My Own Broker Arbitrage

Quoting Ronald Raygun

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The slaves loop through the known pairs. If RefreshRates() is true, it has to rescan all the known pairs. If refreshrates() is false, it just resends previously sent data.

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Quoting esquire

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Keeping one eye on this thread. Maybe it's already noticed, but have a look over here:
http://www.forexfactory.com/showthread.php?t=337102

Guy claims that modifieing an order every 28 seconds will keep the connection with mt4 open and thereby a trade will be executed 0.5 seconds longer. Might be usefull here

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Quoting FXEZ

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RR,

I wrote up a bunch of ideas on what I consider a good architecture for this type of project but will forbear. I think the design is causing unnecessary bottlenecks by repeating unchanged data. If you only send changed data from the slaves to the master you have already won (most of) the bottleneck battle. Writing the master as a standalone program will also solve a lot of your speed problems.

Best Regards,

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Quoting nondisclosure00

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That's actually not a bad idea. I'd go down to 20 sec's on it.

Ronald, might be worth it to put out to the testers to see if their order execution speeds get better.

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Quoting Ronald Raygun

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I only recently saw the thread, and the 'revised' EA that goes with it.

Presumably, the concept is simple enough: place a pending order for a sell at 0.0000 every 28 seconds, deleting the previous order as need be. It's just a matter of adding that into the slaves' routine.

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double dblLastValue=0;
double dlbCurrentValue=0;
//code here to set dblCurrentValue
if (dblCurrentValue != dblLastvalue)
{
 //send dblCurrentValue over
 dblLastValue=dblCurrentValue;
}

Quoting Ronald Raygun

Disliked

From a programming standpoint how would I get that part to work?

My assumption would be that I need to establish static arrays inside the master.

I would think that I need to set up some sort of timestamp for each new tick that comes in and compare timestamps with new bids / asks as well as bids/asks against each other.

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Quoting ianj1

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This occurred to me .. I havent look at the scripts yet so pull me up if i have the wrong idea but any mechanism that attempts to export a feed by outputting prices for multiple pairs from 1 EA is going to be EVENT triggered on the chart it is placed, and POLLED for other pairs - and polling just won't hack it ...

I would think that you need a dedicate EA per pair so you do at least process each pairs feed events in a timely manner

One rebuff to this might be that all or most chart update roughly together, except:
1. They should not
2. If the...

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Quoting Ronald Raygun

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From a programming standpoint how would I get that part to work?

My assumption would be that I need to establish static arrays inside the master.

I would think that I need to set up some sort of timestamp for each new tick that comes in and compare timestamps with new bids / asks as well as bids/asks against each other.

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double oldAsk=0;    // module level
double oldBid = 0; // module level

// local routine level
double newAsk=0;
double newBid=0;
//code here to retrieve bid & ask prices
if (newAsk != oldAsk || newBid != oldBid)
{
// build quote string like:
// Symbol timestamp Bid Ask (include broker # if not implicit in connection) 
// a single space is my concatenation / split string in this example
//send quote string over
 oldAsk = newAsk; oldBid=newBid;
}

 
while (StringLen(quoteString) < 31) { // fixed string length + 1 == 31
 //Retrieve quote string quoteString
 // get ask price
 double newBid = StringToDouble(StringSubstr(quoteString, 13, 7));
 double newAsk = StringToDouble(StringSubstr(quoteString, 20, 7));
 string symName = StringSubstr(quoteString, 1, 6); 
 for(i = 0; i < maxSymbols; i++) {
    if(symName == sym[i]) break;
 }
 if(i > maxSymbols) { // maxSymbols is module level with starting val = -1
   maxSymbols = i;
   sym[i] = symName;
 }
 askPrice[brokerID, i] = newAsk; // or chop out newAsk & newBid and assign
 bidPrice[brokerID, i] = newBid; // askPrice and bidPrice in one step.
}
// check for arb opportunities and transmit code

Quote

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How can I change this from a polling infrastructure to an interrupt infrastructure?

Quoting Ronald Raygun

Disliked

I only recently saw the thread, and the 'revised' EA that goes with it.

Presumably, the concept is simple enough: place a pending order for a sell at 0.0000 every 28 seconds, deleting the previous order as need be. It's just a matter of adding that into the slaves' routine.

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Quoting nondisclosure00

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Each pair is good, only if each EA runs in it's own thread. I don't think that's true based on what Metaquotes has told me. But if each EA runs in it's on thread; then it's a no brainer to run an EA on each pair on their own chart.

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#import "Kernel32.dll"
   int GetCurrentThreadId();
#import

int init() {
   Print("init,"+GetCurrentThreadId());
   return(0);
}
int deinit() {   return(0);}
int start()  {
   Print("start,"+GetCurrentThreadId());
   return(0);
}

Quoting ianj1

Disliked

Try this as an EA (not a script or indicator)

Inserted Code

#import "Kernel32.dll"
   int GetCurrentThreadId();
#import
 
int init() {
   Print("init,"+GetCurrentThreadId());
   return(0);
}
int deinit() {   return(0);}
int start()  {
   Print("start,"+GetCurrentThreadId());
   return(0);
}

Drop onto two different pairs and each tick is seemingly on a different thread id - hence a different thread.

I recorded the output if the above running on EUR/USD (M1 & M15) & GBP/USD (M15) for a few hours, so 3 charts - 46946 'ticks' in all, the...

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Quoting FXEZ

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As was pointed out already, running 200-300+ charts may be a deal breaker so an EA per slave broker with polling on each slave may be the better solution.

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Quoting ianj1

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Or less pairs - Or some way to merge feeds and transmit from the MT4 instance as a single feed. The damage done by reverting to polling will possibly outweigh any disadvantages of multiple EA's. First get it working with reduced feeds, then worry about scaling it up to multiple pairs

If a single MT4 instance is setup with all charts, and then saved as a profile, it can be transferred across multiple brokers quite easily. The problem is in the merging of feeds into a single arb control (or matcher) unit OR running one control per pair

I would...

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Quoting nondisclosure00

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So your JAVA server would talk to the MT4 clients or to the MT4 servers themselves?

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Quoting ianj1

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am still trying to find time to schedule that if you are interested RR

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Quoting ianj1

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Each EA would maintain a direct TCP link to a single Java Server
The Java server spawns off another thread to manage each EA connection (Java has no problem maintain hundreds of such connections) - you can if you want spread the MT4 instances across multiple machines in a network and/or run an 6 or 8 core CPU - The Java server would be explicitly multi threaded and should run on a single machine (with or without Mt4 instances)

No MT server in the link at all all though i have heard the whispers of sneaking onto the MT4 server feed direct, that...

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Quoting Num

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Quote long post with a lot of technical info.

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Quoting Num

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Does any one make real profit with this strategy
Do you withdraw funds?
What brokers do you use for it?

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Quoting ianj1

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Its a work in progress - not a finished project - and we are just throwing ideas about at the moment, whilst RR (its his thread i hijacked) gets on with the REAL work

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