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fx-data-convert-to-csv.py
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fx-data-convert-to-csv.py
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#!/usr/bin/env python3
# -*- coding: utf-8 -*-
import argparse
import bstruct
import csv
import datetime
import math
import struct
import sys
class Input:
def __init__(self, fileName):
if args.verbose:
print("[INFO] Trying to read data from %s..." % fileName)
try:
with open(fileName, "rb") as inputFile:
self.content = inputFile.read()
except OSError as e:
print(
"[ERROR] '%s' raised when tried to read the file '%s'"
% (e.strerror, e.fileName)
)
sys.exit(1)
self._checkFormat()
if self.rowLength != 0:
self.numberOfRows = (
len(self.content) - self.headerLength
) // self.rowLength
self._parse()
def _checkFormat(self):
if (len(self.content) - self.headerLength) % self.rowLength != 0:
print("[ERROR] File length isn't valid for this kind of format!")
if self.version != struct.unpack("<i", self.content[0:4])[0]:
print("[ERROR] Unsupported format version!")
sys.exit(1)
def _parse(self):
pass
class HCC(Input):
rowLength = 0
headerLength = 228
version = 501
def _checkFormat(self):
header = HccHeader(self.content)
if header.magic != 501:
print("[ERROR] Unsupported format version!")
sys.exit(1)
def _parse(self):
self.rows = []
# Skip the header
base = HccHeader._size
# Consume all the tables
while True:
t = HccTable(self.content, base)
if t.off == t.size == 0:
break
# Consume all the records
rh = HccRecordHeader(self.content, t.off)
assert rh.magic == 0x81
# We have to keep track of the cursor as some records have various
# trailing bytes
row_base = t.off + HccRecordHeader._size
for i in range(rh.rows):
tick = HccRecord(self.content, row_base)
assert tick.separator & 0x00088884 == 0x00088884
self.rows += [
{
"timestamp": datetime.datetime.fromtimestamp(tick.time),
"open": tick.open,
"high": tick.high,
"low": tick.low,
"close": tick.close,
}
]
row_base += HccRecord._size + (
((tick.separator >> 28) & 15)
+ ((tick.separator >> 24) & 15)
+ ((tick.separator >> 20) & 15)
)
base += HccTable._size
def __str__(self):
table = ""
separator = ","
for row in self.rows:
table += "{:<19}".format("{:%Y.%m.%d %H:%M:%S}".format(row["timestamp"]))
table += separator
table += "{:>9.5f}".format(row["open"])
table += separator
table += "{:>9.5f}".format(row["high"])
table += separator
table += "{:>9.5f}".format(row["low"])
table += separator
table += "{:>9.5f}".format(row["close"])
table += "\n"
return table[:-1]
def toCsv(self, fileName):
with open(fileName, "w", newline="") as csvFile:
writer = csv.writer(csvFile, quoting=csv.QUOTE_NONE)
for row in self.rows:
writer.writerow(
[
"{:%Y.%m.%d %H:%M:%S}".format(row["timestamp"]),
"{:.5f}".format(row["open"]),
"{:.5f}".format(row["high"]),
"{:.5f}".format(row["low"]),
"{:.5f}".format(row["close"]),
]
)
class HST509(Input):
version = 400
headerLength = 148
rowLength = 44
def _parse(self):
self.rows = []
for i in range(0, self.numberOfRows):
base = self.headerLength + i * self.rowLength
self.rows += [
{
"timestamp": datetime.datetime.fromtimestamp(
struct.unpack("<i", self.content[base : base + 4])[0],
datetime.timezone.utc,
),
"open": struct.unpack("<d", self.content[base + 4 : base + 4 + 8])[
0
],
"low": struct.unpack(
