Excel Tick Data

Discussion in 'Data Sets and Feeds' started by econometrics, Jul 12, 2009.

  1. Hello all,

    From which source do you get live tick data fed into your excel?
    how do you record all the tick data ?
  2. Bob111


  3. Not possible with Excel.
    Reason ?
    It's STA (single threaded architecture).
    Most good trading platforms employ sophisticated multi-threaded techniques to insure capturing all ticks for multiple symbols.
    With Excel, the best you can do:
    1) shutdown all unnecessary services from running
    2) Run no other applications
    3) Make sure Excel is set to REALTIME priority.

    Then, you have a "shot", albeit a slim one.
  4. Bob111


    why not? he can use build in VBA language, create bunch of arrays, store data in it, then insert either into file or database.
    i'm wrong?
  5. You are correct. I was referring to collecting data in Excel in REALTIME. It's definitely doable from an existing historical data service.
  6. what about DDE? i used to capture tick data of dja components into an excel sheet, not expecting to be milli-second optimized but it works
  7. This can work but it's not tick data per se.
  8. Yes, but writing onto an Excel worksheet is a very CPU intensive task. I once benchmarked it....I can write to the Windows registry about 5x faster than to a worksheet.
    What you need to do is to COUNT THE NUMBER OF DAILY TICKS and then compare that to the exchange reported figures. You'll be amazed at how much you lose.
  9. ok excel+dde is slow

    but alternatives require skills in coding
  10. Actually, even trying to do something with the DDE feed requires some programming. Just putting the DDE on a spreadsheet with a formula doesn't really do much. I guess you could change the background color of a cell when the price goes to a certain level.
    #10     Jul 16, 2009