This isn’t about scalping or day-trading per se but I think it's relevant, and I would welcome comments.
I download real-time prices (and volume) into Excel via VBA. I can vary the time from a fraction of a second upwards – 1 minute, 5 minutes, etc. Whatever the value of the index , for example, at the interval, that will be the price that is downloaded.
And this is the problem. Trades may occur or not in any intervening period. If no trades, then a price (the last trade) and volume will still print. Conversely, actual trades lost will not print. Further, a last trade could repeat during the download period, so one gets what appears to be trades at identical prices. However, it isn’t apparent whether these are a repetition of last price or a series of actual trades at the same price.
I have Time and Sales but can’t download this into Excel (although I’m sure it could be done).
Any suggestions?
Thank you.
Grant.
I download real-time prices (and volume) into Excel via VBA. I can vary the time from a fraction of a second upwards – 1 minute, 5 minutes, etc. Whatever the value of the index , for example, at the interval, that will be the price that is downloaded.
And this is the problem. Trades may occur or not in any intervening period. If no trades, then a price (the last trade) and volume will still print. Conversely, actual trades lost will not print. Further, a last trade could repeat during the download period, so one gets what appears to be trades at identical prices. However, it isn’t apparent whether these are a repetition of last price or a series of actual trades at the same price.
I have Time and Sales but can’t download this into Excel (although I’m sure it could be done).
Any suggestions?
Thank you.
Grant.
