Fixing Run-Time error ‘6’ Overflow when using Excel twsdde.xls to send orders to IB

Twsdde.xls (the sample excel file provided by Interactive Brokers) contains a procedure that creates order ID’s using a calculation based on the current date and time. The variable “ongoingID” is defined as type Long. On 8/26/2012 the calculation began producing a value higher than the maximum value for a Long in Excel which is 2147483647 [wiki].

To solve this error I currently recommend the following steps:

From TWS (Trader Workstation) menu:

  1. Navigate “edit”>global configuration>API
  2. Press the “Reset Order ID and ID sequence” button

 

In any workbook that you use such as Twsdde.xls or any custom Excel/VBA workbook used to send orders to IB:

  1. Open the workbook and press Alt+F11 to open the vba editor
  2. Press CTRL+F (or use menu) to open the Find (search) box. Search for and change “Const orderMult = 1000000” to “Const orderMult = 100000” (one less zero)

 

 

Now you should once again be able to successfully send order to IB via Excel.

 

 

 

Excel Benchmark 2011: An Excel Speed Test (with trading functions)

Live Analysis of Benchmark Results

Of 4794 Benchmark results, currently the Excel version with the highest *average Total Score of 58.59 is Excel 2013. Excel 2010 has an average Total Score of 49.57. Excel 2002 has an average Total Score of 47.46. Excel 2003 has an average Total Score of 42.91 and the worst average Total Score is Excel 2007 at 23.74.

Of the top 30 scores, 80% of the processors brand name is Intel. Followed by AMD which is the processor in 20% of the top 30 results. The exact processor with the current top score of 132.6614 is Intel(R) Core(TM) i5-2500K CPU @ 3.30GHz. It's likely that this processor is overclocked beyond what is shown on the benchmark results page and is not necessarily the top performing processor at default settings.

Of the six tests used to determine Total score, Test 3 shows the most variance between Excel Versions. For example the best score for test 3 in Excel 2003 is 56785 while the best test 3 score for 2010 is 24137896 so for test three, Excel 2003 performs 0.24% better when only the best scores are considered. Test 3 measures how many ticks can be displayed on a stock chart within a 30 second time period. The other tests composing Total Score involve more intensive calculation tests than this charting display test. Although this difference is large, Test 3 should only be considered over Total Score for the most charting intensive Excel programs where VBA and/or formula based calculations are relatively minimal. For most Trading applications Total Score which is a composite of the 6 tests is the most useful score to use for evaluating Excel versions/Processors/OS etc.

Of the 4794 current results 775 are below 0. I would not consider any system scoring below 0 adequate for running an excel based trading system. A modern system scoring below 0 should be checked for unnecessary startup programs, spyware, viruses etc.

*Scores below 0 are set to zero for purposes of calculating average total score.

BenchMark_ET.xls measures Excel performance with 6 trading related Excel/VBA tests. Once the benchmark is complete, your results can be submitted to the Database (just press “Submit”). All submitted results are available here (all results are sortable). The default view is most recently submitted result topmost (so your result should be on top until you sort). System Information is listed along with each test result (processor name, OS, Clock Speed, Cores, Excel Version, File type). A composite Scoring system is in place, but each individual test result is also listed in the results database. All results can be sorted in ascending/descending order by clicking each result’s title. For best results disable autosave and background error checking in Excel options.

Instructions:

  1. Download Benchmark_ET.xls.
  2. Open Benchmark_ET.xls and press the button “Start Benchmark”
  3. (optional) Submit and view your results.

Benchmark for Excel by Exceltrader

Below is an explantion of each test:

Test 1: Data Build Time

Measures the time it takes VBA to create 5 columns * 65535 rows of random tick data.

Test 2: MACD VBA Calculation

Measures the time it takes VBA to calculate the MACD indicator for the 5 columns * 65535 rows of data created in test one. (The VBA code for the MACD calculation is here.)

Test 3: Dispayed Ticks (30 Sec)

Measures the number of ticks (price changes) than can be displayed in 30 seconds. In my original benchmark this was the only type of test. The results varied so greatly that newer versions of excel took hours to complete the benchmark while older versions took just minutes making the benchmark annoying to run. By limiting this test to 30 seconds the total time to run the benchmark will be similar among all systems tested.

Test 4: 63000 ticks converted to OHLC

After 63000 ticks are created, this test converts the tick data to OHLC data. The result is measured in time.

Test 5: Live formula Test

This test begins with with 5000 bars of OHLC and a series of formula based indicators. The last price changes in E5000 as rapidly as possible but waits for all formulas to calculate between each price change.  The benchmark result is the number of price changes that can be completed with formula recalculations within 30 seconds.  Below is the list of indicators calculated with live formulas in this test.

  1. SMA (100,200,300)
  2. RSS
  3. RSI
  4. Fisher Transform of RSI

Test 6: Live formula Test

This test is identical to test 5 except that all formulas also refer to and are dependent on the changing cell, E5000. Test 6  compared to Test 5  is meant to test the “smart recalculation engine” promoted by Microsoft.  More info can be found in this Microsoft article under the section titles “Understanding Calculation Methods in Excel”.

Scoring:

A composite scoring system is in place and the result is listed in column two on the results data base page and also at the top of the benchmark results form upon completion. With the exception of test 3 all tests are counted equally. Test 3, which tests displayed ticks on a stock chart is counted 3 times because for trading it’s an important result to consider. To establish the composite score 20 tests were run on various systems and excel versions. The best and worst scores for each test were used to establish the benchmark score. The best scores from the initial tests resulted in a score of 100 and the worst scores resulted in a score of 0 therefore scores greater than 100 and below 0 are possible.  On the results page idle processor speed is shown and overclocked systems may not show the true processor speed. If you see two systems that look the same with significantly different scores, the higher score is likely from an overclocked system. Thanks for trying my Excel benchmark and submitting your system’s result!

