Hi.

I started creating a universal library for downloading and storing financial data from various providers through one interface. Zorro does natively provide such functionality, but I haven't been able to make good use of it.

So I started this project. It does not do much yet. The interface is built to cater for C, Zorro and C++11. The support for C is useful for binding it to platforms that can load native code, but don't necessary provide rich language features of C and C++, such as Zorro Trader and Meta Trader and possibly others. This means the interface is a bit more cumbersome to set up (not for the library user), because all vtables must be built manually.

Currently the project returns supported periods, symbols lists and OHLC data from AlphaVantage.

Next up is OHLC and Tick data from other providers too: Oanda, TrueFx, Quandl, OpenExchangeRates.

It is also meant to give functionality to save data on disk, or load from disk, as JSON or CSV files. And Zorro history file types (t6, t1).

Code is GPL 3. It has a few dependencies which are listed in the repo ReadMe. The project has no fancy build scripts with cmake or anything. I work with vs2017 so there are project files for visual studio only. You need a c++17 compiler to build the library. I tested on MSVC only. There might be compile errors on g++, clang. But I would suspect only minor ones. Git pull requests of any useful kind are welcome.

The library state is very early. The interface and code can change a lot. It is targeted for experimental developers at this stage.

The link:
https://github.com/xezon/quantdata