venerdì 28 dicembre 2012

A MetaStock class library in C#

Metastock is a popular data format for storing end-of-day and intraday stock quotes data.

It's a very old format with a structure that is a total mess. I myself have spent a lot of time figuring how to properly read quotes in a jungle of different files and formats.

Here I present the actual C# code I use to interface with the database that I update every evening from my data vendor.

Information on the metastock data structure is scattered over the web. I've collected what seemed to work and implemented as a C# class. A special thank to Julian M Bucknall for providing the code to convert from MBF4 (Microsoft Binary Format single precision) to standard floating point IEEE number.

The library is organized as follows:
  • the struct MetaStockRow stores one day of data
   public struct MetaStockRow  
    public DateTime Day;  
    public double Open;  
    public double High;  
    public double Low;  
    public double Close;  
    public double Volume;  
    public double OpenInterest;  
  • a set of MetaStockRow(s) forms a MetaStockTable, that is, the whole data for a stock symbol
  • a set of MetaStockTable(s) forms a MetaStockCollection, which is useful when you have to work with more than one stock at a time. A special feature of MetaStockCollection is the capability to intersect dates, that is,  making sure that the stocks you are working with have the same data points (days).
  • MetaStockTables and MetaStockCollections are generated by the class MetaStockReader which is the main object that performs the low-level reading on the database files. 
How to use the code:
  • Create a MetaStockReader object
  • Use AddPath() to tell it where your metastock folders are located (usually there are more than one). 
  • Create a MetaStockCollection object
  • Insert stocks in the collection with AddSymbol()
  • Trim and synch dates in the collection with FilterPeriod() and IntersectDates()
  • Get daily closes with GetCloseArray()

An example:

 MetaStockReader MR = new MetaStockReader();       
 MetaStockCollection ML = new MetaStockCollection();                
 ML = ML.FilterPeriod(DateTime.Parse("01/01/2000"),DateTime.Parse("31/12/2011"));  
 ML = ML.IntersectDates();  
 double[] s1 = ML[0].GetCloseArray();  
 double[] s2 = ML[1].GetCloseArray();  

If you need to work with just one stock, you can avoid using MetaStockCollection and work directly with MetaStockTable objects and access to its MetaStockRow(s).

There is a little more in the code of what I've shown here, but if you have a look at the sources you can easily discover by yourself all the other features. I must warn you the code quality is rather poor, because I haven't spent much time in improving it. I stopped when it "worked" (shame on me!).

Download the C# source code here.

3 commenti:

  1. Questo commento è stato eliminato dall'autore.

    1. For example try this:

      MetaStockReader MR = new MetaStockReader();

      MR.AddPath(@"C:\MetaStock\NYSE"); // your metastock folder

      MetaStockCollection ML = new MetaStockCollection();

      ML.AddSymbol("MSFT",MR); // symbol you want to read

      double[] close = ML[0].GetCloseArray(); // array with closing data

  2. Has anyone seen the new format that has come out, no documentation on it