 

Stochastics Indicator – Excel VBA and Formula versions

This post includes  two example excel files that show both VBA and Formula based calculations for the indicator "Stochastics".

Both files contain the exact same set of Open High Low Close data. The formula based version should be easier to understand and serves as a way to verify that the VBA code that I wrote is correct. Both methods give the same result for both %k and %D.  The major benefit of using VBA is that the parameters for Stochastics can be easily changed from the input boxes. In addition the VBA method shows only the final result rather than take up five columns.

The VBA based version can be downloaded here.

The formula version can be downloaded here. Below is an image of the formulas used in the formula based version.

StochasticFormula

Below is the code that I wrote for the VBA based version.

Sub ETstochastic() 'written by Exceltrader www.exceltrader.net
Dim StochSetting As Integer, Ksetting As Integer, Dsetting As Integer
Dim A() As Double, B() As Double, C() As Double, D() As Double, E() As Double
Dim Count As Long
Dim Xcounter As Integer, Xavg As Double
Dim Zcounter As Integer, Zavg As Double
Dim x As Integer, y As Integer, z As Integer
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''  The below three lines are the Stochastic settings.
''  The Values can either be changed here or uncomment the inputbox lines to be prompted.
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
StochSetting = 14 'InputBox(Prompt:="Enter Stoch settings Number of Periods.", Title:="Stochastic Period", Default:="13")
Ksetting = 2 'InputBox(Prompt:="Enter Moving Average For %K", Title:="%K Setting", Default:="5")
Dsetting = 3 'InputBox(Prompt:="Enter Moving Average For %D", Title:="%D Setting", Default:="6")
Set ws = ThisWorkbook.Worksheets("Svba")
    With ws
    LR = .Cells(Rows.Count, "A").End(xlUp).Row
'does the same as formula =E15-(MIN(D1:D15))
        For Each DataRange In ws.Range(.Cells(2, "A"), .Cells(LR, "A"))
        Count = DataRange.Row
        ReDim Preserve A(1 To Count)
                If Count >= StochSetting + 1 Then
                     A(Count) = .Cells(Count, "E") - Application.Min(ws.Range(.Cells(Count - StochSetting, "D") _
                     , .Cells(Count, "D")))
                End If
        Next DataRange
     'does the same as formula   =MAX(C36:C50)-MIN(D36:D50)
        For Each DataRange In ws.Range(.Cells(2, "A"), .Cells(LR, "A"))
        Count = DataRange.Row
        ReDim Preserve B(1 To Count)
                If Count >= StochSetting + 1 Then
                     B(Count) = Application.Max(ws.Range(.Cells(Count - StochSetting, "C"), .Cells(Count, "C"))) _
                     - Application.Min(ws.Range(.Cells(Count - StochSetting, "D"), .Cells(Count, "D")))
                     End If
        Next DataRange
        '=100*(I50/J50)
        ReDim Preserve C(StochSetting + 1 To UBound(B))
            For Count = StochSetting + 1 To UBound(B)
                   C(Count) = (A(Count) / B(Count)) * 100
            Next Count
        '=AVERAGE(K49:K50)
        ReDim Preserve D(StochSetting + Ksetting To UBound(B))
            For Count = StochSetting + Ksetting To UBound(B)
                For Xcounter = Count - Ksetting + 1 To Count 'just go back and get the first C and go forward to current
                    Xavg = C(Xcounter) + Xavg
                Next Xcounter
                D(Count) = Xavg / Ksetting
                Xavg = Empty
            Next Count
            ReDim Preserve E(StochSetting + Ksetting + Dsetting - 1 To UBound(B))
            For Count = StochSetting + Ksetting + Dsetting - 1 To UBound(B)
                For Zcounter = Count - Dsetting + 1 To Count 'just go back and get the first C and go forward to current
                    Zavg = D(Zcounter) + Zavg
                Next Zcounter
                E(Count) = Zavg / Dsetting
                Zavg = Empty
            Next Count
  x = Empty: y = Empty: z = Empty
  x = LBound(E)
  y = UBound(E)
  'put the stochastics on the workbook. Change column Letter as needed
  .Cells(x - 1, "J") = "%D"
  .Cells(x - 1, "I") = "%K"
  For z = x To y
  .Cells(z, "J") = E(z)
  .Cells(z, "I") = D(z)
  Next z
End With
End Sub
            
            
            

Data Converter to Convert OHLC Data to a larger timeframe.

If you have ever wanted to take your existing Open High Low Close historical trading data and convert it into larger time frame, the following Excel VBA based data converter I wrote may do the trick.

DataConverter

DataConverter.xls allows you to configure the Number of OHLC bars that should be condensed down into a single bar. You also can list the file name, sheet, and columns where your data is located.  The data will almost instantly be transformed into the higher time frame you have requested.

Instructions:

  1. Download DataConverter.xls (*last updated 1/1/2011)
  2. Open DataConverter.xls. (Quickstart!: Skip the directions below. Just Open file and press "Convert" to see how it works with default settings.
  3. If you have OHLC Data in a workbook, open that file (you can also just use the default sample data that is contained on the sample data sheet in DataConverter.xls)
  4. Enter the Column letter for each type of data (Time/date, Open, High, Low, Close, Volume)
  5. Enter the Name of the WorkBook and worksheet that contain the data. For example, to convert 1 Minute bars to 4 minute bars, simply enter 4. To convert 3 minute bars to 15 minute bars enter 5 (5*3=15) etc etc.
  6. Finally press the "Convert" Button.  The converted data will appear in a new workbook. Save as desired.