Excel System Development

Quote from thenewguy:

Nitro... I'm surprised. For someone who doesn't know how to program, what would you recommend for real time data analysis?
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All the canned software that I have seen has problems. I hate to say it, but you have to roll up your sleeves and learn to program. I can't stress enough how important it is - in some sense if you can't program you are "illiterate" in todays world.

The problem with excel is that some software force you to use DDE to communicate with it. If you don't mind the reliability of this, and you are not running lots of symbols, then Excel is passable. But it is a choice born of necessity, not what is correct.

I know pro ATS guys aren't using excel, obviously, but for most retail and pro traders who don't want to learn to program, it's a goddsend.

TNG
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There are lots of people that use excel, even for realtime stuff, as long as the number of symbols is kept to a minimum and the strategy does not need to be as fast and reliable as possible, it is ok. if you are using it for static analysis, it is a great tool.

Pick up this book, roll up your sleeves, and get to work.

http://www.amazon.com/Murachs-C-200...463652?ie=UTF8&s=books&qid=1184344734&sr=8-25

Don't skip over the database stuff. It might be the most important part of the book, once you understand everything that came before it.

nitro
 
Quote from nitro:

All the canned software that I have seen has problems. I hate to say it, but you have to roll up your sleeves and learn to program. I can't stress enough how important it is - in some sense if you can't program you are "illiterate" in todays world.

The problem with excel is that some software force you to use DDE to communicate with it. If you don't mind the reliability of this, and you are not running lots of symbols, then Excel is passable. But it is a choice born of necessity, not what is correct.


There are lots of people that use excel, even for realtime stuff, as long as the number of symbols is kept to a minimum and the strategy does not need to be as fast and reliable as possible, it is ok.

Pick up this book, roll up your sleeves, and get to work.

http://www.amazon.com/Murachs-C-200...463652?ie=UTF8&s=books&qid=1184344734&sr=8-25

Don't skip over the database stuff. It might be the most important part of the book, once you understand everything that came before it.

nitro
More...

In a previous life I went insane trying to bend/break/force/bribe canned software into doing what I wanted it to.

I program in C#, as well as Java (haven't in a long time, however), VB, VBA and some others. Although C# is an absolute goddsend, I still don't use it for most of my systems. For me, nothing beats excel for it's flexibility, and I change too much, too often.

However, I'm certainly not an all-star programmer, and I also don't execute through excel. That would make a big difference, to me.

Thanks for the input.

TNG
 
The big problem with Excel and even Microsoft warns about this:
STA (Single Threaded Architecture). This is a killer for realtime analysis. All trading platforms of any significance are multi-threaded in design. There are ways to skirt this problem with Excel, but you've really got to be an expert to do that.
DDE is not bad, and Interactive Broker's TWS-DDE spreadsheet is an impressive testimony to that. It's a shame they have not moved-up to RTD which is supposedly more efficient.
I run a bid-ask model using Excel and DDE and it is collecting BID/ASK prices and sizes on the biggest volume mini contracts: YM, ER2, ES, and NQ. At peak periods, it struggles to keep-up and will take the CPU to 80% usage on occasion.
Bottomline: Excel is great for rapid development, testing, and prototyping. Comparing it to Tradestation is like Apples and Oranges....no comparison...Excel is "dumb" when it comes to understanding strategies, positions, trades, bars, etc....you'd have to put about 10,000 lines of very well written VBA code to even come close to the breadth of Tradestation.
One thing I am considering: a company called Extentech has developed a Java-based spreadsheet program that can be extended with the Java language. Effectively, a multithreaded trading app could be built with it. Check it out:
http://www.extentech.com/index.jsp
 
Quote from syswizard:

The big problem with Excel and even Microsoft warns about this:
STA (Single Threaded Architecture). This is a killer for realtime analysis. All trading platforms of any significance are multi-threaded in design. There are ways to skirt this problem with Excel, but you've really got to be an expert to do that.
DDE is not bad, and Interactive Broker's TWS-DDE spreadsheet is an impressive testimony to that. It's a shame they have not moved-up to RTD which is supposedly more efficient.
I run a bid-ask model using Excel and DDE and it is collecting BID/ASK prices and sizes on the biggest volume mini contracts: YM, ER2, ES, and NQ. At peak periods, it struggles to keep-up and will take the CPU to 80% usage on occasion.
Bottomline: Excel is great for rapid development, testing, and prototyping. Comparing it to Tradestation is like Apples and Oranges....no comparison...Excel is "dumb" when it comes to understanding strategies, positions, trades, bars, etc....you'd have to put about 10,000 lines of very well written VBA code to even come close to the breadth of Tradestation.
One thing I am considering: a company called Extentech has developed a Java-based spreadsheet program that can be extended with the Java language. Effectively, a multithreaded trading app could be built with it. Check it out:
http://www.extentech.com/index.jsp
More...

