DOM -- Excel / IB

Author: mikeytrader






1. This DOM uses IB feed through standard IB DDE connection.

2. Data is replaced instantly in each cell.
-- The performance is good because there is no excessive calculations.

3. Left most section shows the DOM Ladder, 3 columns, price, size, accumulated size.

I colored the ask side with green and the bid side with red,
but only colored to the largest size in each level.
This allows you to see the wall easily.
The yellow color is used to show which side has the largest accumulated size.

4. Middle section, For each of the 5 levels of the DOM a Horizontal bar expands or contracts base on the corresponding size.

5. Right section, Similar to the DOM ladder on the left side, this only shows the biggest wall amongst the 5 levels of each side, plus the immediate inner pair.


Instructions:

1. Save xls to hardrive
2. Launch IB
3. Make sure IB under configure>>api>>enable dde and enable active-x are turned on
4. Open xls; when prompted to "update" just say no
5. type in your IB user id in cell B47 and make sure B48 is the current contract and hit enter
6. save the xls
7. click on the setup button
8. ib data should start to update.

The next time you open the xls you can chose "update".


p.s.
1. you will need a basic knowledge of Microsoft Excel to use this.
2. this worksheet is a few years old, you will need to update the symbol to the current contract. (see #5 above)

.

[dangermouseb]

indeed... though the challenge of order book games is writing the software a) to reconstruct the whole order book, b) having it close enough to the exchange so that the information can be processed in a timely manner (typically measured in mS)...

non-professional data feeds aren't fast enough to see the information before someone else (an IB or hedgefund etc) has acted on it...

-- DM