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HighFrequency Trading and EA's

  • #1
  • First Post: Aug 22, 2017 8:49pm Aug 22, 2017 8:49pm
What is the average execution speeds people are getting doing this? I am hitting 2/3ms.
  • #2
  • Aug 22, 2017 9:39pm Aug 22, 2017 9:39pm
Quoting IrishPete
What is the average execution speeds people are getting doing this? I am hitting 2/3ms.
It all depends on how intensive and optimized your code is. Obviously 2/3ms is slow for HFT, but then again this is MT we are taking about here no such thing as HFT on MT. For that you want to connect to a FIX API.
  • #3
  • Aug 22, 2017 9:41pm Aug 22, 2017 9:41pm
Quoting Nicholishen
{quote} It all depends on how intensive and optimized your code is. Obviously 2/3ms is slow for hft. Have you used the profiler to find your slowdown?

Hey bud, I am using an ECN account, with MT4, I found this much faster.
  • #4
  • Aug 22, 2017 9:45pm Aug 22, 2017 9:45pm
Quoting IrishPete
{quote} Hey bud, I am using an ECN account, with MT4, I found this much faster.
Found what to be faster?
  • #5
  • Aug 23, 2017 12:07am Aug 23, 2017 12:07am
Quoting Nicholishen
{quote} Found what to be faster?
I found this the quickest execution speed I get using MT4 to trade
  • #6
  • Aug 23, 2017 12:25am Aug 23, 2017 12:25am
Quoting IrishPete
What is the average execution speeds people are getting doing this? I am hitting 2/3ms.
HFT and execution time are two different (yet related) topics.

Trading exection on the pros doing HFT goes around 0.1 ms to less than that. That's 20x to 30x your execution time which is great for a MT4 platform.

You most likely don't need to focus your trading on a HFT strategy since you will be buried by the transaction costs.
  • #7
  • Aug 23, 2017 1:56am Aug 23, 2017 1:56am
Quoting AiWoZhongHua
{quote} HFT and execution time are two different (yet related) topics. Trading exection on the pros doing HFT goes around 0.1 ms to less than that. That's 20x to 30x your execution time which is great for a MT4 platform. You most likely don't need to focus your trading on a HFT strategy since you will be buried by the transaction costs.

I have made the assumption as my execution speed with MT4 is just about faster than all the other execution speeds relevant to MT4 giving me a relative advantage...

The spreads are low through an ECN acount, no other costs...
  • #8
  • Aug 23, 2017 2:42am Aug 23, 2017 2:42am
Quoting IrishPete
{quote} I have made the assumption as my execution speed with MT4 is just about faster than all the other execution speeds relevant to MT4 giving me a relative advantage... The spreads are low through an ECN acount, no other costs...
But there is not a currency market for the MT4 platform, one for the ninjatrader platform and so on...

You don't have any advantage, you are competing against people with much better execution time than you. It's irrelevant whether you have the best execution time on MT4 (and it's not actually the case, BTW)
  • #9
  • Aug 23, 2017 2:49am Aug 23, 2017 2:49am
Quoting AiWoZhongHua
{quote} But there is not a currency market for the MT4 platform, one for the ninjatrader platform and so on... You don't have any advantage, you are competing against people with much better execution time than you. It's irrelevant whether you have the best execution time on MT4 (and it's not actually the case, BTW)
The 3 and 5 year back test came back with strong and fairly strong results
  • #10
  • Aug 23, 2017 4:32am Aug 23, 2017 4:32am
What about commision? What is the default stop loos and how long average trade last?
Good luck with that! I am also interested in HFT
  • #11
  • Aug 23, 2017 4:57am Aug 23, 2017 4:57am
Quoting IrishPete
{quote} The 3 and 5 year back test came back with strong and fairly strong results
I think you misunderstand me.

I don't think a winning strategy with short execution time can't be implemented, but I say that it can't be the main feature of your strategy since the people who use the execution time as their main feature are more than x20 faster than you.

There are many strategies that need a perfect execution, and won't do well in live. I am thinking for instance about any "MILLION DOLLAR PIP" EA related strategy, that turn $1000 into a trillion within a year.

I am very happy for you if things work out, but be advised: there is a world between backtesting and live testing. It's normal to backtest a strategy, but in live, you will experience events that don't occur in backtest. Start small.
  • #12
  • Edited 8:24am Aug 23, 2017 8:04am | Edited 8:24am
HFT is a term that is often misused as a synonym for scalping. HFT is about competing in the sub-millisecond market micro-structure with players utilize a near limitless amount capital to build out solutions to overcome the physical limitations of hardware latency. We're talking about super-optimized C++ algos running on specialized collocated servers running custom kernels connected to multiple LPs via FIX. These LPs (LMAX for example) can send up to 1000 ticks/messages per second, which MT is not designed to handle, and thus there is absolutely no way for MT to compete in this space. I think @AiWoZhongHua is being generous with his x20... I would estimate that factor to be much higher considering the most efficient path to an MT terminal is LP.FIX -> MT.ECN.Bridge -> MT.Broker.Server -> MT.Client.Terminal ... and back.
  • #13
  • Last Post: Aug 24, 2017 10:25am Aug 24, 2017 10:25am
Inserted Video

Watch the Video. this is where I started looking into HFT and candle trading. (At the end the guy even states you wont get a broker for a live account to offer such a service for this candle stick trading that is on a normal platform that comes the closest to HFT)
My opinions about this HFT and any other strategy concerning trading on any platform.

1 - Back testing means nothing. ( only helps to see what behavior the EA has)
2 - HFT trading is almost 0.005 Milliseconds (0.3 Milliseconds are standard trading times for average platform near trading servers)
3 - HFT needs super computing ( Not the normal I5 or I7 intel with 16GB Ram)
4 - When your order is sent to the trading server from your platform pc or vps, you are in queue with 100 000's of other orders that are taking place unless you have special clearance from your broker that gives you priority on your account.
5 - HFT needs spreads of 0.001 or 0.000 and I don't know of any brokers offering that and the closest and only currency pair offering that is the EURUSD.
6 - HFT will need wireless direct connection to the trading server from your trading pc/server or direct Fibre line to the trading server.

So to come to a point IrishPete. You got an idea. but it is much bigger than you thought.
It costs millions for a proper HFT setup.
Then one more thing... The algorithm that does the trading. That alone needs its own super computer....
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