| """Decoder for StrategyQuant X tick .dat files (format 4.2).
|
|
|
| Derived from SQX's own writer, disassembled out of internal/libs/SQDataLib.jar:
|
| com.strategyquant.datalib.data.io.newDataFormat.TickDataWriter
|
| com.strategyquant.datalib.data.io.newDataFormat.NewDataFormat{,Writter}
|
|
|
| Why bother, when Scripts/ExportTicks.mq5 pulls the same four fields from MT5: DEPTH. The
|
| broker's MT5 tick history goes back a few years; these files start in 2011. Sample size has
|
| been the binding constraint on this entire investigation, so 15 years of ticks is worth a
|
| decoder.
|
|
|
| FORMAT
|
| ------
|
| Header: four Java writeUTF strings (version "4.2", a type char, a column string, and an
|
| empty one), ten zero bytes, then one more writeUTF. Data follows.
|
|
|
| Records are (time, ASK, BID, volume) - ask before bid, and the writer swaps them if bid>ask,
|
| so ask is always the larger. Every BLOCK_LENGTH=1000 records a block header is emitted:
|
|
|
| MAGIC (15 bytes: 0x00..0x0e) + int32 block index + config + four raw int64 values
|
|
|
| and in between, delta records:
|
|
|
| config + four variable-width deltas against the previous record
|
|
|
| CONFIG is two bytes = four nibbles, one per field, laid out high-nibble-first:
|
|
|
| nibble = (logicType << 2) | dataType
|
| dataType : 0=BYTE(1) 1=SHORT(2) 2=INT(4) 3=LONG(8) <- chosen by |value| magnitude
|
| logicType: 0=MINUS 1=PLUS 2=ASIS <- sign carried here, not in the bytes
|
|
|
| MINUS/PLUS payloads are UNSIGNED magnitudes with the sign supplied by logicType; ASIS is a
|
| plain signed read (used for the full records at block starts).
|
|
|
| SCALING
|
| -------
|
| Prices are integers scaled by 10**decimals. SQX carries `decimals` in its own metadata, not
|
| in this file, so it is inferred here by checking which power of ten yields a sane price -
|
| and validated against the first record, which is uncompressed and therefore unambiguous.
|
| Volume divides by VOLUME_CONSTANT = 100000.0 (OLD_VOLUME_CONSTANT = 100.0 for old files).
|
| A volume of Long.MAX_VALUE is the writer's "no volume" sentinel and decodes to NaN.
|
| """
|
| import struct, sys, datetime as dt
|
| import numpy as np
|
|
|
| MAGIC = bytes(range(15))
|
| BLOCK_LENGTH = 1000
|
| VOLUME_CONSTANT = 100000.0
|
| _SIZE = (1, 2, 4, 8)
|
| MINUS, PLUS, ASIS = 0, 1, 2
|
| NO_VOLUME = (1 << 63) - 1
|
|
|
|
|
| def read_header(b):
|
| """Returns the offset at which the first block MAGIC starts, plus the header strings."""
|
| p, strs = 0, []
|
| for _ in range(4):
|
| n = struct.unpack_from('>H', b, p)[0]
|
| strs.append(b[p + 2:p + 2 + n].decode('latin1'))
|
| p += 2 + n
|
| p += 10 # ten zero bytes
|
| n = struct.unpack_from('>H', b, p)[0]
|
| strs.append(b[p + 2:p + 2 + n].decode('latin1'))
|
| p += 2 + n
|
| if b[p:p + 15] != MAGIC: # be forgiving: just find it
|
| p = b.find(MAGIC)
|
| if p < 0:
|
| raise ValueError("no block magic found in first chunk")
|
| return p, strs
|
|
|
|
|
| def _fields(cfg):
|
| """Unpack the two config bytes into four (logicType, dataType) pairs."""
|
| out = []
|
| for i in range(4):
|
| nib = (cfg[i >> 1] >> (4 if i % 2 == 0 else 0)) & 0xF
|
| out.append((nib >> 2, nib & 3))
|
| return out
|
|
|
|
|
| def decode(path, max_records=None, progress=None):
|
| """Whole-file decode into four int64 arrays. Convenient, but a full symbol is ~458M
|
| ticks = ~15 GB of arrays - use decode_iter() for anything beyond a sample."""
