Forex Factory (https://www.forexfactory.com/forum.php)
-   Trading Discussion (https://www.forexfactory.com/forumdisplay.php?f=11)
-   -   Comparing Broker Ticks in Real Time (https://www.forexfactory.com/showthread.php?t=671979)

MetaCoder Jun 8, 2017 2:57pm | Post# 1

Comparing Broker Ticks in Real Time
 
I haven't posted in long time but currency trading has been in the back of my mind and now has come to the surface a little more.

I'll expand more on why I'm asking this, but first I'll just ask it.

Have any of you watched exchange rate feeds from multiple brokers at the same time, and have you observed differences? I know this is something they don't want us doing because we can exploit brokers whose feeds lag behind others. This is one reason they don't like us opening and closing trades within a short amount of time.

If we could do this successfully, I have specific thoughts on how this could be masked and trades could be held long enough to not get flagged as doing extreme short-term trading.

RemonFxTrade Jun 8, 2017 3:34pm | Post# 2

i can guess what u think about but waiting for members's response

achab Jun 8, 2017 4:13pm | Post# 3

I haven't posted in long time but currency trading has been in the back of my mind and now has come to the surface a little more. I'll expand more on why I'm asking this, but first I'll just ask it. Have any of you watched exchange rate feeds from multiple brokers at the same time, and have you observed differences? I know this is something they don't want us doing because we can exploit brokers whose feeds lag behind others. This is one reason they don't like us opening and closing trades within a short amount of time. If we could do this successfully,...
I am recording ticks from some brokers, about some crosses: are you interested in it?

MetaCoder Jun 8, 2017 4:41pm | Post# 4

achab, I'm interested in your observations -- specifically, do you ever see significant differences in the exchange rates the different brokers are presenting on their trading platforms? Also, do you (or anyone else) have a list of brokers who offer trading via MetaTrader these days? I have lost touch with who they are. I would be able to programmatically monitor deviations between their feeds. It will take a little work, but nothing too terribly complex.

achab Jun 8, 2017 5:29pm | Post# 5

do you ever see significant differences in the exchange rates the different brokers are presenting on their trading platforms?
Yes, I do.


do you (or anyone else) have a list of brokers who offer trading via MetaTrader these days?
Maybe this can help.


I would be able to programmatically monitor deviations between their feeds. It will take a little work, but nothing too terribly complex.
Are you talking about arbitrage?

MetaCoder Jun 8, 2017 5:46pm | Post# 6

Thanks for the great link, achab! I'm not talking about arbitrage.

dragonexpert Jun 8, 2017 6:24pm | Post# 7

{quote} I am recording ticks from some brokers, about some crosses: are you interested in it?
Really Interested

PipMeUp Jun 9, 2017 3:54am | Post# 8

Thanks for the great link, achab! I'm not talking about arbitrage.
When reading your first post I thought you wanted to arbitrage two brokers to buils negative spreads.
I'm afraid this is not viable due to commissions, latency and requotes. But you say it's not about arbitrage. You pique my curiosity.

MetaCoder Jun 9, 2017 10:59am | Post# 9

PipMeUp, I wrote EAs that monitor large numbers of currency pair triangles within single brokers' feeds. The EAs detected frequent market inefficiencies (I call them "distortions"). If we had super fast trade execution and no spreads, we would have a shot at exploiting the distortions. In reality, the brokers keep the spreads adjusted such that we have next to zero chance of profiting from the mathematical imbalances.

MetaCoder Jun 9, 2017 11:09am | Post# 10

What I'm wondering is if brokers' feeds sometimes lag behind the others, and if those lags can be detected and exploited. I have figured out how to monitor that and, last night, started implementing the system that will do it. If my system detects sufficient and frequent enough lags, I'll implement EAs that exploit them.

Drolph Jun 9, 2017 11:46am | Post# 11

What I'm wondering is if brokers' feeds sometimes lag behind the others, and if those lags can be detected and exploited. I have figured out how to monitor that and, last night, started implementing the system that will do it. If my system detects sufficient and frequent enough lags, I'll implement EAs that exploit them.
That exactly is arbitrage trading and will be punished by more or less every retail broker.

