I think it's ok now... https://github.com/femtotrader/DataReaders.jl/issues/14
but I'm still blocked because of LZMA compression see https://github.com/yuyichao/LibArchive.jl/issues/2 and my question https://groups.google.com/forum/#!topic/julia-users/G9Pqe5svS3c Any help will be great. Le dimanche 18 septembre 2016 15:00:03 UTC+2, Tim Holy a écrit : > > See ntoh and hton. Perhaps even better, see StrPack.jl. > > --Tim > > On Sunday, September 18, 2016 1:13:43 AM CDT Femto Trader wrote: > > Hello, > > > > I'd like to read this file > > http://www.dukascopy.com/datafeed/EURUSD/2016/02/14/20h_ticks.bi5 > > using Julia. > > > > It's a LZMA compressed file. > > > > I can decompressed it using > > cp 20h_ticks.bi5 20h_ticks.xz > > xz --decompress --format=lzma 20h_ticks.xz > > > > Now, I have a 20h_ticks binary file. > > > > It's a stuctured binary file with array of records > > Date unsigned integer 4 bytes > > Ask unsigned integer 4 bytes > > Bid unsigned integer 4 bytes > > AskVolume float 4 bytes > > BidVolume float 4 bytes > > > > > > Using Python I'm able to read it and get a Pandas DataFrame > > > > import numpy as np > > import pandas as pd > > import datetime > > symb = "EURUSD" > > dt_chunk = datetime.datetime(2016, 2, 14) > > record_dtype = np.dtype([ > > ('Date', '>u4'), > > ('Ask', '>u4'), > > ('Bid', '>u4'), > > ('AskVolume', '>f4'), > > ('BidVolume', '>f4'), > > ]) > > > > data = np.fromfile("20h_ticks", dtype=record_dtype) > > columns = ["Date", "Ask", "Bid", "AskVolume", "BidVolume"] > > df = pd.DataFrame(data, columns=columns) > > if symb[3:] == "JPY": > > p_digits = 3 > > else: > > p_digits = 5 > > for p in ["Ask", "Bid"]: > > df[p] = df[p] / 10**p_digits > > df["Date"] = dt_chunk + pd.to_timedelta(df["Date"], unit="ms") > > df = df.set_index("Date") > > > > I'd like to do the same using Julia > > > > I did > > > > symb = "EURUSD" > > day_chunk = Date(2016, 2, 14) > > h_chunk = 20 > > dt_chunk = DateTime(day_chunk) + Base.Dates.Hour(h_chunk) > > filename = @sprintf "%02dh_ticks" h_chunk > > println(filename) > > > > immutable TickRecordType > > Date::UInt32 > > Ask::UInt32 > > Bid::UInt32 > > AskVolume::Float32 > > BidVolume::Float32 > > end > > > > f = open(filename) > > > > # ... > > > > close(f) > > > > but I'm blocked now ... > > > > Any help will be great. > > > > Kind regards > > >
