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ryker
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Everything posted by ryker
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I don't seem to be able to edit my post again... So a few more thing: - Format in the file to import data: DateTime,High,Low,Open,Close,Volume 01/03/2007 07:00:00,115.83,115.83,115.83,115.83,0 Don't include first line with header. - Edit on the name of the file for autoupdate: yyyymmdd.symbol.csv Same format as above.
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Here is the last version. Setup to use it: - First things to do is to install necessary addins (Analysis tools and Analysis tools - VBA). - You need to setup your own list of securities by following the examples (you can change the bloomberg ticker by the symbol code you're usually using). - Import your own data (must be 1min data): copy your filed into the import folder, rename them (something like: symbol.csv), and then press the Update data button (could take a while, you could check excel is still processing by looking into the logs). - Do not try to import more than one year in one time. How to use it: - You have to make sure Begin and End date correspond to some trading day (if not program could crash, still had to be improved there...). - If you want to have an autoupdate (button EnableAuto), you need to have a program which update the file called symbol..csv) every minutes in the folder AggregatedDay. - Split button shows the last day in a splitted view (only work with the last day). - Merge shows a normal distribution profile. - Do not try to plot too many days or you'll hit excel limitations. - Enable auto works properly in a splitted view, and doesn't work really well in a merged view (I'm not using it in realtime). This is a quick description will try to improve it a bit later. I've inserted some screenshots of the different views available. Ryker TL-MP.rar
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Hi, I'll post the new version this week, I've tested it for a couple of weeks and it looks ok now.
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Hi notouch, I'm currently working on a realtime spreadsheet (working with bloomberg) but also planning to allow realtime update from another third party, I'm doing this via a file that need to be updated. I can't say when it will be ready but I think it won't take that long. I'll be happy to share it but concerning the code I'm not really sure yet... But this should allow you to use my spreadsheet with IB. I've done some nice improvements since last version. I will post here as soon as I've last version. Here: © CJoint.com, 2007 is a screenshot of an autoupdateable version with last day splitted (can choose to merge it to obtain a normal profile). ++
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Are you using Multicharts? It's true that it's very similar as TS and cheaper aswell (specially if you don't use TS datafeed...).
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Good The gray A is the middle of the distribution, was wondering also if this is really necessary? Was also wondering if I should add: -- TPO count on the right of the distribution (is this useful?) -- MP values at the top of the chart (under the date maybe?) Any suggestions? Thanks
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How many symbols do you need to follow? If it's a few something could be possible, you need to use Worksheet_Calculate Event, find which values has changed on the sheet and then update data sheet with values (you'll need to build 30 mins bars with that data). It's not that difficult to do but you need to be a bit confident with Excel. I've tried to do something like this but stopped cause for a lot of symbols this is not efficient... I think I still have an example at work, will look tomorrow.
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I'm currently working on a version that will get data from csv file, so maybe it will be easier for you to update it? DDE is not always good cause Worksheet_Change event in VBA is not fired by DDE changes (you've got to use another event). Not finished yet, but will be ready soon.
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I can't see any problems here with your data, with 4 time slices I've got all values...
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Hi, Could you please send me or attach your data file so I can try to find out where is the problem? Thanks
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Hi, I'm glad that you like it and also making money with it . In case you don;t know: - You can plot more than one day (but not too much cause of the limitations of excel) - You can reduce the size of the chart, put 2 or more in ticks/tpo in data sheet. Thanks
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Glad that you finally did it , let me know if any problems with it.
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I'm sure there is a misunderstanding somewhere here... Have you seen the button on the top right of the data sheet, you need to press it after having paste your values. Are you really unable to paste info in the data sheet? This sheet has been designed to handle several symbols you just need to change the infos and paste data in Data sheet, I don't have any ES symbol sheet... Let me know if you still have a problem. Thanks
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Hmm you can't really do that. You need to paste the data in and then change contract info manually. In my version this is done automatically via the link in Bloomberg, but you need to have a Bloomberg terminal . In the version I'm working on, I've got data stored in csv files for 30 symbols, and I can chart MP (with some other features ) and also updating my data from Bloomberg (it's possible to link to another data source). But it's not ready yet unfortunately... Nearly
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Thanks This is a bit strange I have to say. First thing is that you must respect format in if not, it won't work. Second maybe scroll in the chart areato check if the chart is not somewhere where it's not visible? And third, if it's not working you should have an error message? If it's still not working just contact me on PM and I'll take a closer look (but should work as I've tried it with at least 30 symbols, inclunding bonds, futures and forex...). Ryker
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Ok, I joined the spreadsheet. Please note: You can plot many days as long as you have data (not too much because of restrictions in excel). This is note the last version but as I'm still working on it and have made a lot of changes in it, I can't share it for now. Probably in the near future . Waiting for your feedbacks, Thanks MP - 0.024.xls
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I'm working on MP with Excel and have developped a spreadsheet to be able to see MP in it. I'm using Bloomberg as a datafeed so if some other people have BB and are interested in it, I could give you a version of the spreadsheet. If others are interested, let me know maybe I could do some quick changes in the spreadsheet to allow you to work with it from a csv file. I'm interested in sharing it cause the spreadsheet is still in development and I would like to have some feedback concerning calculations and also for improvements. I joined a screenshot of EURUSD market profile. Ryker
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Hi Guys, I'm french (so pardon my english if it's not perfect ) and working in UK (Guernsey) in a stat. arb. hedge fund (more on the Execution side but also doing some quant work). Just discovered this forum, and saw that there are some very interesting threads on MP, currently working on it, so thought that it could be cool to share some stuff on it. See you on board.