Compressing and Restoring Tick Data with a Compact MQL5 Format

Summary

This document describes an MQL5 library for storing tick records in a compact format. It retains selected fields from the standard tick structure, including timestamps, bid and ask prices, last price, volume, and flags. Example scripts retrieve ticks, save both standard and compact files, reload the compact data, and compare the restored records with the source.

The examples report a tenfold file-size ratio and exact equality after decompression for the illustrated EURUSD data. A separate benchmark reports compression and decompression speeds above 40 million ticks per second, but these are example results rather than a general performance guarantee. Actual speed and space savings may depend on the dataset and environment; the document provides no broader benchmark methodology or comparison beyond pointing to an alternative implementation.

Key ideas

• The compact format stores selected fields from the standard MQL5 tick record.
• The library provides operations to compress, decompress, save, load, and compare tick data.
• The example reports a tenfold reduction in file size with the restored ticks matching the originals.
• The demonstrated processing speeds are specific to the example and may vary with data and system conditions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.