     }

   //+---------------------------------------------------------------+
   //| Compress ticks and save to file                               |
   //+---------------------------------------------------------------+
   static bool Save(const string fileName, const MqlTick &ticks[],
                    const bool common = false, const int iDigits = -1)
     {
      ulong compressed[];
      int count = Compress(ticks, compressed, iDigits);
      if (count < 0) return false; // Error in compression

      return FileSave(fileName, compressed, (common ? FILE_COMMON : 0));
     }

   //+---------------------------------------------------------------+
   //| Load compressed ticks from file and decompress                |
   //+---------------------------------------------------------------+
   static int Load(const string fileName, MqlTick &ticks[], const bool common = false)
     {
      ulong compressed[];
      int countLoaded = (int)FileLoad(fileName, compressed, (common ? FILE_COMMON : 0));
      if (countLoaded <= 0) { ArrayFree(ticks); return countLoaded; }
      ArrayResize(compressed, countLoaded);

      int decompressedCount = Decompress(compressed, ticks);
      return(decompressedCount);
     }

   //+---------------------------------------------------------------+
   //| Equality check functions                                      |
   //+---------------------------------------------------------------+
   static bool IsEqual(const MqlTick &Tick1, const MqlTick &Tick2)
     {
      return((Tick1.bid == Tick2.bid) && (Tick1.ask == Tick2.ask) && (Tick1.time_msc == Tick2.time_msc));
     }

   static bool IsEqual(const MqlTick &Ticks1[], const MqlTick &Ticks2[])
     {
      const int size = ArraySize(Ticks1);
      bool Res = (ArraySize(Ticks2) == size);
      for (int i = 0; Res && (i < size); i++)
         Res = IsEqual(Ticks1[i], Ticks2[i]);
      return(Res);
     }

   static bool IsEqual(const MqlTick &Ticks[], const ulong &Compressed[])
     {
      MqlTick Ticks2[];
      int decompressedCount = Decompress(Compressed, Ticks2);
      if (decompressedCount == -1) return false; // Decompression error
      return IsEqual(Ticks, Ticks2);
     }
  };