As I wrote before, I’m working on a tool for my blog donors that will allow recording of the DDE data from Think or Swim in Excel for doing time-based advanced calculations. I’ve got the data recording working now.
I put the recording logic into my example file for calculating the average bid / ask spread of the S&P500, and hooked it up to a plot. The logic records the DDE values once per second, and saves the value if it changed from the prior saved value. The plot updates in real time as the new values come in. Here’s a snapshot of the average bid / ask data for the S&P500 stocks from today, starting at about 2:15 PM ET (13:15 CT in the plot) and going until after the close:
Can you tell where the market closed without looking at the time axis? I watched it real time–it was cool to actually “see” the close unfold.
Here’s a zoomed-in view:
It was interesting to me that the spreads narrowed going into the close, indicating more trading liquidity, and then blew out after the bell as order flow stopped. Nothing too earth-shattering discovered here, but it’s a demo of the recording and plotting capability. There’s no reason you’d want to plot price in this tool–it’s only good for the kinds of things you CAN’T plot in Think or Swim. Next to come are the alerts and a couple of other things. Stay tuned!