Excel, IQFeed and FIX orders

Discussion in 'Trading Software' started by BigSalad, Oct 28, 2010.

  1. BigSalad


    I need to automate some orders in Excel in what in theory should be a pretty simple project:

    1) Using IQFeed (and IQLink) I need to pull down symbol history (Close) for X days back as well as the Last price to perform a few calculations.

    2) Once my condition is True, I need to send in two market orders via FIX. I'm not planning on integrating any check for fills, position status etc so this should also be pretty simple.

    Now for 1), would I need to do something in VBA, right? Does anyone have any pointers to where I could learn more about how to do this?

    For 2), I'm guessing I need to buy some sort of add-in for Excel with FIX-support. I've emailed macd.com regarding their add on XLFiX, are there any other FIX add-ins for Excel available?

    Any help, pointers etc is very welcome. I might also be willing to consider paying for someone to finish this for me (through rentacoder for instance).
  2. Suggest you use a trading platform that supports RTD/DDE.
    Getting quotes and triggering orders in Excel is not a big deal for most trading platforms. ie. X-trader, openecry, IB TWS etc. Most API's allow you to bypass the siftware front end and transmit orders directly to the broker servers. Have a look at oec onelink... decent API with excel examples you should be able to tweak.
  3. OP do you know it takes 120ms for the DDE/RTD to access Excel?

    You are wasting your time trading FIX with Excel - or wasting the FIX speed. You will want to write a VBA application behind Excel and then you will want to write a .NET application (if supported) to interface between excel and your execution API. Its a PITA, and its very slow.
  4. rosy2


    its probably easier not to use excel at all. just do it in a normal language.
  5. BigSalad


    rosy2, that's also the conclusion I've reached. I've only found one commercially available FIX add-in for Excel - XLFiX - and that was surprisingly expensive at 5.800 Euros for a license.

    As for the latency, I'm familiar with the speed of DDE and RTD having used Excel with TT before - however what I'm working on at the moment is not high frequency so this only has to run every few seconds or so.

    I'll probably look to create an application using the API for IB (since that's free and I would need to pay to become a 'developer' with DTNIQ) and then use an opensource FIX implementation for that. If anyone would like to do it send me a PM. If not I'll just put it up on rentacoder.

    Thanks for your feedback, everyone - good karma to you :)