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Arbitrage between 2 brokers

  • #121
  • Dec 7, 2011 5:39pm Dec 7, 2011 5:39pm
I started looking at this 3 years ago with a multiterminal dll which now appears to be no longer available. I am not a great programmer, and gave up. However, Fielder got me really p*** when I saw what he'd done and I have just built an automated system in 4 days using MQ4, http and xampp. Obviously too slow and still very rough but must be doable by some good coders
Andy
  • #122
  • Dec 7, 2011 5:52pm Dec 7, 2011 5:52pm
Post #116. http://www.forexfactory.com/showthre...98#post5200398

Quoting andydoc
I started looking at this 3 years ago with a multiterminal dll which now appears to be no longer available. I am not a great programmer, and gave up. However, Fielder got me really p*** when I saw what he'd done and I have just built an automated system in 4 days using MQ4, http and xampp. Obviously too slow and still very rough but must be doable by some good coders
  • #123
  • Edited Dec 8, 2011 7:04am Dec 7, 2011 11:04pm | Edited Dec 8, 2011 7:04am
It's alive!

http://ronaldraygunforex.com/Arbitrage/

Basically, this does everything the free version of Jason Fielder's ForexArb system does. It's not very difficult to add trading capability to this script.

I'm planning to release this for free, but will only do so once I have the proper legal protections in place. I am currently collaborating with Twee to make sure everything I do from this point forward is within the rules of ForexFactory.

[edit]

To those programmers who are interested in working on this, kindly contact me via Skype (Brynmawr114). I have much to discuss with you.

[another edit]

What you see in the video is the Pair|Bid|Ask|Spread|Bid Broker|Ask Broker

I use a different version of this tool to help my EAs get the best price for their entries.

[athird edit]

I updated the video to show you what happens every 2 hrs or so.
  • #124
  • Dec 7, 2011 11:08pm Dec 7, 2011 11:08pm
Christmas already?
  • #125
  • Dec 7, 2011 11:45pm Dec 7, 2011 11:45pm
I'm a coder by trade and I would love to help you out but I'm just wondering how much of a time commitment are you expecting from each coder?

EDIT: I'm married with children, hope that explains why I'm asking
  • #126
  • Dec 7, 2011 11:49pm Dec 7, 2011 11:49pm
Enough to beta-test and get a fully working auto arb off the ground. I am also working to improve my order matching software.

I have no absolute time requirements, but I am looking for help using windows calls to do the various tasks necessary in these kinds of scripts. Custom dlls written by me are inherently slow and inefficient. Being able to run code at the system layer will ensure the speed needed.
  • #127
  • Dec 7, 2011 11:51pm Dec 7, 2011 11:51pm
Sorry, not familiar with those things.

I'll have enough time to beta-test at least.
  • #128
  • Dec 8, 2011 12:20am Dec 8, 2011 12:20am
Well, you've seen my DLL (it could use some tweaking to stream line it. ie., getting rid of collections). If you want to collaborate, PM me. I don't currently have skype. Oh hey, it says here for pc to pc use, it's free! Guess it's time to learn it. LOL

Let me know.

Quoting Ronald Raygun
Enough to beta-test and get a fully working auto arb off the ground. I am also working to improve my order matching software.

I have no absolute time requirements, but I am looking for help using windows calls to do the various tasks necessary in these kinds of scripts. Custom dlls written by me are inherently slow and inefficient. Being able to run code at the system layer will ensure the speed needed.
  • #129
  • Dec 8, 2011 6:14am Dec 8, 2011 6:14am
I've got plenty of cpu power and bandwidth to offer for beta testing. Sorry, no coding ability / assistance from me.

T
  • #130
  • Dec 8, 2011 7:01am Dec 8, 2011 7:01am
As much as I appreciate the beta tester offers, I really need someone who can spot an error in the code, fix it, test it again to make sure it's stable, and repeat the cycle until the code is as efficient as we can get it on the metatrader platform.

