capturing tick data from Reuters

opsho · April 22nd, 2008, 4:05 pm

Does anyone have some simple code in VB or VBA that would allow me to capture tick updates (e.g. EUR=) from Reuters 3000Xtra and store it to a flat file locally? I tried doing some stuff using PPPro and some custom Excel functions however with multiple currencies, the performance hit to excel was brutal as I was doing a write to file for every update..Anyone have any ideas? I'm a front office guy with limited programming skills (but a great admirer of the skills of quants).

rwinston · April 23rd, 2008, 10:47 am

I think this question has been asked here previously at some stage, you might be able to find an answer by searching the forum...Otherwise, I'm not altogether sure how you can *efficiently* save tick data from PPP. I just use it for time series imports, and use the lower-level RFA API from C++ or Java to save real-time data. Mayeb you can write a macro that buffers a number of ticks in memory before flushing the updates to a file?