MetaCoder Jun 9, 2017 12:04pm | Post# 12

If we do it with a single pair for short-term profit, it would be very obvious. If we do something else...

Drolph Jun 9, 2017 12:08pm | Post# 13

The idea/wish of risk free gaining by using arbitrage is as old as retail trading itself. No matter how "smart" you want to deal with it, there has already been someone trying it before. Take my advise and stop wasting your time on this..

MetaCoder Jun 9, 2017 12:25pm | Post# 14

A person unknown to me who assumes they are qualified to give me advice and feels qualified to tell me what I should and should not do with my time goes straight to my ignore list.

Greenstar Jun 9, 2017 12:38pm | Post# 15

A person unknown to me who assumes they are qualified to give me advice and feels qualified to tell me what I should and should not do with my time goes straight to my ignore list.
This drew my attention. I have no criticism of the approach of using ignore; it depends to me on what one's priorities are in a particular situation and there depends the level of tolerance. This is to me a large subject. We are all made so unique. Sorry don't mean to get the thread off the track!

achab Jun 9, 2017 12:51pm | Post# 16

What I'm wondering is if brokers' feeds sometimes lag behind the others, and if those lags can be detected and exploited. I have figured out how to monitor that and, last night, started implementing the system that will do it. If my system detects sufficient and frequent enough lags, I'll implement EAs that exploit them.
I know you since Phantom EAs, so it's seven years...! I had almost forgotten those EAs, but some months ago, something came into my mind to make me remeber about that old trading experience. And, curiously, in the last few months I started again testing some of them (click here for one of my demos, here for one of my real forward test and here for another real one: just few actual examples).

The experience I have had with these EAs was negative and the one I am actually having is not positive, frankly speaking. But, if I still use them in REAL... What do you think it could mean? I believe that the idea at its base is quite good and today, with increased technologies and updated Metatrader (build 1090), I think something good can birth. But, I really suggest to code your "implementing EA" to be backtestable, as mql5.com says it's possible today.
I can show you demo forward tests started more than 6 months ago (here, here, here ....) but I am actually tired to follow so many tests because I have not so much time to invest: backtesting a multi-pair EA will be something really new and this is the main reason I strongly suggest you to do it in such way, only.

My two cents.

dukas_trader Jun 9, 2017 12:52pm | Post# 17

A person unknown to me who assumes they are qualified to give me advice and feels qualified to tell me what I should and should not do with my time goes straight to my ignore list.
he was simple helping you to save time, because with this idea you are many years to late (many years ago it was sometimes possible with some brokers for some time till detected).
brokers dont will pay your wins, when you try to use their slower data feed. its common arbitrage, unimportant if you use this trade to close an order or open an order. brokers are not stupid, they know the problems of their trading station and data lags.

achab Jun 9, 2017 12:53pm | Post# 18

{quote} Really Interested
Write me PM and let's decide how to share those largest files.

achab Jun 9, 2017 12:55pm | Post# 19

{quote} he was simple helping you to save time, because with this idea you are many years to late (many years ago it was sometimes possible with some brokers for some time till detected). brokers dont will pay your wins, when you try to use their slower data feed. its common arbitrage, unimportant if you use this trade to close an order or open an order. brokers are not stupid, they know the problems of their trading station and data lags.

Arbitrage is not impossible, today. But it's very, very hard.

dukas_trader Jun 9, 2017 12:57pm | Post# 20

{quote} Arbitrage is not impossible, today. But it's very, very hard.
doing arbitrage is possible easy, get wins from it (because broker is not smart enough to detect it) is not so easy. and the wins are such small against real trading (ok depends from what you trade). you always need to let run other experts to hide your trades, and even this can easy be detected by broker, in seconds. so you really need to find a broker who has very bad staff and dont care losing money.


© Forex Factory