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Old 06-22-2010, 11:15 AM
Tony Tang Tony Tang is offline
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Join Date: Jun 2010
Posts: 5
Default Multi-threaded real-time data handling in Excel with COM

Gurus,

I have an Excel based algo-trading app that needs to take in lots of real-time data, and make trading decisions based on the calculations driven by the data. It is not one of those "read-only" stock ticker kinda spreadsheets.

I created a COM object with VB.NET that runs in its own thread space which collects data from a socket, and when the data is read it raises an Event with data attached. In Excel VBA, the event handler parses the data, puts them to the right places on the spreadsheet to feed calculations (so far it sounds like a stock ticker app), and then, based on the results of the various calculations it does something.

The problem is that when the user starts to click around the spreadsheet while there is large amount of data coming, the event handler's cell updating breaks apart. If the app is left alone without user action, it stands well. My frustration comes from not understanding what happens to the main thread when a user clicks around. Either the event handler blocks the user action, or the user action blocks the event handler (under which case I will put in some queuing facility). But I just don't see how user action can break the code (like causing VBA to stop executing)

What is the nature of this disease? And what is the cure?

Thanks in advance...
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