NAME

Finance::FITF - Fast Intraday Transaction Format

SYNOPSIS

  use Finance::FITF;

  my $day = Finance::FITF->new_from_file('XTAF.TX-2010-11-19.fitf');
  warn $day->header->{start}[0]; # start of the first session
  warn $day->header->{end}[0];   # end of the first session

  warn $day->header->{bar_seconds}; # number of seconds per bar

  # last bar in the file. you can get open/high/low/close/volume from $bar
  my $bar = $day->bar_at($day->header->{end}[0]);

  # run the ticks in the last bar with the given callback
  $day->run_ticks($bar->{index}, $bar->{index}+$bar->{ticks}-1,
                  sub { my ($time, $price, $volume) = @_; });

DESCRIPTION

Finance::FITF provides access to the FITF format, an efficient storage format for intraday trading records.

FORMAT

The FITF format consists 3 parts:

header

The header defines the name, date, and sessions of the transactions that the file is describing.

The fields and packing format of FITF header are:

magic a2

magic for FITF files should be "\x1f\xf1".

version n

FITF format version

date a8

YYYYMMDD string of the trading day

time_zone Z31

Long time zone name. For example: America/Chicago, Asia/Taipei.

start N:3

start timestamp of each session

end N:3

end timestamp of each session

records N

number of tick records

bar_seconds n

number of seconds per bar

format N

flags for bar and tick sizing and format

divisor N

the number that the all prices in this file should be divided by

name Z47

free form name

bars

The number of bars in the file is determined by the total seconds in the sessions defined in the header, divided by bar_seconds defined in the header. The first bar denotes trading transaction between the start of the session, until and excluding bar_seconds past the start of the session.

Each bar contains the open, high, low, and close prices information of the given period, as well as volume and ticks.

The index field points to the start of the tick records of the period of the current bar.

ticks

The number of ticks in the file is determined by the records field in the header. Each record contains price and volume for the transaction. The time of the transaction is determined by offset_min and offset_msec, which are time offset in minutes and milliseconds from the start of the first session, respectively.

METHODS

Finance::FITF->new_from_file($fname)

Returns Finance::FITF object for the given FITF-formatted file at $fname.

$self->bar_at($ts)

Returns the bar hash located at $ts. The bar represents trades within the bar_seconds before and excluding the epoch timestamp $ts.

$self->bar_idx($ts)

Returns the index of the bar located $ts.

$self->run_ticks($start, $end, $cb)

Iterate the ticks indexed by $start and $end for the callback $cb. the callback takes timestamp, price, and volume as argument.

$self->run_bars($start, $end, $cb)

Iterate the bars indexed by $start and $end for the callback $cb. the callback takes the bar hash.

$self->run_bars_as($bar_seconds, $offset, $cb)

Aggregate bars into $bar_seconds-bars for the callback $cb. The callback takes timestamp of the bar and the bar hash.

$self->format_timestamp($ts)

A faster helper to format timestamp as "%F %T" in the $self-header->{time_zone}>.

ATTRIBUTES

header

fh

nbars

AUTHOR

Chia-liang Kao <clkao@clkao.org>

LICENSE

This library is free software; you can redistribute it and/or modify it under the same terms as Perl itself.

SEE ALSO