Algorithmic Trading
In my old blog, Digital Breakfast, I posted a few times about my desire to build an Automated Trading System (ATS) using Excel. I figured I’d build it in Excel since I know that software the best and conveniently enough, Interactive Brokers offers an API for Excel. Today, I located my old real time ETF Trend Signal system, which is based on statistical performance measures to generate trend signals, and decided to begin additional back end development on it.
I want to explore some ideas I learned over the past few days from C++ Trader and Christian about option neutral trading and even asset mispricings (arbitrage). The more I think about it, what I really want to do is to build an algorithmic trading system first and then an automated trading system. So step one, build an ATS and then step two, build an ATS. 
[tags]ATS, Algorithms, Trading, System, Excel, Trends, Quantitative, Finance[/tags]
May 10th, 2007 at 2:58 am
Wow, you are going to build a system using Excel. I can understand why because Excel is very powerful, but I had a heck of a time writing code in it. Though you are right IB has a great Excel API.
May 10th, 2007 at 5:00 am
Yeah, I’m probably crazy to do that but I’m slowly learning VBA in Excel and its making more sense now. Plus, the TraderXL package I use will have IB integration in the future version.