TicksShort - library for MetaTrader 5

This library implements work with the tick storage format, which has a good performance (read/write) to size ratio.

Format.

Only the following fields ofthe original MqlTickare stored:

struct MqlTick
  {
   datetime     time;          // Time of last price update
   double       bid;           // Current price Bid
   double       ask;           // Current Ask price
   double       last;          // Current price of the last deal (Last)
   ulong        volume;        // Volume for the current price Last
   long         time_msc;      // Time of last price update in milliseconds
   uint         flags;         // Tick Flags
   double       volume_real;   // Volume for current price Last with increased accuracy
  };

Examples.

You can see the library methods in MetaEditor by hotkey ALT+M. Below are some examples of their use.

Write/Read via file.

#property script_show_inputs

input datetime inFrom = D'2024.12.01';

#include <fxsaber\TicksShort\TicksShort.mqh> // Short tick storage format.

void OnStart()
{        
  MqlTick Ticks[]; // For source ticks.

  if (CopyTicksRange(_Symbol, Ticks, COPY_TICKS_ALL,(ulong)inFrom * 1000) > 0)
  {
    FileSave("Ticks.bin", Ticks); // We saved the normal ticks so we can compare file sizes.
    
    TICKS_SHORT::Save("TicksShort.bin", Ticks); // Save the ticks in a compressed format.

    MqlTick Ticks2[]; // For squashed ticks.
    TICKS_SHORT::Load("TicksShort.bin", Ticks2); // Downloaded the ticks from a compressed format.
    
    Print("Ratio = " + DoubleToString((double)FileGetInteger("Ticks.bin", FILE_SIZE) /
                                      FileGetInteger("TicksShort.bin", FILE_SIZE), 3));
    
    Print("Correct = " + (string)TICKS_SHORT::IsEqual(Ticks, Ticks2)); // Compared.
  }
}

The script above saves ticks to a new format file and loads them from a file.

Result.

TicksShort_SaveLoad (EURUSD,M1) Ratio = 10.000
TicksShort_SaveLoad (EURUSD,M1) Correct = true

The output to the log shows that the compression ratio is 10 times. And when uncompressed, the ticks match the original ones.

Performance.

#property script_show_inputs

input datetime inFrom = D'2024.12.01';

#include <fxsaber\TicksShort\TicksShort.mqh> // Short tick storage format.

// Returns the size of the array in bytes.
template <typename T>
ulong GetSize( const T &Array[] ) { return((ulong)sizeof(T) * ArraySize(Array)); }

// Compression format performance criterion.
template <typename T1, typename T2>
double Criterion( const T1 &Decompression[], const T2 &Compression[], const ulong Interval )
{
  const double Performance = (double)ArraySize(Decompression) / Interval;
  
  return(Performance * ((double)GetSize(Decompression) / GetSize(Compression)));
}

void OnStart()
{        
  MqlTick Ticks[]; // For source ticks.

  if (CopyTicksRange(_Symbol, Ticks, COPY_TICKS_ALL,(ulong)inFrom * 1000) > 0)
  {
    TICK_SHORT Ticks2[]; // For compressed ticks.
    
    ulong Interval = GetMicrosecondCount();
    TICKS_SHORT::Compress(Ticks, Ticks2); // Squeezed.
    Interval = GetMicrosecondCount() - Interval;
    const double Performance = (double)ArraySize(Ticks) / Interval;
    
    Print("Compress performance: " + DoubleToString(Performance, 1) + " Ticks (millions)/sec.");
    Print("Compress performance criterion: " + DoubleToString(Criterion(Ticks, Ticks2, Interval), 1));
    
    MqlTick Ticks3[]; // For squashed ticks.
    
    ulong Interval2 = GetMicrosecondCount();
    TICKS_SHORT::Decompress(Ticks2, Ticks3); // Unclenched.
    Interval2 = GetMicrosecondCount() - Interval2;
    const double Performance2 = (double)ArraySize(Ticks3) / Interval2;
    
    Print("Decompress performance: " + DoubleToString((double)ArraySize(Ticks3) / Interval2, 1) + " Ticks (millions)/sec.");
    Print("Decompress performance criterion: " + DoubleToString(Criterion(Ticks3, Ticks2, Interval2), 1));
    
    Print("Correct = " + (string)TICKS_SHORT::IsEqual(Ticks, Ticks3)); // Compared.
  }
}

This script converts a source array of ticks into a compressed array and back. The performance/efficiency data is output.

Result.

TicksShort_Performance (EURUSD,M1)      Compress performance: 67.7 Ticks (millions)/sec.
TicksShort_Performance (EURUSD,M1)      Compress performance criterion: 677.1
TicksShort_Performance (EURUSD,M1)      Decompress performance: 42.1 Ticks (millions)/sec.
TicksShort_Performance (EURUSD,M1)      Decompress performance criterion: 420.9
TicksShort_Performance (EURUSD,M1)      Correct = true

Writes and reads are performed while preserving the original information at speeds above 40 million ticks per second.

Alternatives.

https://www.mql5.com/en/code/30791