Excel Automation

Discussion in 'Automated Trading' started by dima777, Jul 10, 2008.

  1. dima777


    I wonder if it is possible to RELIABLY auto-trade a strategy created in Excel. Please let me know.
  2. dima777


    wow..not a single opinion from so many viewers....is this so hard to automate?
  3. C99


    (edit: the short answer is no)

    There is way more money traded through excel than most here would believe. That said, I would not recommend it. DDE sucks for data, drops quotes when it gets busy. I have no experience w/ RTD, but I don't think most data providers offer RTD links anyway.
    Excel is a resource hog and using it for realtime trading is pushing it way beyond what it was meant to do. Once you start moving into activeX and VBA you may as well drop excel anyway.

    Use it to prototype. If you can take a fully working excel strategy to a programmer the cost to have it converted to C# or C++ would be minimal. Programming messes arise because most clients do not really know what they want, or what they want changes as they go. scope creep. A clearly defined project should be fairly easy. neoticker, ninjatrader, open quant are all worth a look as platforms to build upon.
  4. dima777


    thanks...what about converting excel prototype into tradestation code? is this as easy to do as with c++ conversion? btw...can you please tell me where you got the info on the amount of money traded with excel...i am going to use excel as a proto tool because coding my ideas in tradestation is beyond my abilities right now....thanks again!
  5. dima777


    one more short question - if my strategy is wholly formula based - no vba - can it improve the speed of the execution?
  6. maxdama



    1) The money traded through excel is with heavily extended versions (i.e. plug-ins).

    2) The problem is not VBA, it's that excel was not built for either internet connectivity nor rapid refreshing.

    Max Dama
  7. Micro$oft has worked diligently to improve Excel 2007 for financial professionals to use to trade with and thru
    "Processing power: Prior to the release of Microsoft Excel 2007, all spreadsheets were single threaded and could not take advantage of today’s multi-core technology.

    Spreadsheet size and memory limitations: Excel 2003 can have 256 columns by 64K rows and can use 1GB of memory. Excel 2007 can have 16K columns by 1M rows, but is still constrained by a 32-bit address space.

    Microsoft Office Excel 2007: Microsoft has made significant improvements in Excel 2007 guaranteed to excite spreadsheets enthusiasts. Users can now create spreadsheets with up to 16,384 columns and 1,048,576 rows and benefit from expanded memory capabilities up to the maximum amount of memory addressable within 32-bits. Finally, Excel now includes a multi-threaded calculation engine. This means, that spreadsheets can maximize computational power. When running multi-core, multi-CPU, or hyper-threaded processes, linear improvements can be seen in performance, assuming parallelization of calculations.

    Excel Services: Excel Services, part of Microsoft Office SharePoint Server 2007 (MOSS), extends the capabilities of Excel 2007 by providing a server-side complement. Excel services provides the necessary components to share and maintain spreadsheets in a secure manner.

    We use the Equis / QuoteCenter / Reuters DDE feed and pull 927 stocks into one Excel 2007 Spreadsheet in array format that uses only 12% to 20% cpu usage all day and as far as i can tell we don't get dropped quotes and get a lot of custom fields that help us create many different custom indicators (Beta, MoneyFlow, Volatility, MAvgs, Hi Lo Ranges, TradeCounts, Block Counts, Block Sums, etc...

    Other shops; eSig, DTN, etc... killed our cpu with only 500 stocks !!...

    We pull 927 unique stock records with 9 columns each into SQL Server every 1 minute during the day using a VBA windows timer and SQL Server DTS package and then allow SQL Server to do the Stored Procs analysis to feed data to us about what is going on in equity indexes, sectors, etc to better understand how to trade the equity futures and in showing the weakness or strengths in groups of tradeable Correlated Stock Baskets
  8. Tums


    if you have not taken a C/C++/C# course in university... learning now will require some effort.

    On the other hand, EasyLanguage is very English like. You can read a book in one weekends and start programming the next.
  9. dima777


    do you know what plugins are typically used?
  10. dima777


    do you analyze price history in excel or oly realtme data
    #10     Jul 12, 2008