|
| parts = [[], [], [], []]
|
| for ts, a, b, v in decode_iter(path, max_records=max_records, progress=progress):
|
| parts[0].append(ts); parts[1].append(a); parts[2].append(b); parts[3].append(v)
|
| if not parts[0]:
|
| return tuple(np.empty(0, dtype=np.int64) for _ in range(4))
|
| return tuple(np.concatenate(p) for p in parts)
|
|
|
|
|
| def find_block(f, approx, size, window=1 << 20):
|
| """Byte offset of the first VALID block header at or after `approx`, or None.
|
|
|
| This is what makes the format parallel-decodable: a block header restates all four
|
| fields as absolute int64s, so a decoder can start there cold with no history. The catch
|
| is that MAGIC is 0x00..0x0e, a byte run that delta payloads produce by coincidence
|
| fairly often - a small negative delta on a LONG field is a lot of zero bytes. So a
|
| candidate is only accepted when the NEXT candidate downstream carries the next
|
| sequential block index, which junk essentially never does.
|
| """
|
| def candidate(off):
|
| """(offset, block_index, timestamp) of the first plausible header at/after off."""
|
| p = off
|
| while p < size:
|
| f.seek(p)
|
| buf = f.read(window + 64)
|
| if len(buf) < 21 + 32:
|
| return None
|
| k = 0
|
| while True:
|
| k = buf.find(MAGIC, k)
|
| if k < 0 or k + 15 + 4 + 2 + 32 > len(buf):
|
| break
|
| idx = struct.unpack_from('>i', buf, k + 15)[0]
|
| t, a, b, _v = struct.unpack_from('>4q', buf, k + 15 + 4 + 2)
|
| #--- a real header: sane block index, epoch-ms in [2000, 2035], ask >= bid > 0
|
| if (0 <= idx < (1 << 28) and 946684800000 <= t <= 2051222400000
|
| and a >= b > 0):
|
| return (p + k, idx, t)
|
| k += 1
|
| p += window
|
| return None
|
|
|
| first = candidate(approx)
|
| while first is not None:
|
| nxt = candidate(first[0] + 15 + 4 + 2 + 32)
|
| if nxt is None:
|
| return first[0] # last block in the file
|
| if nxt[1] == first[1] + 1 and nxt[2] >= first[2]:
|
| return first[0]
|
| first = nxt # the first was noise; try the next
|
| return None
|
|
|
|
|
| def split_offsets(path, nchunks):
|
| """Byte ranges [(start, stop), ...] on block boundaries covering the whole file.
|
|
|
| Half-open and contiguous: chunk k's stop IS chunk k+1's start, so every record is
|
| decoded exactly once with no duplicates and no gaps.
|
| """
|
| import os
|
| size = os.path.getsize(path)
|
| with open(path, 'rb') as f:
|
| head = f.read(1 << 16)
|
| first, _ = read_header(head)
|
| if nchunks <= 1:
|
| return [(first, size)]
|
| cuts = [first]
|
| span = (size - first) // nchunks
|
| for k in range(1, nchunks):
|
| off = find_block(f, first + k * span, size)
|
| #--- keep it only if it is strictly after the previous cut
|
| if off is not None and off > cuts[-1]:
|
| cuts.append(off)
|
| cuts.append(size)
|
| return [(cuts[i], cuts[i + 1]) for i in range(len(cuts) - 1)]
|
|
|
|
|
| def decode_iter(path, batch=2000000, max_records=None, progress=None, start=None, stop=None):
|
| """Streaming decode. Yields (time_ms, ask_i, bid_i, vol_i) int64 arrays in batches.
|
|
|
| A full symbol here is hundreds of millions of ticks, so nothing that wants the whole
|
| file can afford to materialise it. Everything downstream aggregates to bars in one pass.
|
|
|
| start/stop: decode only the byte range [start, stop), which MUST begin on a block
|
| boundary - see split_offsets(). Used to decode one file across many processes, since
|
| this per-record loop is pure Python and saturates exactly one core.
