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Post From: Python for Sierra Chart

[2014-07-06 12:32:55]
[Go To First Post]
ganz - Posts: 1048
Hi All

I'm not a programmer so this is my simple solution
to get data from *.scid and store it to *.hdf5
in order to pandas it later


#!/usr/bin/python3
import struct
import datetime as dt
import sys
import pandas as pd
import numpy as np

inputfile = open(sys.argv[1],'rb')
dt.timedelta(microseconds=1)

with inputfile as f:
  f.read(56)
  df_src=[]
  ts_src=[]
  while True:
    tick=f.read(40)
    if not tick:
      break
    src = struct.unpack('d4f4L', tick)
    ts_tmp=dt.datetime(1899, 12, 30) + dt.timedelta(src[0])
    ts_src.append(ts_tmp)
    df_tmp=[src[4],src[7],src[8]]
    df_src.append(df_tmp)
tubus = pd.HDFStore('tubus.h5')
df=pd.DataFrame(df_src, index=ts_src, columns=['Price', 'bidVol', 'askVol'])
df.to_hdf('tubus.h5','df')
print(df.index)
print(df.head())
print(tubus)
tubus.close()

1. how to run it: ~/>python3 this_script.py chart.scid

2. the script parses *.scid and creates the df DataFrame (TimeSeries): Price, bidVol, askVol

3. the script creates HDF5 file tubus.h5 and stores df

for 500MB.scid it takes 48s on i5/hugeRAM/HDD
Date Time Of Last Edit: 2014-07-06 12:34:11