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I'll tell you one thing, as someone who has to compete with these people, the whole IT consulting/contracting business has become decidedly like "slave labor". This is much different than 15 years ago when my services were in high demand. Now if I am contracted for 50% of the year, I'm lucky.

I agree. They do create the bars "after the fact".....so it's not truly "Realtime". That being said, it does effectively capture every tick, but the ticks are "packaged" into 5 second bars. If your algo trades every 20 seconds or so, this is not a good solution. However, if your average...

Yep, that's what I've been preaching. Yes, 2007 and 2010 added threading, but NOT FOR VBA. So if you are using VBA in any way, shape or form, that is the limiting factor. Nicely done by-the-way....do you plan on selling this ?

Yep, been there and done that. However, corps still think they're a "bargain".

I am certainly telling my daughter to concentrate on everything but science and math.

Sorry, I missed that.....Now I've reviewed it finally. Interesting stuff...especially the "hedged part". So if a bank was long GE common, a delta one strategy would be in-the-money puts with the nearest expiration. In that manner, if the strat trade went bad, effectively the bank loses nothing...

Thanks Winston - what about "delta one" ?

Another liberal media conspiracy ! [B] Sounds wierd, but I recommended to a prop firm to have a lovely female on-staff with a massage table. He looked at me like I was crazy or something. To me, it's a perfect set-up for high pressure prop trading.

I am aware of arb trading, but what is "delta one" and "desk events" ?

Well, at least someone else said it. Excel is a tool, not a trading platform. Could it be made into a Trading platform ? Of course it could. However, it's single-threaded architecture limits it's potential to handle a large number of symbols. re: IB datafeed..... Theoretically IB's RealTime...

Guys - can someone please chime-in here ? From what I understand, IB's RealTime bar feature provides trade volume, high, low, open, close, and VWAP for a 5 second interval. Now the VWAP should be calculated as the SUMPRODUCT of the trades(prints) volume x price(fill). Correct ?

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...

Thank you - Mr You (no pun intended !) So, it appears as if you have now defined the difference between HFT and auto/algo trading. However, HFT exists in the emini markets where there are no rebates. Care to explain that ?

Care to be more explicit and lucid ? Here's some help: 1. easily understood; completely intelligible or comprehensible: a lucid explanation. 2. characterized by clear perception or understanding; rational or sane: a lucid moment in his madness.

First of all, remember HFT trading is different than ALGORITHMIC trading. The differences are subtle, to say the least ! It's all about "average time in trade". It's incredible to me that no one is focused on this metric....yet it is critical towards distinguishing the two.

Exactly. Ask Silvio Berlusconi, former premier of Italy. He has DOZENS.

Yes it does get better: http://www.telegraph.co.uk/news/worldnews/silvio-berlusconi/8431545/Ruby-the-Heart-Stealer-profile-of-Karima-El-Mahroug.html Note the mention of aides and cronies. This guy was quite an operator.

George Clooney involved.... renowned soccer player Christiano Ronaldo as well. Wow. And Berlusconi "stole" all of those millions from the Italian people to pay for high priced hookers and lawyers. Can this get any better ...

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...