Excel Trading right from Spreadsheet?

Discussion in 'App Development' started by scooke, Oct 8, 2011.

  1. You don't understand. It's not the HARDWARE, it's the software.
    ActiveX is slow and inefficient. DDE is much faster, especially on XL 2007 and later.
    That being said, you can't compute a VWAP very easily with DDE can you ? With RealTimeBars, it's a cinch....you get the volume and VWAP for each interval.
     
    #21     Nov 24, 2011
  2. Lornz

    Lornz

    DDE? God forbid one would use RTD......
     
    #22     Nov 24, 2011
  3. To save my breath.
    I run:
    10 monte carlos with 2x core. 1000 runs at 50 mins.
    10 m.c at 4x. 1000 = 30 mins.
    10 m.c at 8 x core = ?

    I need CPU processing power to crunch numbers. Its like getting my tasks spread evenly to 4 computers on 2 cores and running the same things.

    if I wan it fast, who cares a shit about DDE, it sucks. Seriously it sucks. I want an app, that can go live in a week. From M.C to production systems, I can code a robust prototype systems and swaps algos just like cameras swopping lens, OO, modular, in a split sec. Besides I run tons of other trading app heh.

    Now, if I want, I could spend more time and money on Nvidia GPU SDK, or even burn my codes in FPGA chips. Why reply on sucky 8 core X86 CPU ? Key => more time, more money, = more result ? I dont think so. Its still up to what your algo is and how much processing it needs.

    Finally, VWAP depends on the level 2 book, where quote pingings, flash orders blinks at about 10,000 per second. I do not even care.

    I currently head an Automation system ops in my day job, UAT and system integ/implem. U think im gonna run live on excel.exe ? I would hv ran it on Java, pump it on Linux servers, colocate it to US.

    I don't care whether you are happy with me or what Im doing, but look at thread topic. Im here to prove that trading automation thru Excel is possible, depend on the limit algo you run, and that more CPU cores = smoother execution. Don't try to challenge me with VWAP algos, volume, Limit order book, pair trade stat arb, derivatives arbs, pdf, neural networks, 4 core 8 core pointless debates. u don't value add to the ppl viewing this thread, at all.

    ah... the time i spend on this thread typing... I just coded another Time weighted Algo ready to run live. cut.
     
    #23     Nov 24, 2011
  4. First, get your facts straight. VWAP depends upon prints, not bids/asks. Technically however, you could have a VWAP of bids and asks....that's a good one.
    No one is unhappy with what you are doing. If it works, KEEP ON DOING IT. No one says Excel sucks at this.
    NO bashing of the innocent please. Enough of that goes on in other sub-forums.
     
    #24     Nov 25, 2011
  5. How much time does one need to invest in learning the knowledge required to automate with Excel? Where do I begin to get to a robust excel based trading system that is semi automated?
     
    #25     Nov 25, 2011
  6. Using Excel to trade is not smart to do.

    Get multicharts and quit wasting time writing stupid macros. Yes, you'll have to buy a database and yes you'll even need to get a better datafeed than straight out of IB.

    There is no linear relationship with any timed interval you'll get from IB TWS.
     
    #26     Nov 25, 2011
  7. - VWAP runs on Limit Order books.
    - You started it. Go on, challenge more.

    Simple, like others idiots on ET, (there seems to be alot here dunno y). I just zipped up.

    btw Im from Singapore, and Thanks for wasting my time.
     
    #27     Nov 25, 2011
  8. mokwit

    mokwit

    Hope I am not hijacking the thread here but i think pertinent enough to be on topic and many here who are involved with these issues.

    Can anyone please advise as to how many data fields (individual links) RTD can handle within spreadsheets i.e. a symbol with Bid 1 and Ask 1 is 2 data fields. Could the iExcel spreadsheet handle 500 symbols with 5 level of bid, 5 level of offer, last size and last price i.e. 6000 data fields (links). This sounds like too many even for XL64bit + max RAM - does anyone know what the maximum a spreadsheet could handle is?

    Put another way I want to monitor bid offer min 3 levels and last size and price for as many stocks as possible - wonder what it would top out at (- also I am storing data in [de facto] arrays for 3 x bid and offer and last size and price maybe 100 saved records but maybe nobody can factor that in without knowing the code sp just the RTD links answer is probably viable).
     
    #28     Nov 25, 2011
  9. As I said in my first post in this thread - there is much missing and mis-information here.

    I have used many different platforms (Realtick, Sterling, Laser, Bloomberg) to pull data into Excel and I've been able to price the Russell 3000 (3000 symbols) in a single spreadsheet without issue (bid + last + ask). I was trading and pricing ETFs that were based on Russell indexes so pulling the entire R3k gave me the whole universe of stocks. I then pushed the data to a tab for each ETF within the same spreadsheet and there were no issues.

    There are 1048576 cells in an Excel 2007 column. I suppose you could fill them all up, row after row. As I said above, I've had no trouble at all pulling 3000 tickers (Bid+Ask+Last) so that's 9000 cells pulling data with no issue.

    Excel 2003 - not a chance, no way. 2007, sure, no problem at all. Run a 64-bit operating system and put 6GB (or more) RAM. At that point it'll come down to your other applications running, your page file usage and your system. Also your connectivity - an excel spreadsheet can only calculate what is populated in the cells. if your network crashes or is very slow you may have problems with your calcs - I'd check with your IT department to see if you are throttled at any point.

    Also, you'll want a quad-core CPU with multi-level Cache. A dual-core is going to be too small for that amount of data.

    There is a massive difference between XP and Windows 7 on how they handle page files and memory allocation. (for the time being assume no one is running vista) If you run XP64 (or XP in general) you'll want to go into the advanced settings, clear the page file fields, set to "auto" or system managed size and then reboot. This will help a lot with large spreadsheets.

    You are really pushing the boundaries of excel and RTD links and of TCP data. Ideally you would be in C++ with UDP data for this and have TCP as a backup to call on missed quotes.

    You can do it though and I wouldn't be suprised if W7x64 with 9-18gb of RAM and a decent i7 would handle it.

    I'm spoiled. I run all Xeon machines with dual-CPU all with 16-24 cores per machine and 24-36GB of RAM. All those machines handle these things fine - including multi-NICs for the UDP data.

    PM me if you need something - this thread seems like its going down hill quick.
     
    #29     Nov 26, 2011
  10. mokwit

    mokwit

    WinstonTJ Thanks - very helpful answer - much appreciated
     
    #30     Nov 26, 2011