For large amounts of historical or intraday market data a DDE link is the best tool for Excel. DDE (Dynamic Data Exchange, sometimes called Active-X) is a simple and proven technology. It reaches out to a database and automatically populates your Excel spreadsheet or any other software application using DDE with the desired data. The DDE source database can be accessible via the Internet or a network.
One of the advantages of this method is the data is normally pre-scrubbed by the vendor or broker before delivery. Another advantage is the capability to download large amounts of data quickly. This is limited only by Excel’s available rows and your vendor or broker’s available history.
The obvious disadvantage is the inherent cost. There are also potential connectivity issues if the data server goes down. DDE is also not as “real time” as other streaming technologies so you would not want to build a tick-by-tick algorithmic system with it. However, for the majority of trading models working intraday, DDE is the best solution.
An Excel spreadsheet with DDE links looks something like this:
DDE links are also available from market data vendors, brokers, and third party software vendors. To access the data with DDE you must buy a data subscription or trade with a broker who offers an Excel DDE link.
Data vendors with DDE links include:
- CQG (Digital Data Service or DDS)
- eSignal (QLink or WINROS)
- EuroBench RealTime
- Thomson Reuters Eikon
Brokers with DDE links include:
- Charles Schwab (CyberTrader)
- Interactive Brokers (API to TWS or IBGateway)
- TradeStation (Excel via API)
Software vendors with DDE tools include:
- Equis MetaStock
- Lenz+Partner AG (Tai-Pan RealTime) in German
- MetaTrader or MetaQuotes
- Prognosis Software (ELWAVE Elliott Wave software)
- RT soft (MetaServer RT)
- Multicharts OwnData