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Fast Intraday Transaction Format
Perl
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lib/Finance
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xt
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MANIFEST
MANIFEST.SKIP
Makefile.PL
README

README

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
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