roq-import

Purpose

  • Input a Flatbuffers encoded stream (file)

  • Output an event-log

  • Useful for simulations using third-party captured data

Conda

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conda install \
  --channel https://roq-trading.com/conda/stable \
  roq-tools
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roq-import \
    --type event_log \
    --protocol flatbuffers
    --encoding binary \
    --name cme \
    --event_log_dir . \
    my_fbs_file

Flags

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roq-import --help

--type

Type used to describe the input file. Any of event_log.

--protocol

Protocol used to produce the intput file. Any of flatbuffers.

--encoding

Protocol used to encode the binary stream. Any of binary.

--name

Name used to identify the data source, e.g. an exchange name.

--output_file

Path used when producing the output file. Required if --event_log_dir not specified.

--event_log_dir

Base directory used when producing the output file. Required if --output_file not specified.