Using Market Data Downloader

Using Market Data Downloader

Market Data Downloader is a command line utility that has two main modes: download and reparse.

In the download mode, the application downloads data, converts data to CSV, and makes zip archives of all the data.

In the reparse mode, the application reparses archived downloaded data and saves the data to CSV.
This mode mainly used to reparse data with a new version of the utility if the previous version does not work properly.

You may create batch files to call the utility with required parameters and configure automatic downloading on schedule.

The download package contains a preconfigured project that allows loading data from several markets and importing data into a Microsoft SQL Server database.

Downloading Market Data

In the download mode the utility has the following parameters:

market-data.exe download <provider> [<symbol file name>] [/config=<configuration file>]

Here is an example of commands for loading data from US exchanges:

market-data.exe download YahooQuotes            symbols\us-quotes.txt       /config=configs\us.config
market-data.exe download YahooKeyStatistics     symbols\us-quotes.txt       /config=configs\us.config
market-data.exe download YahooIndustries        symbols\us-industries.txt   /config=configs\us.config
market-data.exe download YahooOptions           symbols\us-options.txt      /config=configs\us.config
market-data.exe download YahooHistoricalPrices  symbols\us-prices.txt       /config=configs\us.config
market-data.exe download YahooDividends         cache\YahooHistoricalPricesDividendsOrSplits.txt    /config=configs\us.config

You may see that commands use different providers, different symbol list files located at the symbols subfolder, and the same application configuration file located at the configs subfolder.

You may place your tickers to symbol files using a text editor like notepad.exe, or export tickers from your database.

The application configuration file contains important settings like open and close market times, market time zones, used folders, etc.

The commands above produce the following result files:

csv\YahooDividends.csv
csv\YahooHistoricalPrices.csv
csv\YahooIndustries.csv
csv\YahooKeyStatistics.csv
csv\YahooOptions.csv
csv\YahooQuotes.csv

You may import CSV data to a database or to Excel spreadsheets

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Preconfigured Project and Market Data Database

The download package includes a preconfigured project.

You may create a Microsoft SQL Server market data database using the included SQL code, and adapt project batch files to your needs or even use them as is.

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Reparsing Downloaded Data

In the reparse mode the utility has the following parameters:

market-data.exe reparse  <provider> [<date as yyyymmdd>] [/config=<configuration file>]

Here is an example of commands for reparsing downloaded data from US exchanges for all trading dates:

market-data.exe download YahooQuotes            /config=configs\us.config
market-data.exe download YahooKeyStatistics     /config=configs\us.config
market-data.exe download YahooIndustries        /config=configs\us.config
market-data.exe download YahooOptions           /config=configs\us.config
market-data.exe download YahooHistoricalPrices  /config=configs\us.config
market-data.exe download YahooDividends         /config=configs\us.config

See related topics: