Automated Trading From Excel

[sle]

Quote from IV_Trader:
IMO , all the above can be done via Cell formula (horizontal , per entry), rather then VBA and subs , no ?

True. I need to use subs to keep track of the trades that where done and to keep a small history of last N ticks. Otherwise, the decision to rebalance can be all done from a single function.

 

[chaos_trader]

http://www.elitetrader.com/vb/showthread.php?s=&threadid=42884

 

[covered_call]

Have you considered the TT X_Trader API? They have open source programming available for order entry automation. After joining the TT Developer Program, users are granted access to documentation, training materials, samle code and more.

http://www.tradingtechnologies.com/xtrader-api.asp

 

[A Dashing Blade]

Quote from sle:

b) I have Reuters functions that bring real time data into excel. Can I make Excel recalculate only the cells that have dependencies on the cells that have changed, rather then all cells?

I assume you're referring to the RtUpdate & RtGet functions.
If so, use RtUpdate as this fires off the worksheet_change event.
So, you now know the cell that has changed (using a check that the intersect of Target and MyCell is not nothing) you can iterate thru it's dependents.

 

[koye]

Quote from sle:

I am pretty new to automated trading, but am trying to set up a simple real-time trading system. There are 14 securities I am planning to trade, so I figured that Excel should be able to handle it rather well. The actual trading method is not important, so far I am trying to set up the infrastructure. Here are a few questions to all smart people out there:

a) I was told that it is better that all functions and calculations are located on a single worksheet. Is that true? It's not a big deal, but would make the whole thing rather cumbersome.


b) I have Reuters functions that bring real time data into excel. Can I make Excel recalculate only the cells that have dependencies on the cells that have changed, rather then all cells?

c) Any other bits and pieces of wisdom are appreciated.

S

b) You can always define some VBA User Defined function to detect any changes on the cells that you're interested and Excel will trigger your UDF function when any of the monitoring cell changes.

For example, you wan to monitor any changes in cells A1, B1, C1. Assuming that these cells are getting the Reuter's
data.

In vba, you can write a function like the following:

public Function MonitorCell(
byval x as String, _
byval y as String, _
byval z as String) as String

'' do some calculation, send trade etc...

End Function

and you can put this function in Cell D1 as
= MonitorCell(A1,B1,C1)