inesusvet / qsh

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:

• http://finam.qscalp.ru/
• http://qsh.qscalp.ru/
• ftp://zerich.qscalp.ru/

Install

pip install qsh

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