Eventually, I have settled for the SQLite format.
I could convert the MIDAS history files .hst to SQLite
database .sqlite3 using the utility mh2sql.
It worked out nicely, thank you for the advice.

However, as Konstantine predicted I did notice some
database corruption when a couple of problematic .hst
files were read. I solved the issue by just deleting
those .hst files (I think they were empty anyway).

Now I am developing a piece of code to read the
database using the SOCI library and integrate it
into a TTree but this is not relevant for MIDAS I think.

Thank you again for the discussion.