"<d", self.content[base + 4 + 8 : base + 4 + 2 * 8]
)[0],
"high": struct.unpack(
"<d", self.content[base + 4 + 2 * 8 : base + 4 + 3 * 8]
)[0],
"close": struct.unpack(
"<d", self.content[base + 4 + 3 * 8 : base + 4 + 4 * 8]
)[0],
"volume": struct.unpack(
"<d", self.content[base + 4 + 4 * 8 : base + 4 + 5 * 8]
)[0],
}
]
def __str__(self):
table = ""
separator = ","
for row in self.rows:
table += "{:<19}".format("{:%Y.%m.%d %H:%M:%S}".format(row["timestamp"]))
table += separator
table += "{:>9.5f}".format(row["open"])
table += separator
table += "{:>9.5f}".format(row["high"])
table += separator
table += "{:>9.5f}".format(row["low"])
table += separator
table += "{:>9.5f}".format(row["close"])
table += separator
table += "{:>12.2f}".format(row["volume"])
table += "\n"
return table[:-1]
def toCsv(self, fileName):
with open(fileName, "w", newline="") as csvFile:
writer = csv.writer(csvFile, quoting=csv.QUOTE_NONE)
for row in self.rows:
writer.writerow(
[
"{:%Y.%m.%d %H:%M:%S}".format(row["timestamp"]),
"{:.5f}".format(row["open"]),
"{:.5f}".format(row["high"]),
"{:.5f}".format(row["low"]),
"{:.5f}".format(row["close"]),
"{:.2f}".format(row["volume"]),
]
)
class HST(Input):
version = 401
headerLength = 148
rowLength = 60
def _parse(self):
self.rows = []
for i in range(0, self.numberOfRows):
base = self.headerLength + i * self.rowLength
self.rows += [
{
"timestamp": datetime.datetime.fromtimestamp(
struct.unpack("<i", self.content[base : base + 4])[0],
datetime.timezone.utc,
),
"open": struct.unpack("<d", self.content[base + 8 : base + 2 * 8])[
0
],
"high": struct.unpack(
"<d", self.content[base + 2 * 8 : base + 3 * 8]
)[0],
"low": struct.unpack(
"<d", self.content[base + 3 * 8 : base + 4 * 8]
)[0],
"close": struct.unpack(
"<d", self.content[base + 4 * 8 : base + 5 * 8]
)[0],
"volume": struct.unpack(
"<Q", self.content[base + 5 * 8 : base + 6 * 8]
)[0],
"spread": struct.unpack(
"<i", self.content[base + 6 * 8 : base + 4 + 6 * 8]
)[0],
"realVolume": struct.unpack(
"<Q", self.content[base + 4 + 6 * 8 : base + 4 + 7 * 8]
)[0],
}
]
def __str__(self):
table = ""
separator = ","
for row in self.rows:
table += "{:<19}".format("{:%Y.%m.%d %H:%M:%S}".format(row["timestamp"]))
table += separator
table += "{:>.5f}".format(row["open"])
table += separator
table += "{:>.5f}".format(row["high"])
table += separator
table += "{:>.5f}".format(row["low"])
table += separator
table += "{:>.5f}".format(row["close"])
table += separator
table += "{:>d}".format(row["volume"])
table += separator
table += "{:>d}".format(row["spread"])
table += separator
table += "{:>d}".format(row["realVolume"])
table += "\n"
return table[:-1]
def toCsv(self, fileName):
with open(fileName, "w", newline="") as csvFile:
writer = csv.writer(csvFile, quoting=csv.QUOTE_NONE)
for row in self.rows:
writer.writerow(
[
"{:%Y.%m.%d %H:%M:%S}".format(row["timestamp"]),
"{:.5f}".format(row["open"]),
"{:.5f}".format(row["high"]),
"{:.5f}".format(row["low"]),
"{:.5f}".format(row["close"]),
"{:d}".format(row["volume"]),
"{:d}".format(row["spread"]),
"{:d}".format(row["realVolume"]),
]
)
class FXT(Input):
version = 405
headerLength = 728
rowLength = 56
def _parse(self):
self.rows = []
for i in range(0, self.numberOfRows):
base = self.headerLength + i * self.rowLength
self.rows += [
{
