Exporting Level II Depth Into Excel

Discussion in 'Automated Trading' started by pitufo, Apr 24, 2010.

  1. pitufo


    Does any one know how it is possible to export two or three levels of buyers in sellers volume of a Level II window into an excel spreadsheet?
  2. in real-time?

    your excel will choke immediately.

    not in real time - connect to ur brokers api, receive data, store it in txt, csv, etc and viola!
  3. pitufo


    I am looking for something in real time that can tell me when I a approaching a large bid or offer.... I am trying to build a filter that shows stocks that are about to print into large bids or offers... I can make a filter that shows when the large bids and asks occur are being printed into.. but this is too late to take any action... I need a filter that says.... "Five cents away from the current price there is a bid or offer lying in the market..."

    Any thoughts anyone?

  4. Depending on your platform. TT X-trader supports RTD arrays for level II and others like OEC have individual DDE calls.

    looks something like =acct|dom!ESM0?price?0_ask and =acct|dom!ESM0?size?0_ask

    You should get 10 levels, 0 - 9 for bid and ask Level II on most futures. 3 levels, 0 - 2 for future options.

    The Best offer (0) should be in sync with Level I quotes.
  5. moarla


    with IBs API DDE for Excel you can do that
  6. unless you are looking at stocks that move 1 cent per hour, then maybe.

    excel cannot handle this type of data.

    Get a filter - bunch of platforms support them, there are a myriad out there - from out of box - to full custom
  7. This is a very inaccurate statement.

    Excel is a platform just like any other.
    With good programming you can make it dance.

    We have no issues capturing Level II data from a feed into Excel, filtering and performing real time calculations on the data and writing ticks outs to a DB.

    The entire process takes single digit milliseconds... but required a certain level of expertise and programming.

    Excel out of the box without any programming can capture and process real time feeds at 100ms resolution. Problems occur when you try to use Excel as a database and store hundreds of thousands of data records in its grid.

    userque likes this.
  8. Pocket Change... Very interested in your efforts at importing real time Level data into Excel. I have spent a great deal of time attempting to secure the tools needed to calculate the difference between the close of the last 1 minute candle, and the most current last sale, lowest bid and highest ask. This simple "tape reading" scan is the best way I have found to detect trend changes in near real time but maintaining this scan using mental math can be taxing. Thoughts?
  9. jjw

    jjw ET Sponsor

    We found that RTD and DDE generally do not keep up with the market, so using those interfaces, especially for market depth, tends to cause Excel to grind to a halt.

    However, we did find another way and it handles large flows of streaming market data, including market depth updates, quite nicely. It is available through our trading screen, R | Trader Pro.
  10. Sig


    When all you have is a hammer everything starts to look like a nail. Excel is the least best platform for doing this kind of thing. By the time you contort it to doing what you want you could have taught yourself Python and Java and written an application in either that would accomplish what you want faster, more cleanly, and be easier to modify going forward.
    #10     Nov 20, 2016