VBA Excel Algorithmic Trading Course

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VBA Excel Algorithmic Trading (VEAT)

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  • This course is focused at enabling participants to gain a broad understanding of VBA through hands-on-practice and discussing live project examples. There will be emphasis on building a strong foundation in programming and participants will get a picture of how they can use VBA to get the maximum productivity out of Excel.
  • The course will cover the basics of VBA, recording of macros, accessing workbooks/sheets and learning how to design basic applications. The participant will get to explore concepts about how to build larger applications and learn about the various building blocks that go into full fledged applications.
  • There will be additional emphasis on working with time-series data on stock markets, learning how to use macros to back-test trading ideas/strategies and learn how to connect to automated trading platforms such as Interactive Brokers and Symphony Presto via Excel
  • Finally, each participant will develop a small project of their choice towards the completion of the course. The project ideally should be in an areas that is of practical use to the participant.

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  1. VBA Excel Algorithmic Trading Course (VEAT)
  2. Reading list of books
  3. VBA Code Examples and Exercises for each session
  4. 3-month query resolution support; Intensive group based learning
  5. Life-time access to professional forum of algo traders
  6. Accredited Certification for undertaking Algo Training

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18 sessions, each one hour long, conducted through GoToTraining software in English. After each live session, you will get lecture recording, code examples, code assignments and query resolution support. This course is an intensive learning experience for three months.

  • Timing for International Participants: Tuesdays and Fridays, CST 8:30AM-9:30AM
  • Timing for Indian Participants: Tuesdays and Fridays, IST 8:00PM-9:00PM

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Microsoft Excel is perhaps the most widely used software on the planet, with the number of worldwide users estimated at over 1 Billion.  Since a lot of financial data/ models are already available in Excel, Excel is used for Trading by a number of traders across the globe.  With the versions of Excel 2010 onwards, many significant performance improvements have been made in Excel such as handling multi-threading capability and these are very necessary while building a trading application.  Also, with one of the largest user communities being available – help is only a hand away.

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Fees: Rs. 5,000/-

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Session 1: Basics of Excel Programming

  • Introduction to Programming
  • Understanding the use of variables, programming logic flow
  • Understanding what are Macros

Session 2: Introduction to Excel VBA

  • What can be automated using VBA
  • Limitations of VBA
  • Exploring the VBA Editor (VBE) and how various sections are organised
  • Recording our first macro : To calculate a Moving Average using Average function

Session 3: Basics of Systems Design and Introduction to a Trading System Design

  • Understanding the essence of Design
  • The Object Model
  • Design of a Market Data Feed Handler
  • Design of Entry and Exit Rules
  • Design of an Order Router

Session 4: Building blocks of the VBA Project

  • Workbooks
  • Worksheets
  • Ranges
  • Cells

Session 5: VBA Excel Control Statements

  • Decision Statements:- IF-THEN-ELSE statements
  • Loops:- FOR-NEXT, DO-WHILE
  • CASE Constructs
  • Introduction to Arrays, Populating Arrays
  • With.. End With
  • Nesting Code

Session 6: Advanced Excel Programming Functions

  • Similarity between Functions and Macros
  • Creating User Defined Functions
  • Combining Functions and Macros to create powerful programs

Session 7: Working with Different Data Types and Creating User Interfaces

  • Text
  • Numbers
  • Dates
  • Taking User Input
  • Calling Macros on Events/ Buttons

Session 8: Data Preparation for Backtesting Excel

  • Import/ Export Data between Excel and text files
  • Formatting Time-Series Data
  • Organizing and Cleaning Data

Session 9: Basic Excel Backtesting Strategy

  • Building a Moving Average Crossover strategy
  • Creating a profitability analysis report

Session 10: Advanced Excel Backtesting Strategy

  • Enhancing the Moving Average Crossover strategy
  • Getting deeper into the profitability analysis report
  • Luck or Skill, which side is your strategy skewed towards

Session 11: Developing Excel Market Data Feed Handler

  • Developing 1 Minute OHLC bars using real-time feeds
  • Reading streaming data
  • Creating a live database from the data

Session 12: Integrating the Feed Handler with the Buy/Sell Rules

  • Generating Entry / Exit rules i.e. Buy/Sell Signals
  • Checking for Targets and Stop Loss being hit

Session 13: Sending Orders to Excel Trading System

  • Generating Market/Limit orders based on the Buy/Sell Signals
  • Checking for order acknowledgement and handling the same
  • Creating a Strategy-level Risk Management check

Session 14: Templates for other types of Strategies

  • Pairs Trading
  • Long/Short Equities
  • Options Strategies

Session 15: Running Excel Portfolio Backtests (Combining Strategies)

  • Standardising the Trade Sheet
  • Capital Allocation between strategies
  • Calculating Daily MTM

Session 16: Experiences from Live Excel Trading Projects

  • Importance of Infrastructure
  • Slippages and how it can affect Profitability
  • Is there anything such as a free lunch in the markets?

Session 17 – Reviewing & Upgrading Strategies in Excel

  • Using a Dynamic list of instruments v/s a Fixed list
  • Adding new indicators
  • Is trading a marathon or a 100-meter dash?

Session 18 – Market Wizards

  • Delving into minds and styles of some legendary traders
  • Is there anything common between successful traders?
  • Kind of strategies used by the leading Hedge Funds

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1. Who Should Take VBA Excel Algorithmic Trading Course?

This course will be relevant to those who are either aspiring to build their own algorithmic trading/investing strategies using Excel or enhance their existing strategies.  It is suited to Analysts, Traders, Brokers, Programmers who may be either working independently or working as part of an organization.  The course is also relevant to students and faculty from Academia who is interested in learning about the use of Algorithms in Finance

2. How long is the course and how will the course be conducted?

This is an online course and the participants should have a good set of speakers and microphone.  The course is conducted for three months: this includes 18 hours live sessions, project work and 3 month of extensive support through professional forum.

3. What are the pre-requisites to learn Excel Algorithmic Trading?

Basic familiarity with Excel such as working with spreadsheets and formulae will be needed.  It is not necessary to have a programming background as concepts will be covered for beginner programmers as well.  Mainly, a keen interest in learning about Algo Trading and Excel is needed! 

5. Will I learn VBA programming fully after taking the course

As with any kind of education, one will not become an expert in VBA immediately upon completing the course.  Expertise is built by practice.  We will try to use as many examples and assignments as possible, however, to bridge the gap between theory and practice.  The course will give a strong foundation in VBA Excel programming and one can achieve expertise over time as one puts in more and more practice.

6. What if I miss one or two classes

Full recording of each session will be provided and registered participants can revisit the sessions later.

8. How so many topics are covered in 18 hours

The course duration is 3-months, not 18 hours. The course will be a hands-on one where topics will be introduced during the sessions and exercises/assignments will be given for the participants to work on during the week.  This is the only way to become proficient at programming, i.e. by Doing-It-Yourself. We could  have completed the course in one-week, but we streched it to 3-months so that participants get ample time to practice.

9. Will I be learning Python/R

We will be dealing with VBA but the programming concepts can be applied to any language.  Once you learn how to build a market data feed handler or order router in Excel, the same concept can be used in other languages such as Python/R/C++/Java.