Help with a L2B calculator

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Posts: 50
Joined: Tue May 10, 2022 3:10 pm

I'm after a bit of help with excel if possible. I'm trying to create some L2B analysis in excel but with my limited experience, am running into a few stumbling blocks.

I'm using Proform's system builder to export historic information based on criteria that I may think viable for a L2B strategy. The exported csv contains the BSP and the in-running high prices. I've used some VBA (never knew what this was until a couple of days ago) to round the BSP to the nearest tick value and then calculate the number of ticks between the BSP and the highest in running price.
What I'd like to do next is then add additional VBA to calculate the P&L of a limited liability lay placed at BSP to a tick offset that I could adjust to see where a sweet spot may be with a potential system. I think the first thing I probably need to do is figure out the formula for calculating the P&L per tick based on the BSP and how many ticks there are to the in-running high price. I've spent the afternoon trawling information and have found a few online calculators but was after help with a specific formula to calculate this if anyone can help.
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