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Automated ECN Trading

  • #1
  • First Post: Jul 6, 2007 9:33am Jul 6, 2007 9:33am
Are any of you fully automated trading through an ECN?

I wrote my EA for MT4, but am willing to convert it to Tradestation or some other package if it will integrate with my ECN.

For example, EFX offers an API.



One option I have is to set up a mini-account with a broker, and use the FILE function in MQL to append to a text file every time a trade is made. Then I could have a VB program scan the "last modified" attribute, and pull the trade information, and ship it to the API.

This is not an elegant solution.
  • #2
  • Jul 6, 2007 1:21pm Jul 6, 2007 1:21pm
Quoting tdion
Are any of you fully automated trading through an ECN?

I wrote my EA for MT4, but am willing to convert it to Tradestation or some other package if it will integrate with my ECN.

For example, EFX offers an API.



One option I have is to set up a mini-account with a broker, and use the FILE function in MQL to append to a text file every time a trade is made. Then I could have a VB program scan the "last modified" attribute, and pull the trade information, and ship it to the API.

This is not an elegant solution.
I don't know what strategy you are coding, but be careful about using MT4 pricefeed with ECN like MBT as their prices rarely match and spread is different. Why don't you just code it in something like .NET and connect to their API?
  • #3
  • Jul 6, 2007 2:35pm Jul 6, 2007 2:35pm
I agree with fiber. If you write your whole bot in .NET, it has the advantage that MBT (likley efx too) can host it directly in their server-facility (very low latency and reliable environment). If you need price-history, you can get it from the esignal or tenfore-api, both have MB-forex data.
  • #4
  • Jul 7, 2007 11:32am Jul 7, 2007 11:32am
I wouldn't have a clue how to make a .NET bot.

Where would the price feed come from?

Can you post example code for a simple bot (like a moving average cross)

Thanks.
  • #5
  • Jul 7, 2007 11:45am Jul 7, 2007 11:45am
T,

Unfortunately, it's a bit more complicated than you'd think. The price feed would come from connecting to the API. Basically, you'd implement COM+ interfaces provided by MBT. Inside your implementation, you would connect to the MBT price feed by "advising" the feed manager of the symbols you want to track. The coding process is relatively simple for connecting to the feed, you just create a new feed manager (provided by the API), and the rest is done behind the scenes without your help.

The more complicated part of the coding process is actually programming the rules. You're basically given per tick updates that are raised by the API. If you're not familiar with event-driven programming, this may be excruciatingly hard. If you are, then it's simple...you just take the tick, compile it into a time bar (or any other user-defined data-structure you need) and then process the collection of time-bars. There are no indicators provided with the API, so you'd have to do all the mathematical calculations yourself in functions OR you could buy a product that calculates that stuff for you.

The short-and-sweet of all of this is that if you're familiar with API integration with any programming language - especially any of the MS languages - the MBT API is really really easy to implement and consume. If you're not a real programmer (as in your experience is limited to the MQL subset of C++ or some other Pseudo-language), you may find it difficult to start. If you do know SOME programming, it may be easier than you think, but your aptitude will determine how fast you could create a bot in .NET.

It should be noted that the MBTSDK forum has plenty of samples to help you get familiar with the process. So if you've got your account (or demo account) and you're unsure of what to do and you believe you can do it, then that forum is the place to start.

Quoting tdion
I wouldn't have a clue how to make a .NET bot.

Where would the price feed come from?

Can you post example code for a simple bot (like a moving average cross)

Thanks.
  • #6
  • Jul 9, 2007 12:16pm Jul 9, 2007 12:16pm
Quoting tdion
I wouldn't have a clue how to make a .NET bot.

Where would the price feed come from?

Can you post example code for a simple bot (like a moving average cross)

Thanks.
I believe that this is actually the reason that EFX went with Omega over MT4. I think making something like this work is a huge undertaking, much bigger than you would imagine.
FXChant Singing the World of Forex
  • #7
  • Jul 11, 2007 9:41am Jul 11, 2007 9:41am
If EFX had gone w/ MT4, life would be easier. BTW, EFX is not the ECN of choice, but a good example because of their API.

Quoting fxchant
I believe that this is actually the reason that EFX went with Omega over MT4. I think making something like this work is a huge undertaking, much bigger than you would imagine.
  • #8
  • Jul 12, 2007 7:26am Jul 12, 2007 7:26am
Quoting tdion
If EFX had gone w/ MT4, life would be easier. BTW, EFX is not the ECN of choice, but a good example because of their API.
If EFX had gone with MT4 it would NOT be an ECN (there is a huge thread dedicated to EFX which will explain why). Out of curiosity, what ECN you are thinking about?
  • #9
  • Jul 12, 2007 7:38am Jul 12, 2007 7:38am
TDion,

If you want to use EFX or MBT you can automate trading by using TickQuest NeoTicker program.

TimeFreedom

Quoting tdion
Are any of you fully automated trading through an ECN?

I wrote my EA for MT4, but am willing to convert it to Tradestation or some other package if it will integrate with my ECN.

For example, EFX offers an API.



One option I have is to set up a mini-account with a broker, and use the FILE function in MQL to append to a text file every time a trade is made. Then I could have a VB program scan the "last modified" attribute, and pull the trade information, and ship it to the API.

This is not an elegant solution.
  • #10
  • Jul 26, 2007 7:26am Jul 26, 2007 7:26am
Lava, FXAll, HotSpot, Currenex, etc....

EFX is just too unstable for my style of trading.

Quoting fiberangel
If EFX had gone with MT4 it would NOT be an ECN (there is a huge thread dedicated to EFX which will explain why). Out of curiosity, what ECN you are thinking about?
  • #11
  • Jul 26, 2007 10:03am Jul 26, 2007 10:03am
I see you mean business if you are thinking about big boys like FXAll, etc. I'd like to get on it some day, but I'm afraid it's mostly for institutions and BIG clients. If you can access it, kudos to you.
  • #12
  • Last Post: Jul 26, 2007 2:37pm Jul 26, 2007 2:37pm
Quoting tdion
EFX is just too unstable for my style of trading.
I have been tinkering with the EFX(MBT) API, can you go into more detail about what you mean by unstable?
The breaking of a wave cannot explain the whole sea.
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