|
| """
|
| f = open(path, 'rb')
|
| if start is None:
|
| head = f.read(1 << 16)
|
| start, strs = read_header(head)
|
| f.seek(start)
|
|
|
| ts, asks, bids, vols = [], [], [], []
|
| t = a = bd = v = 0
|
| buf = b''
|
| pos = 0
|
| base = start # absolute file offset of buf[0]
|
| CH = 1 << 22
|
| eof = False
|
| n = 0
|
| while True:
|
| if len(buf) - pos < 64 and not eof:
|
| buf = buf[pos:]
|
| base += pos
|
| pos = 0
|
| more = f.read(CH)
|
| if not more:
|
| eof = True
|
| buf += more
|
| if len(buf) - pos < 2:
|
| break
|
| if stop is not None and base + pos >= stop:
|
| break
|
| if buf[pos:pos + 15] == MAGIC:
|
| pos += 15 + 4 # magic + int32 block index
|
| if len(buf) - pos < 2 + 32:
|
| break
|
| cfg = buf[pos:pos + 2]; pos += 2
|
| t, a, bd, v = struct.unpack_from('>4q', buf, pos)
|
| pos += 32
|
| else:
|
| cfg = buf[pos:pos + 2]
|
| fs = _fields(cfg)
|
| need = 2 + sum(_SIZE[d] for _, d in fs)
|
| if len(buf) - pos < need:
|
| if eof:
|
| break
|
| buf = buf[pos:]; base += pos; pos = 0
|
| more = f.read(CH)
|
| if not more:
|
| eof = True
|
| buf += more
|
| if len(buf) < need:
|
| break
|
| continue
|
| q = pos + 2
|
| vals = []
|
| for logic, dtp in fs:
|
| sz = _SIZE[dtp]
|
| raw = int.from_bytes(buf[q:q + sz], 'big', signed=(logic == ASIS))
|
| q += sz
|
| vals.append(-raw if logic == MINUS else raw)
|
| pos = q
|
| t += vals[0]; a += vals[1]; bd += vals[2]; v += vals[3]
|
| ts.append(t); asks.append(a); bids.append(bd); vols.append(v)
|
| n += 1
|
| if progress and n % progress == 0:
|
| print(f" {n:,} ticks {dt.datetime.fromtimestamp(t/1000, dt.UTC):%Y-%m-%d}", flush=True)
|
| if len(ts) >= batch:
|
| yield (np.array(ts, dtype=np.int64), np.array(asks, dtype=np.int64),
|
| np.array(bids, dtype=np.int64), np.array(vols, dtype=np.int64))
|
| ts, asks, bids, vols = [], [], [], []
|
| if max_records and n >= max_records:
|
| break
|
| f.close()
|
| if ts:
|
| yield (np.array(ts, dtype=np.int64), np.array(asks, dtype=np.int64),
|
| np.array(bids, dtype=np.int64), np.array(vols, dtype=np.int64))
|
|
|
|
|
| def calibrate_decimals(ts, ask_i, ref_time_s, ref_close, verbose=True):
|
| """Determine the price scale by matching against a KNOWN reference series.
|
|
|
| SQX keeps `decimals` in metadata outside the .dat, and it cannot be inferred from the
|
| file alone: 1216010000 is a plausible price at 10^3 (1216010), 10^5 (12160.1) or 10^6
|
| (1216.01), and nothing in the bytes distinguishes them. Guessing here would be exactly
|
| the kind of silent, plausible-looking error this project keeps getting burned by - a
|
| 100x price scale error would not crash anything, it would just quietly rescale every
|
| ATR-normalised feature downstream.
|
|
|
| So instead: take a reference series for the same instrument (the MT5 rate exports under
|
| Common\\Files\\Warrior_EA\\Research), find the tick nearest each reference bar time, and
|
| pick the power of ten minimising median relative error. A correct scale lands at ~0;
|
| every wrong one is off by a factor of ten or more, so the decision is never marginal.
