First steps in High Frequency Trading...

Fellow traders,

Due to the outbreak of our times of coronavirus and lockdown, I have started to find interest in HFT. I am not an expert in programming but given my job experiences, I have learnt a few stuff! With MT4/5 and Visual Studio, I have created a little module to observe price evolution over time. Buffers get full very soon with the resolution of 1ms. This is far from being done with this module programming!
I attach here some screenshots of what I got so far. It is not easy to draw conclusions on the speed of each broker's signal. Maybe some of them are fastest than others, but only times to times... We have sometimes big discrepancies of prices between brokers and sometimes, within a same broker's servers!
Other point, unfortunately, I don't exclude that somewhere between the connection and the processes running in the computer can make the delay between two servers (of the same or different servers) vary.
(All prices on the charts are only Bid prices.)

Hi nice going so you are using the Laws of delay in the data feed of different brokers for automatically sending your order that's good logic .

I know one broker who had time lag between Demo account and Live account ..i had milked it to glory BUT ONE IDIOT savour of humanity bought it to notice of the broker and the issue was immediately rectified ..so i had to leave the broker .

Hello. Thank you. Yes, I think it would be a way forward. Actually, I thought that the delays between brokers price glitches would be way inferior to what they actually appear to be on these graphs, somehow I would have thought <50ms. And I am way more surprised that there can be discrepancies between prices of a specific broker, live or not. By the way, someone can have an idea of the localisation of any broker's server on metatrader website which can be a good help for HFT developments.

What do you mean by that? You sold an EA to someone? And why did you have to leave the broker?

My guess is that the broker amended the discrepancy so that his way of trading had no use to him anymore.
I wish you continued success with your project, my friend.
Hercs.

Actually, I am also looking at Triangular arbitrage, so between 3 linked instruments (3 currency pairs). For that matter, even if they don't have the lowest spreads on the markets, Pepperstone have a very huge panel of interesting spreads (<1.5pip) on a consistent amount of forex pairs and you can do so many combinations with that! And it is very likely that not all pairs change prices at the very same time. Now I will have to design the second part of my software to see whether it is true or not. I don't know if I want to only use the bid prices for triangular arbitrage or if I will need to use both bid and ask... I guess the spread is a huge part of such a strategy, or maybe a discrepancy can mean that the first two pairs have changed prices and automatically, the last pair will necessarily change.

Here are the 43 currency pair combinations I have found so far with Pepperstone :
- EURGBP : EURUSD&GBPUSD)
- EURJPY : EURUSD&USDJPY or EURAUD&AUDJPY or EURCHF&CHFJPY or EURNZD&NZDJPY
- CADJPY : USDCAD&USDJPY or CADCHF&CHFJPY or AUDCAD&AUDJPY
- EURCHF : EURUSD&USDCHF or EURAUD&AUDCHF or EURJPY&CHFJPY
- AUDJPY : AUDUSD&USDJPY or AUDCHF&CHFJPY or AUDCAD&CADJPY or AUDNZD&NZDJPY
- EURAUD : EURUSD&AUDUSD or EURCHF&AUDCHF or EURJPY&AUDJPY or EURNZD&AUDNZD
- AUDNZD : AUDUSD&NZDUSD or AUDJPY&NZDJPY or EURAUD&AUDNZD
- AUDCHF : AUDUSD&USDCHF or EURAUD&EURCHF or AUDJPY&CHFJPY or AUDCAD&CADCHF
- AUDCAD : AUDUSD&USDCAD or AUDCHF&CADCHF or AUDNZD&NZDJPY or AUDJPY&CADJPY
- CADCHF : USDCAD&USDCHF or CADJPY&CHFJPY or AUDCAD&AUDCHF
- CHFJPY : USDCHF&USDJPY or AUDJPY&AUDCHF or EURCHF&CHFJPY or CADCHF&CADJPY
- EURNZD : EURUSD&NZDUSD or EURJPY&NZDJPY or EURAUD&AUDNZD
- NZDJPY : NZDUSD&USDJPY or AUDNZD&AUDJPY or EURJPY&EURNZD

With the following min spreads :
EURUSD : 1
USDJPY : 1
EURGBP : 1
GBPUSD : 1
EURJPY : 1
USDCHF : 1
USDCAD : 1.2
CADJPY : 1
EURCHF : 1
AUDUSD : 1
AUDJPY : 1
EURAUD : 1
NZDUSD : 1.1
AUDNZD : 1.2
AUDCHF : 1.2
AUDCAD : 1.3
CADCHF : 1.3
CHFJPY : 1
CHFSGD : 1
EURNZD : 1.4
NZDJPY : 1.3

To be continued...

Well, unfortunately, I have experienced a few disappointment with all these ticktime charts. The highest accuracy I can have is something like 15ms. It seems that someone on another forum has observed it as well...
...for which finding time intervals between 2 consecutive price updates inferior than 15ms seems just impossible. If I cannot correct the time slices I have so far, I don't know how we will be able to handle thiner resolutions.

It is really tricky to tackle all this! The only solution I can see so far is to include pieces of code in assembly language.

Hope I will give updates in the foreseeable future.

When MT4 meets Arduino...