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A MetaStock class library in C#

, 28 Dec 2012
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Here I present the actual C# code I use to interface with the database that I update every evening from my data vendor.

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();       
MR.AddPath(@"C:\MetaStock\NYSE");   
MR.AddPath(@"C:\MetaStock\AMEX");   

MetaStockCollection ML = new MetaStockCollection();                
ML.AddSymbol("MSFT",MR);  
ML.AddSymbol("BRK.A",MR);  

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.

License

This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)

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About the Author

Antonino Porcino
Software Developer
Italy Italy
No Biography provided

Comments and Discussions

 
Questioninvalid MBF array [modified] Pinmemberkelzi20-Apr-14 11:27 
AnswerRe: invalid MBF array PinmemberAntonino Porcino20-Apr-14 22:00 
QuestionRead Intraday Pinmemberkerlos25-Feb-14 20:50 
AnswerRe: Read Intraday PinmemberAntonino Porcino25-Feb-14 21:45 
GeneralRe: Read Intraday [modified] Pinmemberkerlos25-Feb-14 22:44 
AnswerRe: Read Intraday Pinmemberkerlos25-Feb-14 21:50 
QuestionMetastockReader Namespace error Pinmemberhussain54829-Jan-14 16:52 
AnswerRe: MetastockReader Namespace error PinmemberAntonino Porcino30-Jan-14 3:34 
QuestionMetaStockTable object Pinmemberexfake1-Dec-13 1:56 
AnswerRe: MetaStockTable object PinmemberAntonino Porcino1-Dec-13 5:25 
Questionhow to write/Save Pinmemberrahulsalokhe29-Sep-13 4:27 
AnswerRe: how to write/Save PinmemberAntonino Porcino29-Sep-13 5:59 
GeneralMy vote of 5 Pinmembersuddeepto24-Apr-13 6:37 
QuestionMASTER file Pinmemberexfake18-Mar-13 2:20 
AnswerRe: MASTER file PinmemberAntonino Porcino18-Mar-13 3:20 

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