QSH
This library makes it easy to read QSH binary file format of version 4 using Python.
Project in a stage of active development. Contribution are welcomed!
Supported file formats:
- Plain binary file - not tested
- Compressed with gzip binary file
Supported data streams:
- Quotes
- Deals
- OwnOrders - not tested
- OwnTrades - not tested
- Messages - not tested
- AuxInfo
- OrdLog
QSH Specification - https://www.qscalp.ru/store/qsh.pdf
Links to QSH archives:
Install
pip install qsh
Tip: consider to install python-dev if you are facing python.h no such file or directory.
Usage
For case of one stream in a file
import qsh
with qsh.open("Si-9.18.2018-08-24.OrdLog.qsh") as qsh_file:
print("=== Header ===")
print("Signature: " + str(qsh_file.header.signature))
print("Version: " + str(qsh_file.header.version))
print("Application: " + str(qsh_file.header.application))
print("Comment: " + str(qsh_file.header.comment))
print("Created at: " + str(qsh_file.header.created_at))
print("Streams count: " + str(qsh_file.header.streams_count))
# If file contains one stream
stream_type, stream_info = qsh_file.read_stream_header()
# Read frame header & frame data for one stream case
try:
while True:
frame_timestamp, _ = qsh_file.read_frame_header()
ord_log_entry, aux_info_entry, updated_quotes, deal_entry = qsh_file.read_ord_log_data()
# Do something...
except EOFError:
pass
For case of more than one stream in a file
import qsh
streams = {}
with qsh.open("Si-9.18.2018-08-24.OrdLog.qsh") as qsh_file:
# If file contains two or more streams
for i in range(qsh_file.header.streams_count):
stream_type, stream_info = qsh_file.read_stream_header()
streams[i] = {"type": stream_type, "info": stream_info}
# Read frame header & frame data for more than one stream case
try:
while True:
frame_timestamp, stream_index = qsh_file.read_frame_header()
if streams[stream_index]["type"] == qsh.StreamType.ORD_LOG:
pass # Do something...
except EOFError:
pass
All timestamps were converted to exchange time zone i.e. Europe/Moscow
