I did resolved my problem using Elexcel.dll. Using your solution, Is the data received directly in Excel or you need to code a timed macro to go read the file. I had tough about this solution, but I was not able to get data read by Excel immediatly after being issued by MC
Broker/Data: Interactive Brokers, MB Trading, Tradestation for data
Favorite Futures: FX, Equities
Posts: 39 since Oct 2012
Thanks: 44 given,
Fileappend writes a simple text file, which I then import into Excel without any further adjustments needed (just convert text to collumns, it takes 5 seconds).
I use the portfolio backtester (that does a quick job with the 2000 equities I test), so at the end of the backtest, I have a text file with all the trades performed and some information that I need for analysis (eg the ATR of the stock traded).
For your quick reference, I copy a simple Fileappend line that will print the symbol, the entry date, and my atr14 variable defined previously in my code.
Thanks for the line code for file append. I never use it but i do see that it could be useful. For my application, I need data to be sent automatically, without any intervention of me. My initial problem was cause by the dll that I was using to send data to Excel stopped working after an update. I had to rely on an older dll collection to do the job.
My actual system do work like this
- Chart is shown in MC
- MC Code capture OHLC, last pivot High, Low and other data after each bar. This is done for to Instruments on my charts ( 2 set of data)
- This data is converted in a string and send directly to Excel with Elexcel.dll
- In Excel, Each bar data is prepared as a potential entry
- If a bar do respect my entry rule, a macro as been coded and order sent directly to my broker IB
- My Excel sheet allow me to select one of the two Instrument, adjust my stoploss, Entry type "STP", "STP LMT", "LM" MKT"
- Quantity is adjust automatically, depending of my adjustable risk$ and # pip I risk
- Entry are cancelled automatically if not triggered before the end of the bar
I don't key in my entry, all is done via mouse click and send with the same way. I still have to manage order manually, with still cause me some problem. Will code for that later. All macro are coded above the cell. To send order, I press the upperkey + mouse click on the Qty cell
I got many feature that I code, very fancy tool, but my trading result is not in relation with my Excel sheet
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).
Why do you want to do it on excel is beyond me. You can only get 2 updates per second on excel, which is too slow for trading forex in my opinion. Besides, the further you are away from your broker (ie not direk link), you are introducing room for error. Have you tested your system when the market goes fast? How does it handle data overload? What if the system hangs? What is your back up plan? How do you exit a bad position?
The following user says Thank You to Bimi for this post:
See my Excel sheet as a switch box only. Only data traded by Excel is from the end of the last bar. Excel do receive the OHLC and some other data like Instrument name, scale etc. Data is not receive LIVE. Once per bar only
Excel is just there to
- Select witch Instrument out of two
- Adjust my position size
- Adjust my $ risk
- Adjust my stop position
- Select what type of entry like Limit, Stop Limit, Market, etc
- Send directly the order on IB and make sure that it reside on IB server not on my PC
- I got a direct lint to my broker, in fact, more direct than with Multicharts. For that, I use TWSLINK2 dll collection.
If I change my stop loss position or entry price, QTY is automatically calculated to respect my $ risk. Entry calculated to the rounded price + - 1 pip. ETC. All I have done is to have all variables calculated instead doing it with a pencil and paper.
Since each bar is a potential entry bar, I got all data ready to manually fire, if and only if, I decide to send order.
This is only a switch box, not a black box. No intelligence is built in, no automatic order sent to broker. All is done using mouse and a finger on the Uppercase key as a security. Data is computed for reference only
With Multicharts, I did not have easily all this flexibility and my stop / entry order was residing on my PC, witch is something that I don't want.
Has a backup system... This is a flaw for the moment. I need to get on a profitable side before spending more money on a backup system ( another complete PC).
Hope it clarify what is my sheet for and goal I have achieved with... flexibility
The following user says Thank You to arjfca for this post: