All the farms round here (Lanarkshire) Have curved corrugated steel sheets on the roof. Usually they have metal supports from ground to the roof and the sides just filled in with slatts of wood running up and down.
I'll try to find a picture and post it. The impostant thing is to make sure there is enough room to space the bales which will allow air to flow round them and not just stack them all together. I can't remember the science behind it, but bales of hay can REALLY heat up, to the point where they set themselves on fire if you get a very hot spell.
HTH
Karen