Hi - I've been using the DDE interface to Excel in DTNIQ for some time now and it works very well

Next on the list is to capture minute volume for various stocks and equity options. For example,
I might want minute volume data for a Dec APPL 400 call option.

I can get tick data for this via the DDE 'Tick Vol' parameter but I don't see any 'Minute Vol' type parameter. The closest thing to what I want is the 'Volume' parameter, which gives cumulative total daily volume, but I'd have to do a series of comparisons each minute to extrapolate the previous minute's volume. Not exactly what I'm looking for.

DTNIQ Time&Sales tick windows provide this value, which is great, but I want get this number into Excel for number crunching.

Any ideas on this one ??

Thanks...

AMA
The Field 'Tick Vol' will display the trade volume per tick/trade. This may be what your looking for.

AMA,

To clarify, The DTN.IQ DDE interface only provides access to streaming data. Thus, you are right that you would need to code something in VBA to capture/build the minute interval volume. In order to get the interval volume from the server, you would need to use a 3rd party app such as XLQ or QuoteIN. The other option would be to take a look at the DDE functionality within ProphetX. With its DDE, you can access interval data as well from the "Tabular" display. Just enter the symbol and interval like you do for a chart. Then you can right click and Format a DDE link from the display. This data won't dynamically update in Excel, but it will automatically load it into Excel and may provide what you are looking for.

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Jay Froscheiser
Telvent DTN

Jay, thx for replying. What you described is how I thought it might work, as references I've seen from DTN refer to 'building the xxx interval data from the historical tick data' or something like that.

I'll check into the ProphetX DDE thing. I use PhX only for some very basic charting and barely know enough to do that, so guess I'll poke around over the weekend on it a bit.

I may end up just rolling my own w/DTN-DDE...

Could you post the url for the webpage listing 3rd party apps(such as QCollector, etc) that work with DTNIQ? I looked around some, but couldn't find the specific page. I'll investigate XLQ & QuoteIN, but would like to see what other apps are available these days.

Lastly, I don't recall seeing any VBA-DDE examples. What I've done in Excel I coded up using the Excel language(minor stuff; not too difficult). So, do you have a pointer to some doc on using VBA w/DDE?

The compatible software is available at www.iqfeed.net by clicking "Compatible Software". I will have to get back to you on VBA. I did an Excel spreadsheet several years ago with some building of T&S off the stream, but I will have to find it. I am currently at the Traders Expo in Vegas and don't have access to my full system to locate the sample file and see if it still works. I do remember that it was very rough though (I'm not a VBA expert by any stretch).

We also have an Excel Add-in available for ProphetX that makes getting data from ProphetX much easier, but Im not sure it will be what you need either.

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Jay Froscheiser
Telvent DTN

Bingo, Jay. As usual, you're on top of your game

Got the 3rd party list and the other stuff can wait, so no hurry; it'll be later in the Holidays before I can get to this, time-wise.

Thanks...

Oh, btw, I dont know VBA, so I'm not really wanting to go this route, but would consider it if there's no other alternative.

The XLQ product looks quite interesting and I'll scope it out some more...

Jay, it appears that the XLQ product, combined with the autohotkey macro recorder/generator will do the job I had in mind. And, actually, allow me to do some other things I've had in mind

Will be a week or to before I can integrate it all, but for now, all looks good.

Some of the 3rd party software listed on the web page you pointed me too does some very nifty stuff, when tied into IQFeed. I already use some of these chunks of software and will be adding XLQ to the list, as time permits.

Thanks for the help.

oops; no 'edit' capability...

'to' -->> 'two'