Excel Trading right from Spreadsheet?

Discussion in 'Programming' started by scooke, Oct 8, 2011.

  1. scooke

    scooke

    I am wondering if anyone has any resources for an Excel Trading Spreadsheet that I can use with my current Broker. I am trying to enter longs and shorts simultaneously. My current broker is Terra Nova. Any help would be appreciated.
     
  2. You'll need a data source (server) that supports DDE or ActiveX.
    Interactive Brokers supports both techniques.

    Excel is a little dicey for handling trades. It's way too easy to make a mistake typing into a cell. Best to add forms using VBA.
     
  3. I don't think so. Im running 50 workbooks on a single excel.exe, all automated to IB TWS, but with very well written VBA macros.
     
  4. Interesting. Which version of Excel ? What kind of processing power do you have ? I'll bet at least a quad-core processor .
    Splitting-up processing between multiple Excel instances would give you a multithreaded-like trading platform. Otherwise, at some point in time, you could easily hit "the wall".
     
  5. Glavez

    Glavez

    Calculating s&p 500 index with Excel 2003 takes about 80% of one core of 2.2GHz i7. It recalculates about 2 times a second (DDE is not synchronous so it's hard to say).

    I read that 2007 version is slower than 2003 and 2010 is the fastest.
     
  6. Download OEC Trader and their excel add in.
    Provides a pretty decent example and documentation of trading directly from excel.

    You can use excel to front end their application or use their API. The DDE calls are largely similar broker to broker... Just adjust and adapt the syntax.

    http://www.openecry.com/trading/software-highlights/index.cfm

    "Use your own Excel spreadsheet to manage trades through a Dynamic Data Exchange (DDE) connection with OEC Trader. This gives you the freedom to create an order manager in Excel by integrating price and order data. You can also find trading opportunities with Excel functions and macros that can execute any OEC Trader function available in the API."
     
  7. Actually I ran 30+, I havent touched 50 yet but soon hehe.

    Planning to upgrade to the new 6x CPU from AMD. Im running quadcore AMD, with Excel 2010, on Win Xp. Not sure if win 7 will help.

    Still, not sure about the performance difference with xlsm and xls on Excel 2010.

    Anyhow, the current twsdde.xls implementation doesn't allow me to design my program to run on 2 separate excel.exe, so I have to run all my workbooks within twsdde.xls work space. Which means I cannot actually get multi-threading at all. And I wonder if the 6x core helps. But it does if i was running monte carlos, 8 excel.exe processes.
     
  8. Lots of bad and/or missing info on Excel in this thread!

    http://www.decisionmodels.com/memlimitsc.htm

    that came up first in google and is a bit outdated but pretty spot on.

    the only thing it doesn't address is XP64 and W7 (32 or 64).

    XL 2007 kicks 2003's a$$ bigtime. 2003 is limited to 2GB while 2007 can take as much as the system has to spare.

    that's only the beginning - in 2007 they completely re-designed how XL handles DDE and RDP links (when you pull data into excel) and 2007 uses much less overhead and is much faster.

    2007 + W7x64 is an excellent combo. 2007 with XP64 or Vista64 is the next best alternative but 2003 with anything 32-bit is bad.
     
    #10     Nov 22, 2011