I ran across this artcle in my morning reading and thought it may be enjoyable for others. Cheers!
Per request, I have bundled all the Excel files and source code into a single ZIP archive and posted it @ http://www.fileserve.com/file/yCqYtB8/Autospreader.zip for a single download.
Happy New Year!
I would like to share with you a small project that I created in C# for collecting end-of-day data from Yahoo!Finance. This application (source included) will create a directory on your C:\ drive called “data” where it will create many CSV files for each instrument listed in “MasterSymbols.txt” listed in the Working directory, that is the directory that you run the executable from. Add symbols to the “MasterSymbols.txt” file if you want to have the application pull them down as well. It is a console application that will write out exactly what symbol it is downloading and from when it is doing this.
The source code and binaries are here
You will need 7-zip to un-compress them.
well there has been demand for a utility to download data from Yahoo!Finance so here you go (https://sourceforge.net/projects/autospreader/files/C%23/YahooFinance.cs/download).
Here (https://sourceforge.net/projects/autospreader/files/C%23/OrnsteinUhlenbeck.cs/download) is the file…it has a dependency on GeneralMatrix again (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx). Enjoy!
Well here you go, a small C# class for Kalman filtering (https://sourceforge.net/projects/autospreader/files/C%23/KalmanFilter.cs/download)….it has a dependency on the GeneralMatrix (http://www.codeproject.com/KB/recipes/psdotnetmatrix.aspx) library but any matrix library would suffice….Enjoy and as always if you have questions ASK!