Good points. However, if you upgrade to RTD your sheet would not slow down, nor cause that high utilization, imho. RTD blows DDE out of the water. I have been running some excel sheets with bloomberg data and 6,000-8,000 links with very limited problems. BB does get behind, on occassion, but it's not excel that's the problem.

I think 2007 has a multithreading capabilities, but I'm not sure.

TS is one of the one's I have not tried, but their easy language looks pretty good. I can't stand learning each of these platforms and their proprietary language just to find out 2 months in that they don't have access to data I need, which always seems to be the case....

Thanks,

TNG
 
i agree with others who say to learn to program. you hit the limits in excel very quickly and end up writing plugins.

that being said excel is used extensively on desks and the horrendous unmaintable garbage produced by it is quite large.
 
Quote from nitro:

"Enjoy increased spreadsheet row and column capacity of 1 million rows by 16,000 columns that enables you to import and work with massive amounts of data and achieve faster calculation performance with support for dual or multicore processors."

http://office.microsoft.com/en-us/excel/HA101656321033.aspx

nitro
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Nice, just what I've been waiting for... 16,000 columns! Now I can track every stock on AMEX, NASDAQ and NYSE, twice!

The prelim tests I've done do show it's a lot faster, however.

TNG
 
Quote from syswizard:

The big problem with Excel and even Microsoft warns about this:
STA (Single Threaded Architecture). This is a killer for realtime analysis. All trading platforms of any significance are multi-threaded in design. There are ways to skirt this problem with Excel, but you've really got to be an expert to do that.
DDE is not bad, and Interactive Broker's TWS-DDE spreadsheet is an impressive testimony to that. It's a shame they have not moved-up to RTD which is supposedly more efficient.
I run a bid-ask model using Excel and DDE and it is collecting BID/ASK prices and sizes on the biggest volume mini contracts: YM, ER2, ES, and NQ. At peak periods, it struggles to keep-up and will take the CPU to 80% usage on occasion.
Bottomline: Excel is great for rapid development, testing, and prototyping. Comparing it to Tradestation is like Apples and Oranges....no comparison...Excel is "dumb" when it comes to understanding strategies, positions, trades, bars, etc....you'd have to put about 10,000 lines of very well written VBA code to even come close to the breadth of Tradestation.
One thing I am considering: a company called Extentech has developed a Java-based spreadsheet program that can be extended with the Java language. Effectively, a multithreaded trading app could be built with it. Check it out:
http://www.extentech.com/index.jsp
More...


Thanks for sharing. I'm about to move from TradeStation to IB and watch for the best platform to automate my current systems.
I also don't have the time to learn to program since I'm not professional. I know a little bit of VB but whenever i see a complete VB system, I think it would require too much effort for my little systems.

I am also watching Multicharts( TS EL ) and Openquant if they permits soon to trade different systems.

If someone knows a soft that handles all IB orders, second intervals and strategies based on bid/ask datas( complete book would be better ), i would be very grateful.
 
Quote from thenewguy:

Good points. However, if you upgrade to RTD your sheet would not slow down, nor cause that high utilization, imho. RTD blows DDE out of the water. I have been running some excel sheets with bloomberg data and 6,000-8,000 links with very limited problems. BB does get behind, on occassion, but it's not excel that's the problem.
I think 2007 has a multithreading capabilities, but I'm not sure.
Thanks,
TNG
More...
Great to hear that about RTD....now getting IB to roll it out....that's another story.
Regarding the multithreading....I've heard that CALCULATIONS are now multithreaded....however, that does not solve the problem of the interactive GUI controls and Msgbox. A Msgbox will stop all ActiveX event processing....and timers....which could be deadly for a trading app. That's why IB chose to implement Excel with DDE vs. ActiveX. Using ActiveX components within Excel is really very tricky stuff.
 
Quote from nitro:

"Enjoy increased spreadsheet row and column capacity of 1 million rows by 16,000 columns that enables you to import and work with massive amounts of data
More...

In fooling with Excel2007 on Vista in recent months, I've found the "million rows" is meaningless -- a sheet of any complexity runs your machine out of RAM long before you run out of "rows."
 
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