bi5

Library and CLI utility for parsing bi5 tick files.

Bi5 is a simple file format for storing tick data (see below). The format is used by the swiss broker dukascopy, for example.

Usage

Rust use bi5::*; let ticks = read_bi5("test/test.bi5").expect("Read failed"); assert_eq!( ticks.first(), Some(&Tick { millisecs: 1860002, ask: 133153, bid: 133117, askvol: 0.015, bidvol: 0.02 }) );

catbi5 utility

The catbi5 utility dumps a bi5 file to stdout.

```markdown Usage: catbi5 [OPTIONS]

Arguments: Filename

Options: -d, --date Date in yyyy-mm-ddTHH:MM:SS format -s, --sep Separator [default: "\t"] -c, --count Count ticks -h, --help Print help information -V, --version Print version information ```

When no date is provided the output shows the milliseconds. Otherwise the proper datetime is calculated and shown.

When output of catbi5 test/test.bi5 -d2022-12-15T14:00:00 -s, | head -4, for example, looks like this

markdown t,bid,ask,bidvol,askvol 2022-12-15 14:31:00.002,133117,133153,0.02,0.015 2022-12-15 14:31:00.124,133128,133133,0.000043,0.0075 2022-12-15 14:31:00.174,133067,133103,0.02,0.015 2022-12-15 14:31:00.265,133078,133102,0.00036,0.015

bi5 Format

A bi5 file is a lzma encoded sequence of ticks, where each tick is encoded as follows:

| Field | Format | Description | | --------- | ------ | ------------------------------ | | millisecs | u32 | Milliseconds since epoch start | | ask | u32 | Ask price | | bid | u32 | Bid price | | askvol | f32 | Ask size | | bidvol | f32 | Bid size |

All fields are big-endian encoded.