|
| """
|
| ref_ms = (ref_time_s * 1000).astype(np.int64)
|
| lo, hi = ts[0], ts[-1]
|
| m = (ref_ms >= lo) & (ref_ms <= hi)
|
| if m.sum() < 50:
|
| raise ValueError(f"only {int(m.sum())} overlapping reference bars - cannot calibrate")
|
| rt, rc = ref_ms[m], ref_close[m]
|
| idx = np.searchsorted(ts, rt).clip(1, len(ts) - 1)
|
| got = ask_i[idx].astype(float)
|
| best, best_err = None, np.inf
|
| for d in range(0, 11):
|
| err = float(np.median(np.abs(got / (10.0 ** d) - rc) / np.maximum(np.abs(rc), 1e-9)))
|
| if verbose:
|
| print(f" decimals={d:<3} median rel.err {err:12.6f}")
|
| if err < best_err:
|
| best, best_err = d, err
|
| if best_err > 0.05:
|
| raise ValueError(f"best scale (decimals={best}) still off by {best_err:.1%} - "
|
| "reference series may be a different instrument")
|
| return best, best_err
|
|
|
|
|
| def to_frame(path, max_records=None, decimals=None, volume_constant=VOLUME_CONSTANT,
|
| progress=None, ref=None):
|
| """decimals: pass explicitly, or pass ref=(time_s, close) to calibrate against a known
|
| series. There is no safe default - see calibrate_decimals()."""
|
| ts, ai, bi, vi = decode(path, max_records, progress)
|
| if decimals is None:
|
| if ref is None:
|
| raise ValueError("pass decimals=... or ref=(time_s, close) - see calibrate_decimals()")
|
| decimals, _ = calibrate_decimals(ts, ai, ref[0], ref[1])
|
| scale = 10.0 ** decimals
|
| ask = ai / scale
|
| bid = bi / scale
|
| vol = np.where(vi == NO_VOLUME, np.nan, vi / volume_constant)
|
| return ts, bid, ask, vol, decimals
|
|
|
|
|
| if __name__ == '__main__':
|
| # usage: python sqx.py <file.dat> [max_records] [--ref SYMBOL | --decimals N]
|
| sys.stdout.reconfigure(encoding='utf-8', errors='replace')
|
| path = sys.argv[1]
|
| lim = int(sys.argv[2]) if len(sys.argv) > 2 and not sys.argv[2].startswith('-') else None
|
| dec_arg, ref_sym = None, None
|
| if '--decimals' in sys.argv:
|
| dec_arg = int(sys.argv[sys.argv.index('--decimals') + 1])
|
| if '--ref' in sys.argv:
|
| ref_sym = sys.argv[sys.argv.index('--ref') + 1]
|
| ref = None
|
| if ref_sym:
|
| from kit import load_rates
|
| rt, ro, rh, rl, rc, rv, rs = load_rates(ref_sym, 16385)
|
| ref = (rt, rc)
|
| print(f"calibrating scale against {ref_sym} H1 closes:")
|
| ts, bid, ask, vol, dec = to_frame(path, max_records=lim, decimals=dec_arg,
|
| progress=5000000, ref=ref)
|
| print(f"\ndecoded {len(ts):,} ticks decimals={dec}")
|
| print(f"span {dt.datetime.fromtimestamp(ts[0]/1000, dt.UTC)}"
|
| f" -> {dt.datetime.fromtimestamp(ts[-1]/1000, dt.UTC)}")
|
| print(f"bid min {np.nanmin(bid):.5f} max {np.nanmax(bid):.5f}")
|
| spread = ask - bid
|
| print(f"spread median {np.nanmedian(spread):.5f} negative: {(spread<0).sum()}")
|
| print(f"time monotonic: {bool((np.diff(ts)>=0).all())} "
|
| f"max gap {np.max(np.diff(ts))/1000/3600:.1f} h")
|
| print(f"volume: median {np.nanmedian(vol)} nan {int(np.isnan(vol).sum()):,}")
|
| print("\nfirst 5:")
|
| for i in range(5):
|
| print(f" {dt.datetime.fromtimestamp(ts[i]/1000, dt.UTC)} "
|
| f"bid {bid[i]:.5f} ask {ask[i]:.5f} vol {vol[i]}")
|
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