Sierra Chart Data Utility

Do things with SierraChart data files. Used for automating data analysis with R and other things.

Building

Installing go and executing go build should suffice. Version will not be embedded with this approach, but that's mostly for me.

Command Line tool

Some configuration is required, see usage for --genconfig option details.

• Parse and aggregate Sierra Chart Intraday Data files (*.scid)
• Start and End time filters
• Volume based bar exports
• Tick (trade) based bar exports, bundled and unbundled.
• (coming soon) Support for automated roll/continuous bar exports across expiries
• (coming soon) Expanded CSV columns to support flattening of trading day, prior settlement, and open interest for eased analysis
• (coming soon) cached continuous bars (by size) across expiries, expanded on demand

Library

• Buffered Interface
• Seek to specified time with a binary search to minimize trash reads

Usage

Try: sc-data-util --genconfig

Usage: sc-data-util [OPTIONS]

Notes:
 - Config (sc-data-util.yaml) can reside in [. ./etc $HOME/.sc-data-util/ $HOME/etc /etc]
 - Data is written to Stdout
 - Activity log is written to Stderr
 - startUnixTime options sets first bar start time

OPTIONS
 -b, --barSize=value
                    Export as bars of size: [10s, 2m, 4h, 3200t, 5000v]
                    Note: T for ticks, V for volume (like Sierra)
                    Note: To export raw ticks (raw times and sales), don't provide this option

     --dailyDetail  Print daily data with added row detail

     --endUnixTime=value
                    End export at unix time [1663892348]

     --startUnixTime=value
                    Export Starting at unix time

 -i, --stdin        Read data from STDIN, Dump to STDOUT. Disables most other
                    options.

 -m, --bundle       Cout a large order filling multiple limits as one bundled trade.

     --slim         Slim/Minimal CSV data

 -s, --symbol=value
                    Symbol to operate on (required, unless `-i`)
     --version      Show version (undefined)
 -x, --genconfig    Write example config to "./sc-data-util.yaml"