Market-making HFT algorithm

Dude, forex trading can be a very hard way of living, but blaming the broker will not get you any good results.

I trade with fxcm from many years, and belive me they are one of the best broker in the industry, the spread is good, there is never slippage when you enter at market price (unless you open positions bigger than 100lots), and of course stops and limit orders get executed at the best market price (that may be different from the original stop/limit price, but that's surely not a broker's fault, you may like to aquire some informations about how stops and limit orders work).

The best thing you can do is take responsability for your own trading decisions and stop blaming others for your failures, again i perfectly know that this business can be very stressful and the market can be very cruel, but that's just how things are, take it or leave it.

Have a good day

So, any coders out there willing to help me code two EA versions of my rebate trading strategy? I'm sure its a little bit different from the regular indicator based EAs most traders would want coded. I can show you manual trade statements to enable you evaluate whether its worth your time and energy as a coder...cheers! On a broker offering $10 dollars per lot in rebates, you can earn 10-15% ROI monthly just from rebate trading. PM me please...I'm just looking for a coder to collaborate with me and code the strat for free...

FxTriumph: $10 per lot is 1 pip. To get this as rebate, you must have a pretty high spread !!

Yes...spreads are generally 1 or 2 pips higher than normal with the STP brokers I have spoken with.

hi....i can develop this EA for you....the requirements need to be very clear though !

So.. you pay 10/20$ more on every trade (the bigger spread), and get part (or in the best case all) these costs back via rebate.

I guess the only happy one here is your broker eheh

@Spaceduck: Yeah, no need for a broker. I'm sure you would be happy to accept $20 from the guy every time he wants to give it to you, and return him $10 for each payment at the end of the month

That would be another thing if he do manage other people money, and make profit that way (i had know a few managers that did something similar, in fact soo many money-managers do money that way), but if he plan to trade his own account, well i hope he realize how really the situation is lol

Ehh it's a hard world!

If I am making 10% to 15% profit on my rebates, won't I be able to share that with clients as a MAM manager? Or better still, will I not just become a white label and become an Master IB to other IBs and simply have them use my algorithms to trade instead of trying to keep signing up new traders just to earn commission? Sometimes, to trade FX profitably, you need to think outside the box.

I'm happy I put this post on FF because through this simple request I have met some pretty amazing and quiet traders on FF who have been extremely successful using out of the box strategies. Please my request for coders to help me out still stands. Any coder out there, pls pm me.

You need something coded in what language? For mt4 I'm assuming (MQL)? I know Java and I am learning Assembly Language and C# but I have no experience in MQL. Although once learning one object oriented programming language, learning others comes much much easier as many of the concepts are the same.

As far as why I am just joining FF now, I have just recently began trading Forex. I have traded equities and options in the past (from home) and lots of the concepts are the same. I also study and research feverishly. I don't risk money without knowing what I am doing. I make money, I don't want to lose it to some middleman broker.

And to the gentleman who asked what my beef was with eff-ecks-cee-em it's not my crusade or life's mission or anything but I think they are crooks, and so does the SEC apparently. I don't like it when greed goes too far, they make money, lots of it, how far do they have to go in their pursuit of greed? I'm not blaming anyone for nothing, hell no (I have no major losses). I've never been with them, I don't want to be, I just calls it likes I sees it. But, I guess if you live in 'murrica its not that bad of a choice I suppose, even though they are crooked as all hell (like everything in America I guess). For us not under the heel of the SEC we have much better choices like Dukas, Robo, etc etc.

To FXTriumph:

I think you have a big blind spot here.

You are using some brokers which offer you spread as high as 1-2 pips (it should be even higher for less major pairs), and then you get an IB for rebate.
Your goal is to stack up trading volume and then even the balance (so you win on rebate.)

BUT, the thing is, if you get a ECN or STP environment (simply find many on myfxbook), the spread you get +the commission you pay* is still likely less than your current spread - rebate. There is no reason to go after rebate.
*btw, you can also use IB for some ECN brokers, so to have some rebate for the commission.

You mentioned you can generate 10-15% profit per month by this method, which sounds pretty mysterious to me based on your logic above.
If there is indeed any good idea in your system (I dont know how virtu trades, not your strategy either),
you should still go after ECN things rather than rebate trading.

Another thing is, every trade has its cost (spread, commission), always one way or another.
So, if you can really 'break even' the balance on the surface for a large volume trading, you are actually beating the cost.
That is to say, you then are realizing profit by removing risks, so why not tune your parameters? (ex: change your breakeven condition) to see how far you can go.

I hope above helps
Cheers, Wjack

Oh yeah, and in case anyone stumbles upon this thread, and gets suckered in by Mr.F-X-C-M's cleverly worded "statistics", here's one he has failed to mention;

According to the risk disclosure statement on the F-X-C-M website (Q4 2010) it states that only 23% of their 18,362 non-discretionary accounts are profitable. Which makes it the broker with the second worst profitability ratio. That also puts them in spot number one for having THE HIGHEST amount of nonprofitable accounts out of the top ten U.S CFTC registered RFED's (retail foreign exchange dealer)

77% of their 18.362 retail accounts ARE LOSING MONEY. Bad traders? I think not, 43.5% of the largest broker's (not naming them) 48,866 customers are making a profit to take an example from the surveyed brokers.

The fact that they troll forums and have an alarm pop-up anytime someone mentions F-X-C-M in a forum post (ever wonder why it becomes a link immediately?) to do damage control/spread misinformation. Hell, I'm no employee of any broker, I just don't like it when a thread gets basically hijacked with an ad from a seriously shady broker. One of the only to have a large suit filed against them from their retail customers.

