Excel and FIX for algo autotrading

hi

Sierracharts has a nice spreadsheet study similar to Excel and was wondering if the cells in that study can be accessed by external programs. I am trying to build a basic autotrading system in Vb and need to access study values from the spreadsheet. Any experiences with Sierra on this? Thanks.
 
Quote from pfranz:

I speak about Excel 2000,I don't know recent versions but I don't think the principles have changed.
VBA is a visual COM version of Basic inserted in an Excel object model.As such, you can do whatever you want with it,and there various ways of doing the same thing.You can even use system API and do system programming.
It can be quite fast,though not as fast as VB6 given that it can't be compiled.
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Ooook. Things have changed.

Why use VBA when since Excel 2003 - they allow you to write your code in C#? First class citizen. Code behind with all the games you want, including multiple threads.

So, yes, see - things have changed a lot.
 
Quote from NetTecture:


Why use VBA when since Excel 2003 - they allow you to write your code in C#? First class citizen. Code behind with all the games you want, including multiple threads.
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write your code in C# = you can do what you want with a standard interface (.NET instead of COM),still slower (in general) than VB6

You're actually telling that principles haven't changed at all,as I supposed.
 
Excel and FIX? What a strange combination.

Why not showing up for the final tennis match in tap-dance shoes and a 7 iron golf club?

Quote from mcgene4xpro:

Hi,

I have found this solution to integrate excel/fix/realtime market data for algo trading.
http://mach2software.com/helium.html

Has any tried this solution?

Do you know any other alternatives? plz share

Thanks
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...there can't be any positive input from people that know and trade algorithms every day. Why would you ever use Excel to trade? I do not get it. Other than the most basic order input I see no reason whatsoever.

Let me ask you another way:

Why, when you know that most all data source and execution APIs are targeting languages such as C++, Java, and .Net would you want to squeeze the data through a bottleneck (which Excel is because communicating with Excel is extremely slow and it requires extra work and introduces and extra point of failure)?
What does Excel give you other direct solutions do not give you?

I highly doubt one can be profitable if one displays the ignorance and rejection of learning a programming language in order to implement a trading front end. Better to buy one than using Excel. I just fail to see a single reason why someone would want to use Excel. Is it because you can easily setup a beautiful charts so you can visualize your bid/offer spread, or your whatever? I have in my 15 years in finance not seen one long-term profitable chart/visualization based trader. Not one!!! But then most all the empirical evidence is drawn from professional traders at banks and hedge funds. Maybe there are some independent traders who insist there is an advantage of looking at a graphical spread representation over the numeric type. I just do not see it. But I would love to hear your arguments, maybe I am missing something.

Quote from mcgene4xpro:

Hey folks,

Let us focus on sharing some links/thoughts that would support our own argument.

I am fairly new of using excel as one of my arsenal software. I would appreciate your positive input here in this thread.

Thanks
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yes VBA will do everything I want AND dont want including frequently dropping connections because all of the following are old technologies and are rather unstable: DDE, RTD, ActiveX. Good luck, you will need it.

Quote from chasinfla:

vba is awesome. it's also slow, although it is faster than using sheet-level functions or, say, a pencil and calculator.

C++ is lightning -- esp where complex computations are involved.

Just be aware that the big money is using C++ and direct connections. If that kind of time frame isn't important to you, VBA will do anything and everything you want and more, probably.
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So what, its twisting your arms three times to touch your nose. A company putting COM components onto Excel, for the computer illiterates who cannot run the same from within an IDE of a programming language of choice. You still fail to present a single advantage of using Excel for trade execution. Because you can customize the layout? Great. Some are in the market to make money and then there is the rest who want to make their front end look pretty. Let me know where I can send flowers to, they are on me....

And why does your userId look like FXCM and why is the ONLY way to live trade an account using the technology you linked to (FXONE) to trade an FXCM account? Funny coincidence or snake oil selling...? Unless ET has removed the "sponsor" badge you are not even a paying sponsor. If FXCM is that cheap imagine how they will take apart the unassuming clients who flock to them ;-)

Quote from mcgene4xpro:

Check this

fxone.com
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Quote from CalVolibrator:

yes VBA will do everything I want AND dont want including frequently dropping connections because all of the following are old technologies and are rather unstable: DDE, RTD, ActiveX. Good luck, you will need it.
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Yep, and I've experienced this. You must constantly check to see if your connection instance is still "Not Nothing".
Finally, and this is the most important issue, Excel/VBA is STA (Single Threaded Architecture). To prove this, I hooked-up IB's ActiveX component and got realtime quotes every 5 seconds for 30 stocks. It maxxed-out one core of the quad core CPU...simply pinned that core to 100%.
To make this work right, you'll need several instances of Excel so that you can emulate a multithreaded mode of operation.
With a single thread/instance, I'd say you can track about 5 symbols at one time in realtime. That's it.
 
I am not surprised to hear that. I am sure if you make couple adjustments then Excel can be fed with updates for more symbols but in the end the interfaces to Excel are anything but stable, including RTD or ActiveX.

Quote from syswizard:

Yep, and I've experienced this. You must constantly check to see if your connection instance is still "Not Nothing".
Finally, and this is the most important issue, Excel/VBA is STA (Single Threaded Architecture). To prove this, I hooked-up IB's ActiveX component and got realtime quotes every 5 seconds for 30 stocks. It maxxed-out one core of the quad core CPU...simply pinned that core to 100%.
To make this work right, you'll need several instances of Excel so that you can emulate a multithreaded mode of operation.
With a single thread/instance, I'd say you can track about 5 symbols at one time in realtime. That's it.
More...
 
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