C# for Financial Markets

23

Real-time Data (RTD) Server

23.1 INTRODUCTION AND OBJECTIVES

In this chapter we discuss how to interface Excel with external real-time data feeds. Many market data vendors – for example, Reuters and Bloomberg – provide Excel add-ins to access their real-time data. From a developer's viewpoint, the interface to be implemented is called IRtdServer and it contains a number of abstract methods that we implement when we create our own real-time data servers. A major concern when handling real-time data in Excel is to ensure that newly arrived real-time data can be processed as quickly as possible while at the same time ensuring that there are no conflicts with other applications. Without some form of coordination we will have conflicts between real-time data sources and Excel. The design of the RTD server ensures that Excel is the coordinator that regulates all data traffic and updates to worksheets.

Our aim in this chapter is to describe the steps to create an RTD server, generate data from it and then constantly update certain cells on the Excel worksheet.

23.2 REAL-TIME DATA IN EXCEL: OVERVIEW

In some applications we may wish to constantly update the value of a cell in Excel. We could achieve this by creating a standalone application that sends data to Excel but the danger here is that the volume of data may swamp Excel and for this reason we discount this as a viable solution. Instead, we develop applications in which Excel has the upper hand in the sense that Excel determines ...