Anyway... as far as HFT, first and pretty much only thing we have to worry about as retail traders is slippery spreads.

Wow, I don't think anyone actually reads their small print, but wow, hope you don't use multiple trades on a pair with an EA that auto-adjusts SL/TP or a trailing stop, notice the wording. They say that THEIR mt4 , implying that they have a modified and different version of MT4 than other brokers, shifty shifty. I told that rep to not push me and not to hijack threads... He can pay the price now.


(from their trading risks forex execution webpage)

Net Stops and Limits
The F-X-C-M MetaTrader 4 platform uses Net Stops and Net Limits. When you have multiple positions open in the same currency pair, a stop loss (SL) or take profit (TP) functions as a Net Stop or a Net Limit. Changing the stop loss or take profit price on any individual trade overrides all existing SL and TP prices in the same currency pair.


Oh, Oh, Oh, check this out too; (from same page)

A 0.1 pip mark-up is added to spread for the use of MT4. The 0.1 pip is in addition to the regular mark-up F-X-C-M adds to the spreads it receives from liquidity providers. F-X-C-M MetaTrader 4 allows for order sizes up to 50 million per trade. Traders have the ability to trade incremental sizes (multiple orders of 50 million for the same pair). The F-X-C-M MetaTrader 4 Platform does not show pip costs.

So they don't show their cost, don't show the mark-up, BUT they charge us an extra 0.1 pip on TOP of their 'regular' mark-up JUST FOR the privilege of using mt4.

Hidden fees and charges? I guess they aren't hidden if they are in the PDS fine print

Hope you took a time stamp on the PDS, it will probably be updated in 24hrs.

Hi Just some thoughts to share.

For the F broker, I think it is expensive to trade with them, considering spread and commission (if you use their active trader).
If one studies more and asks around, it is possible to find some places providing better liquidity with much lower overall commission than F broker.
But that is for the cost side, I think different people have different choices, so no comment on this.
Maybe some people like something in F broker
(personally, I don't find any strength on them though, it even takes them 5 days to withdraw money in the same country, which can easily be done in hours.)

As for the net sl/tp, I suggest to consider this into the coding, so you don't set up sl and tp on the MT4 at all.
Instead, you monitor orders in your code, and implement sl/tp by your own code and the saver data in your computer (rather than replying on their server.)
MT4 has its bad reputation for its "back door" thing*, so I think avoiding relying on the MT4 server is a better way to go.

*(1) I believe it can also happen on any other platforms. If a structural broker wants to do so, I think they can achieve it.
*(2) Using self-coded algo to practice sl/tp or any other things doesn't guarantee that you wont be robbed by the counterpart, but it just makes things easier to track, so once things go wrong, you can see that at the first time.

Cheers, Wjack

Ch0c/Wjack07 .. I LOVE your due diligence on this matter. You have been "around the block" here before... And the set-piece replies from the broker in question are entirely predictable, though I must say better than no response at all.. LoL.

Youre Cyniscism is so real, and so well placed.

Ive traded financial markets for over 10 years, and I can tell anyone over the age of 18,
that the industry has one goal and that is to screw you. I have never had any dealing with the broker in question here.
Maybe theyre better or worse than the average. One thing I DO KNOW, that IF ANY PART OF THEIR PROFITABILITY CAN BE ENHANCED BY YOUR LOSS THEY WILL EMPLOY EVERY EFFORT, TRICK, TECH-routine to get that extra Buck. Regulation in the entire FS sector outside out-and-out fraud, is PATHETIC.
And 90% of these plays go entirely un-noticed and unqualified.

If you want to make money as a retail trader, you need to understand the SELL-SIDE.
99% of people who get into this business leave poorer. The whole thing is a triumph of "Hope over Experience" .
Why would ANYONE make a rational decision to risk their hard earned money in a system thats designed to make them loose.
"Cos I can beat the system"?? Joke. Can you beat the system? the odds? yes. but very few do. and ONLY if they know the system.
And can get close to the REAL market. which 99% of retail traders cant.
And then realise that with retail brokers, once youve been identified as a winner, they have whole NEW set of tricks to screw you even than.

The definition of a "Fair" market is one in which EVERYONE has fully transparent and equal access to information.
Retail day traders clearly dont. EndOf. 90% dont even use a SqwalkBox, and most dont even understand the significance of economic news on the market.

I stopped even looking at FF after a brief flirtation, because i found the level of misplaced optimism too sad to read.
The FxFSI have been screwing EVERYBODY for years. Including serious industry. And few retail entities have had the credibility or guts to call it like it is.
It is no accident that the NEW buzz in the overall investment industry is TCA. Its not filtered down to retail FX yet, but its coming.
And with it I hope, will come a cleanout of the retail industry. Meanwhile the advice gateways we trust, even FF, continue to depend on revenues from advertising the fundementally corrupt retail brokerage industry to fund the very site we are communicating on.

As I said 99% of retail players end up poorer.
Because of my cynicism and sell-side contacts, Ive ended up in the 1% .
But Hey! its been the hardest way to make "easy money" Ive EVER experienced in my life.
All that said, I DO know and have money with some really smart, low/low-key professionals that have found ways to make consistent ALPHA
returns consistently on the market over 5-8 + years.
AND seen how their profits have been seriously effected by the market gateway theve used.
In one case the difference between profit results of a simple orderbased algo system, one thru an Institutional Broker
and the other with a very well regarded Retail Broker.. showing a difference of 50% RoI!
WTF??
Enough.

OK Rant over.
Hope some of it of help, or at least to make everyone THINK real careful before they become one of the 99%.

Ed

Im currently building such a EA, but would be interetead to hear your approach, i could build it too.