mql5-tick-compression/tests/data/to_ticks.py

#!/usr/bin/env python3
"""Convert a tick parquet file into the raw test format:
little-endian records of (int64 time_msc, double bid, double ask), 24 bytes each.

usage: to_ticks.py input.parquet output.ticks [point_scale]
If point_scale is given, integer price columns are divided by it (Dukascopy layout).
"""
import os
import struct
import sys

sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
from parquet_mini import read_parquet  # noqa: E402


def main():
    src, dst = sys.argv[1], sys.argv[2]
    scale = int(sys.argv[3]) if len(sys.argv) > 3 else 0
    cols, leaves, nrows = read_parquet(src)
    names = [l[0] for l in leaves]
    ts = cols['timestamp']
    if 'bid' in names:
        bid, ask = cols['bid'], cols['ask']
    else:
        bid, ask = cols['bid_price'], cols['ask_price']
    out = bytearray()
    pack = struct.Struct('<qdd').pack
    for i in range(len(ts)):
        b = bid[i]
        a = ask[i]
        if scale:
            b = b / scale
            a = a / scale
        out += pack(ts[i], float(b), float(a))
    with open(dst, 'wb') as f:
        f.write(out)
    print(dst, len(ts), 'ticks')


if __name__ == '__main__':
    main()