Financial Database
In this article we layout how to setup a financial database for prices for securities. It is inspired by Michael L. Halls-Moore book: Successful Algorithmic Trading.
The following tables in database is recommended:
| Table | Description |
|---|---|
| Exchange | Example: NASDAQ, Oslo Stock Exchange, NYSE, etc. |
| DataVendor | Example: Yahoo Finance, AlphaVantage, NASDAQ Data Link |
| Symbol | |
| DailyPrice |
For MySQL
Use InnoDB engine
Use UTF-8 for all tables
Schemas
DailyPrice:
| Column | Type | Description |
|---|---|---|
| id | integer | Primary Key |
| data_vendor_id | integer | Foreign Key |
| symbol_id | integer | Foreign Key |
| price_date | datetime | |
| open | decimal | |
| high | decimal | |
| low | decimal | |
| close | decimal | |
| adj_close | decimal | |
| volume | bigint |
Symbol:
| Column | Type | Description |
|---|---|---|
| id | integer | Primary Key |
| exchange_id | integer | Foreign Key |
| ticker | varchar | |
| instrument | varchar | |
| name | varchar | |
| sector | varchar | |
| currency | varchar | |
| created_date | datetime | |
| last_updated_date | datetime |