How to extract part of a tick?

How to extract part of a tick? - briefly

Apply a string‑slice or regular‑expression operation to the tick identifier to capture the required segment. For example, in Python use segment = tick[:5] or re.search(r'\d+', tick).group().

How to extract part of a tick? - in detail

Extracting a specific segment from a tick record requires precise identification of the target fields and a reliable method for isolating them. Tick data typically consists of a timestamp, price, volume, and additional attributes such as exchange code or trade condition. The first step is to load the raw data into a structure that supports random access, for example a DataFrame in pandas or an array of structs in C++.

import pandas as pd
df = pd.read_csv('ticks.csv', parse_dates=['timestamp'])

Once the data is in memory, select the columns that represent the portion of interest. For a price‑volume slice, use:

price_volume = df[['price', 'volume']]

If the requirement is to extract a time window, apply a boolean mask on the timestamp column:

start = pd.Timestamp('2023-01-01 09:30')
end = pd.Timestamp('2023-01-01 09:45')
window = df[(df['timestamp'] >= start) & (df['timestamp'] <= end)]

When working with binary tick files, define the record layout and read only the needed bytes. In C++:

struct Tick {
 uint64_t timestamp;
 double price;
 uint32_t volume;
 // other fields...
};
std::ifstream file("ticks.bin", std::ios::binary);
Tick t;
while (file.read(reinterpret_cast<char*>(&t), sizeof(t))) {
 if (t.timestamp >= start_ts && t.timestamp <= end_ts) {
 // process price and volume
 }
}

For streaming scenarios, filter on the fly to avoid storing the entire dataset. Example with a generator in Python:

def tick_stream(source):
 for line in source:
 ts, pr, vol = line.split(',')
 if start <= pd.Timestamp(ts) <= end:
 yield float(pr), int(vol)
for price, volume in tick_stream(open('ticks.txt')):
 # handle each tick

Key considerations:

• Ensure timestamp parsing matches the source format to prevent misalignment.
• Validate numeric fields for NaN or overflow before conversion.
• When extracting from compressed archives, decompress only the segment needed, using tools like zstd with the --seekable option.

By applying column selection, time‑based masking, or record‑level parsing, the desired portion of a tick can be isolated efficiently across different storage formats.