ExcelTrader» twsDde.xls

How to Install TWS on a 64 bit Windows 7 system.

ExcelTrader — Tue, 20 Jul 2010 13:09:27 +0000

If you are unable to run TWS after installing on a 64 bit system, below are the instructions that will avoid the “missing shortcut” error that you might encounter and allow you to run TWS as expected.

Install 32 bit Java. (remove any old java installations first)
Install TWS (followed by the API if you are using it)
Copy the file “Javaw.exe” from “C:\Program Files (x86)\Java\jre6\bin” and place it in “C:\Windows\System32″
Now open from the TWS shortcut as normal.

How to retrieve live data for SPY futures in Twsdde.xls

ExcelTrader — Thu, 25 Feb 2010 17:33:06 +0000

The multiplier column in Twsdde.xls is not used by the code that constructs the links to retrieve data. Filling it in has no affect on the contract received. This creates an issue when attempting to retrieve data for Futures with more than one contract available with the same contract expiration month.

As an example, SPY futures are available in contracts with a multiplier of 1000 and 100 on the ONE exchange.

The error message received in this case is “The contract description specified for SPY is ambiguous;”

The solution is to first find the local symbol. You can do this by first adding the contract in TWS, right click on the contract name within TWS, then select contract details and select “details”.
This will open the page shown below and you can find the local symbol. As shown below, leave out the other parameters such as expiration date as it’s inherit in the local symbol (and will result in no data).

Constant Volume Charts added

ExcelTrader — Fri, 12 Jun 2009 02:39:27 +0000

I have added the option of constant volume bar charts (as alternative to time based) for the Excel/VBA based automated trading platform

The constant volume bar option, updates a new bar after a certain amount of volume has completed. This amount should be entered into D3 of the “Live” sheet. Checks are in place to prompt if the values are not entered and the constant volume is set to override the default time based bars.

Below is an example of Constant volume bar charting. You will notice that each bar contains roughly the same amount of volume.

Added new file for Live trading with Interactive Brokers

ExcelTrader — Thu, 14 May 2009 17:58:06 +0000

In addition to the free files located under “Instructions and Downloads”, there is now a new file under “Products and Services” for live trading via Interactive Brokers. This Excel VBA based file is an all in one solution for testing, trading and charting.

This is very similar to a version I have been using for my personal trading for years. However this is a much improved version so I am pretty excited to have it completed and am in the process of converting my personal system over to this version. I hope that others find if useful.

The Youtube video below shows both live trading mode and backtesting mode.