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First, a possible algebra solution (my solution doesn’t seem to work. See attachment). Total volume = 27,165 net volume (buys – sales) = -829. How do you calculate buys and sales from the above figures; plus the same if net is positive? Possible Excel problem/solution. Please...

Red, Today, I managed to download into Excel 5 levels of DOM on a tick-by-tick basis – bid price and size, offer price and size price plus last and last size. There’s around 8 1/2 hours of data (11:00 – 19:30 UK), 48,491 rows. PM an e-mail if you want a copy. Now I’ve got the data...

I need to modify the following code to enable update on a tick-by-tick basis. I think the line RunWhen = Now + TimeValue("00:00:01") (set at 1-second intervals) is what needs to changed. Any advice appreciated. Thank you. Grant. Public RunWhen As Double Public Const...

Sam, I agree. Somtimes feels more like a an acid trip. Why I would like to see is Excel presented as stripped down programme with the option to install all the bells and whistles. My first Lotus 1-2-3 was on a single floppy. And apart from maybe a few functions, I don't need anything...

QuantPlus, Exactly. With or without dde's '07 is still slower than eg, '02. Screw the fix - I'll stick with '02. Grant.

Gentleman, Are changes in option implied vol's reflected in the future on an intra-day basis? Similarly, do changes in the front month/back month iv differential (assuming it exists) impact on futures? Thank you. Grant.

Xflat, Thanks for the clarification. Grant.

Xflat, You’re right, I do have that one backwards. This is what happens when it’s way past one’s bedtime (is that OK as an excuse?). Thanks for the correction. “Conversely, if implied drops, your time value will decrease at a greater rate than normal time decay”. Definitely...

A529612, You short put is short theta, therefore you do not want time value to increase (it will increase the premium). Time value decreases with time but can increase as a result of higher implied volatility. You are short implied volatility (you don’t want it to rise). Conversely, if...

Syswizard, Thank you for the reply. The point is, this is a(nother) error, found by accident. How many more are there? Given the ever increasing complexity and pointless features/enhancements (charting in '07, for example), it's pretty poor that the basic premise of a spreadsheet...

Assume you're long the bund a 112.20, the last price was 112.18. If you are down 2 ticks, you close. In Excel this could be: A1=112.20 A2=112.18 A3=IF(A2-A1=-.02, "Sell","") However, you would still be long because the soution =-0.0199999999999960. This is the case with Excel...

Red, Of course, I wasn’t disputing any of the points you – or others – make. I'm just trying to clarify why my thoughts (through inexperience) conflict with informed opinion. The wall on the ask – good point. Looking forward to more contributions (I’m still trying to read all...

RedDuke, I’m a recent adherent of the DOM but learning quickly due to the excellent threads throughout this forum. I have a question, if I may, but bear in mind my relative ignorance. Re price moving to size. If I’m correct, the bid reflects demand, the offer reflects supply. Let’s...

JSSPMK, What is the indicator on the bottom of your charts? Thank you. Grant.

The expertise of the military strategists and tacticians is apparent here. Perhaps you could suggest how the US would have dealt successfully with the situation, and give examples of past (or present) successes to support your ideas. Grant.

Yip, Re the example sheet I’m referring to, there are no dde’s. However, there are thousands of (simple) calcs over numerous time periods – 5- to 60-minute from 7 month’s intra-day data (high, low, close). For 5-minute data this equates to approx 17,000 prices x 3 (high, low, close)...

I'm running Excel 2007 with Windows XP Pro on AMD 64 x2 dual core 4800, 2 GB ram. Occasionally I get the "Not responding" message. I'm probably pushing performance with my sheets but I would like to know where the bottleneck may be. Please refer to the attached Word.doc for a shot of the...

Isn’t the problem with GARCH, as used by LTCM, is that it depends on known, previously observed, and therefore quantifiable data? The unknown or unobserved is, obviously, absent. Hume’s philosophy (problem of induction) was an attempt to add intellectual legitimacy to his friend Bishop...

Bernd and Ynox1, Thank you for the replies. Knowledge of economic releases is vital and I have no excuse for ignorance here. For day-trading, I believe it best to avoid positions in the minutes prior and after release to avoid the volatility and uncertainty. Here is another source...

Bernd, Couldn’t see what you described for today but there was something strange on 21 March at 18:15 GMT (or was it European time?). The Attached Word.doc file with 5-minute bar charts illustrates this (you may have to scroll up). 18:15. June DAX 5-minute high-low range at 12 points...