"barTimestamp": datetime.datetime.fromtimestamp(
struct.unpack("<i", self.content[base : base + 4])[0],
datetime.timezone.utc,
),
"open": struct.unpack("<d", self.content[base + 8 : base + 2 * 8])[
0
],
"high": struct.unpack(
"<d", self.content[base + 2 * 8 : base + 3 * 8]
)[0],
"low": struct.unpack(
"<d", self.content[base + 3 * 8 : base + 4 * 8]
)[0],
"close": struct.unpack(
"<d", self.content[base + 4 * 8 : base + 5 * 8]
)[0],
"volume": struct.unpack(
"<Q", self.content[base + 5 * 8 : base + 6 * 8]
)[0],
"tickTimestamp": datetime.datetime.fromtimestamp(
struct.unpack(
"<i", self.content[base + 6 * 8 : base + 4 + 6 * 8]
)[0],
datetime.timezone.utc,
),
"flag": struct.unpack(
"<i", self.content[base + 4 + 6 * 8 : base + 7 * 8]
)[0],
}
]
def __str__(self):
table = ""
separator = ","
for row in self.rows:
table += "{:<19}".format("{:%Y.%m.%d %H:%M:%S}".format(row["barTimestamp"]))
table += separator
table += "{:>.5f}".format(row["open"])
table += separator
table += "{:>.5f}".format(row["high"])
table += separator
table += "{:>.5f}".format(row["low"])
table += separator
table += "{:>.5f}".format(row["close"])
table += separator
table += "{:>d}".format(row["volume"])
table += separator
table += "{:<19}".format(
"{:%Y.%m.%d %H:%M:%S}".format(row["tickTimestamp"])
)
table += separator
table += "{:>d}".format(row["flag"])
table += "\n"
return table[:-1]
def toCsv(self, fileName):
with open(fileName, "w", newline="") as csvFile:
writer = csv.writer(csvFile, quoting=csv.QUOTE_NONE)
for row in self.rows:
writer.writerow(
[
"{:%Y.%m.%d %H:%M:%S}".format(row["barTimestamp"]),
"{:.5f}".format(row["open"]),
"{:.5f}".format(row["high"]),
"{:.5f}".format(row["low"]),
"{:.5f}".format(row["close"]),
"{:d}".format(row["volume"]),
"{:%Y.%m.%d %H:%M:%S}".format(row["tickTimestamp"]),
"{:d}".format(row["flag"]),
]
)
if __name__ == "__main__":
# Parse the arguments
argumentParser = argparse.ArgumentParser(add_help=False)
argumentParser.add_argument(
"-i",
"--input-file",
action="store",
dest="inputFile",
help="Input file",
required=True,
)
argumentParser.add_argument(
"-f",
"--input-format",
action="store",
dest="inputFormat",
help="MetaTrader format of input file (fxt/hcc/hst/hst509)",
required=True,
)
argumentParser.add_argument(
"-o",
"--output-file",
action="store",
dest="outputFile",
help="Output CSV file",
default=None,
)
argumentParser.add_argument(
"-v",
"--verbose",
action="store_true",
dest="verbose",
help="Enables verbose messages",
)
argumentParser.add_argument(
"-D",
"--debug",
action="store_true",
dest="debug",
help="Enables debugging messages",
)
argumentParser.add_argument(
"-h", "--help", action="help", help="Show this help message and exit"
)
args = argumentParser.parse_args()
if args.inputFormat == "hst509":
hst509 = HST509(args.inputFile)
hst509.toCsv(args.outputFile) if args.outputFile else print(hst509)
elif args.inputFormat == "hst":
hst = HST(args.inputFile)
hst.toCsv(args.outputFile) if args.outputFile else print(hst)
elif args.inputFormat == "fxt":
fxt = FXT(args.inputFile)
fxt.toCsv(args.outputFile) if args.outputFile else print(fxt)
elif args.inputFormat == "hcc":
hcc = HCC(args.inputFile)
hcc.toCsv(args.outputFile) if args.outputFile else print(hcc)
else:
print("[ERROR] Unknown input file format '%s'!" % args.inputFormat)
sys.exit(1)