Fix protocol using Excel VBA

Question

I have already created the code in Excel VBA, which collects data via dde link and executes them in accordance with some rules. Soon, this Excel VBA code will send me messages about buying or selling stocks that I am tracking.

Now I want to execute these messages using the fix protocol. Can I use Excel VBA to create a patch protocol mechanism that connects to a web service and allows you to perform operations that come from Excel VBA?

Thank you for your help.

Answer 1

You have several options for sending FIX messages from Excel.

First of all, writing a FIX engine from scratch is a small task. Firstly, the specification (especially for earlier versions such as 4.2) is rather ambiguous, and many details can only be known from practical experience. So, you better start with a turnkey solution.

You have several options:

1) From Excel, go to the remote API for the FIX engine. There are various commercial engines that you can find here: http://fixprotocol.org/products/1 - some offer excel plugins with their product SDK.

2) Insert QuickFIX.NET into your VBA code. See http://www.quickfixengine.org/ for code examples (too big topic to post in this answer).

3) Get the FIX plugin for Excel. There are several. I can not recommend one (for various reasons). Again, you can find the FIX Protocol Ltd website for some starting points: http://fixprotocol.org/products/2

One more note:

When I encoded this, the Excel streaming model did not allow asynchronous cell updates. Therefore, when I sent the command to the remote FIX server, the response messages (transactions) were received asynchronously. When I received the answer, I tried updating Excel. An Excel process might work if I were editing a cell at the same time when an update appeared.

One solution to overcome this is to use the Excel RTD interface (RTD = "Real-Time Data") to update your trading spot. This is another major topic. Here is the starting point:

Microsoft KB: setting up and using the RTD function in Excel