Automated Trading From Excel

Discussion in 'Automated Trading' started by sle, Apr 21, 2006.

  1. sle


    I am pretty new to automated trading, but am trying to set up a simple real-time trading system. There are 14 securities I am planning to trade, so I figured that Excel should be able to handle it rather well. The actual trading method is not important, so far I am trying to set up the infrastructure. Here are a few questions to all smart people out there:

    a) I was told that it is better that all functions and calculations are located on a single worksheet. Is that true? It's not a big deal, but would make the whole thing rather cumbersome.

    b) I have Reuters functions that bring real time data into excel. Can I make Excel recalculate only the cells that have dependencies on the cells that have changed, rather then all cells?

    c) Any other bits and pieces of wisdom are appreciated.

  2. nbates



    You might want to look at VB.NET instead of doing it in excel, the language is predominantly the same VBA you're using in Excel, you will have far more flexibility, and your program will run faster and smoother.

  3. You will also definately want to have a look at Genesis Securities for that. with their excel hookup
  4. sle


    I'll be using RBS institutional toolkit for that, but thanks anyway. Truth is that there is very little that I am trying to do - i want to have my delta hedges executed automatically, possibly with some simple rules deciding on the best levels to rebalance the book. There are only 14 underlyings, but i have all my analytical already Excel/VBA based and do not feel like going to C++ is going to be a major improvement. So far, I am just a bit lost on how to best structure the whole thing, I've neven dealt with event-driven progamming before.
  5. Sle , with 14 stocks ( excel row entries) you can do use Cell formula (rather than VBA ; as I understand , you want to stay away from). Complete all your algorithms across one row and then "drag and fill" it for 14 row below. I don't do auto trading , but I do all my calculations this way ( including B&S and all Greeks that I need)
  6. nbates



    You should be able to do everything that's needed in Excel/VBA and what you'll need for that is an Execution component that's written in COM, so you can integrate it with VBA.

    The programming is straight forward and COM objects have Methods and Properties you can set to execute your orders. They also have Events that your VBA code can subscribe to, so you can tell when your order executes.

    Which execution vendor are you using now? Many of them have samples in VB for integrating with their COM execution interface object, so you can use that as a framework and programming example.
  7. sle


    VBA is not an issue, i am rather proficient VBA programmer, I have a bunch of rather complex calculations of the amounts of delta (yield curve + skew dynamics etc) that I wrote in VBA long time ago, i want to keep using them,. It's 14 futures, but same thing. So far, the main issue was that i have to do all calculations within subs called on update (i am modifying some ranges and thus, can't just use functions).

  8. I would be very uncomftable to trust delta adjustments/gamma scalping executions automatically , if you have both calls and puts. But if one of your legs is a stock and all adjustments done by buying (selling) the stock , its a different story. JMO.
  9. sle


    it's all IR derivatives. i have a large mix of products, from futures options to OTC vanilla exotics. trick is that all of the delta calculations and adjustments are already worked out (i.e. relative amounts, substitutions etc), all i need to have is an auto-hedge system. It's really more about the IT questions at the moment.
  10. I see. But regardless how complex are your additional calculations , this is still a three part process:

    1. Recalculate greeks on position/portfolio level with changes in stock price( by having auto update/feed of one cell ONLY)
    2. Keep auto checking for conditions " ready for adjustments" = TRUE.
    3. Submit auto execution order ( which I don't do)

    IMO , all the above can be done via Cell formula (horizontal , per entry), rather then VBA and subs , no ?
    #10     Apr 23, 2006