The likelihood that this script working as an arbitrage script will last is very slim. I'm more interested in using this script to generate a set of the best prices for my EAs.

The infrastructure would look something like:

Price Data -> Aggregator -> Best Bid and Best Ask -> Offline chart with EA.
This way, I can have the EAs work against the best data feed I can.

I'm also looking for developers who are well versed in KDB. KDB is a very high power and high speed database used for these financial trading applications. It is also extremely notorious to set up, program and maintain.
  • #131
  • Dec 8, 2011 8:43am Dec 8, 2011 8:43am
Well, I am then firmly in the observers camp. Sorry I could not be of any assistance.

T.
  • #132
  • Dec 8, 2011 10:20am Dec 8, 2011 10:20am
RR,
It sounds like you're trying to create a single price feed out of the composite MT4 quotes and save it to disk. In which case a high speed / high maintenance database would appear to be overkill since most of the data is slow anyway as it is from MT4 brokers' smoothed datafeeds. Are you reading the quotes off the screen or pumping the quotes via an EA? I don't skype (yet) but yes there are a lot of things to discuss regarding this type of project, many of which are best done offline, but my time is limited. I'm not familiar with the method of populating an offline chart with ticks so there may be other options.

Quoting Ronald Raygun
As much as I appreciate the beta tester offers, I really need someone who can spot an error in the code, fix it, test it again to make sure it's stable, and repeat the cycle until the code is as efficient as we can get it on the metatrader platform.

The likelihood that this script working as an arbitrage script will last is very slim. I'm more interested in using this script to generate a set of the best prices for my EAs.

The infrastructure would look something like:

Price Data -> Aggregator -> Best Bid and Best Ask -> Offline chart...
  • #133
  • Dec 8, 2011 10:44am Dec 8, 2011 10:44am
Quoting FXEZ
RR,
It sounds like you're trying to create a single price feed out of the composite MT4 quotes and save it to disk. In which case a high speed / high maintenance database would appear to be overkill since most of the data is slow anyway as it is from MT4 brokers' smoothed datafeeds. Are you reading the quotes off the screen or pumping the quotes via an EA? I don't skype (yet) but yes there are a lot of things to discuss regarding this type of project, many of which are best done offline, but my time is limited. I'm not familiar with the method...
That video above shows five brokers. I have relationships with 48. I basically would be looking to expand to a 48-broker price feed, and I am trying to capture all the data from every broker in real time. The data I'm currently pumping through is from MarketInfo() calls running from an infinitely looping script.

If I can get millisecond or faster accuracy between brokers prices, I can see who is lagging--and by how much, I can compare broker prices with liquidity provider prices, which I am looking to capture in a parallel table, and I can see who gets affected by what news. Example? US brokers might be more sensitive to US news, while Australian brokers would not.

Having worked on the institutional trading side, I can say they have incredibly smart people solving the problems I'm working on now, which also means that my smoothbore musket does not stand a chance against their nuclear ion cannon. So I'm focusing on a smaller pond.
  • #134
  • Edited 12:54pm Dec 8, 2011 12:42pm | Edited 12:54pm
I wonder which is faster, the quote window refresh in MT4 or a looping EA refreshing the data every loop?

edit: the question is semi-rhetorical in that I use the former method to retrieve quotes.
  • #135
  • Dec 8, 2011 12:58pm Dec 8, 2011 12:58pm
What if you sniffed packets from multiple MT4's (each broker specific) using WireShark?

