HDF5 Output File Format

The iex2h5 application writes structured HDF5 containers optimized for time-series processing.

Layout

├── instruments.txt         # symbol table (e.g., AAPL, GOOGL)
├── trading_days.txt        # timestamps of active sessions
├── time.txt                # RTS interval buckets
├── irts/                   # Irregular tick stream (packet table)
└── rts/                    # Regular time series (matrix snapshots)

Compression

HDF5 output supports gzip levels from --gzip 0 (no compression) to --gzip 9 (maximum).

Schema Reference

• Symbols: std::vector<symbol_t> in fixed-width base40 encoding
• Time-series: arma::mat snapshots by contract
• Tick events: Packet-table with timestamp, type, price, size, etc.

See also:

• IEX Transport Specification v125
• IEX DEEP SNAP Spec 0.05