Collate packet data using an interim .NET app, then analyse price discrepancies with a simple:

if (MathAbs(brokerA - brokerB) > 10) Trade();

I created a .NET app to 'talk' to Metatrader, here's code:

Quote
Imports System
Imports System.Runtime.InteropServices
Imports System.Drawing
Imports System.Windows.Forms

Public Class Form1
' Get a handle to an application window.
Declare Auto Function FindWindow Lib "USER32.DLL" (ByVal lpClassName As String, ByVal lpWindowName As String) As IntPtr

' Activate an application window.
Declare Auto Function SetForegroundWindow Lib "USER32.DLL" (ByVal hWnd As IntPtr) As Boolean
Quote
Private Sub DoSomethingToMT4(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles DoSomethingToMT4.Click
Dim localAll As Process() = Process.GetProcessesByName("MT4_EXE_NAME")
Dim sWinName As String = localAll(0).MainWindowTitle
Dim sWinClassName As String = localAll(0).ProcessName
Dim MetatraderHandle As IntPtr = FindWindow("MetaQuotes::MetaTrader::4.00", sWinName)

If MetatraderHandle = IntPtr.Zero Then
MsgBox("MT4 is not running.")
Return
End If

SetForegroundWindow(MetatraderHandle)
SendKeys.SendWait("^{F5}")

'previous
'SendKeys.SendWait("+{F5}")
End Sub
End Class
It just flicks through profiles and simulates AutoHotkey. I wonder if you can invoke a buy/sell script using above?
Politics is the womb in which war develops.
  • #136
  • Dec 8, 2011 2:10pm Dec 8, 2011 2:10pm
If quotes flew across the wire in MT in the clear, people would have been writing their own clients for it and making bucko $.

You can't "sniff off of the wire" on MT4. If so, prove it.

Quoting FiatFap
What if you sniffed packets from multiple MT4's (each broker specific) using WireShark?

Collate packet data using an interim .NET app, then analyse price discrepancies with a simple:

if (MathAbs(brokerA - brokerB) > 10) Trade();

I created a .NET app to 'talk' to Metatrader, here's code:

It just flicks through profiles and simulates AutoHotkey. I wonder if you can invoke a buy/sell script using above?
  • #137
  • Dec 8, 2011 2:23pm Dec 8, 2011 2:23pm
Quoting nondisclosure00
If quotes flew across the wire in MT in the clear, people would have been writing their own clients for it and making bucko $.

You can't "sniff off of the wire" on MT4. If so, prove it.
You used to be able to telnet. Like so:

$ telnet 216.93.169.220 443
Trying 216.93.169.220...
Connected to 216.93.169.220.
Escape character is '^]'.

MetaTrader Server 4.00 build 391
Ava Financial Ltd.

QUOTES-EURUSD,EURGBP,

up EURUSD 1.4105 1.4106 2011.03.24 02:02:49
down EURGBP 0.8673 0.8675 2011.03.24 02:02:41
2011.03.24 02:02:49

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  • #138
  • Dec 8, 2011 2:29pm Dec 8, 2011 2:29pm
Quoting FiatFap

It just flicks through profiles and simulates AutoHotkey. I wonder if you can invoke a buy/sell script using above?
If you're able to enter keystrokes, you can set up hotkeys in metatrader to trigger various scripts.
  • #139
  • Dec 8, 2011 3:39pm Dec 8, 2011 3:39pm
Quoting Ronald Raygun
If you're able to enter keystrokes, you can set up hotkeys in metatrader to trigger various scripts.
F9 invokes the order form, but there's no shortcut to action the buy/sell buttons; i guess that's by design to avoid any mishaps.

btw, your EA vid was mightily impressive - your CPU usage must go bat shit crazy crunching all that data per tick.

@nondisclosure00 - you're right, the packets are encrypted.
Politics is the womb in which war develops.
  • #140
  • Dec 8, 2011 5:17pm Dec 8, 2011 5:17pm
Sorry about my language on my reply to you. having a bad day.

Quoting FiatFap
F9 invokes the order form, but there's no shortcut to action the buy/sell buttons; i guess that's by design to avoid any mishaps.

btw, your EA vid was mightily impressive - your CPU usage must go bat shit crazy crunching all that data per tick.

@nondisclosure00 - you're right, the packets are encrypted.
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