Improve MT4 order execution speed by 500ms | Page 2 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

NDD execution with no requotes or ECN execution with no requote 30 replies

Scripts For Market Orders, Records Slippage and Execution Speed 16 replies

MT4 Order Type: "Instant Execution" vs "Market Execution" 2 replies

Execution Speed about FXCM MT4 Orders 2 replies

Stable MT4 Broker with good execution speed 3 replies

Attachments: Improve MT4 order execution speed by 500ms
Exit Attachments

Improve MT4 order execution speed by 500ms

  • #21
  • Jan 17, 2012 1:19pm Jan 17, 2012 1:19pm
Quoting rooicol
There are several different ways to make contact with the server:
- Place a market open or close order,
- Modify the TP or SL of an open trade,
- Place or delete a pending order,
- Modify the TP or SL of a pending order,
- Try to place a market or pending order on a non-tradable pair.
Very good idea... I wonder if RefreshRates() would also work - I believe that in such case terminal also connects to the server and you do not actually have to place or modify any position.
  • #22
  • Jan 17, 2012 2:02pm Jan 17, 2012 2:02pm
Quoting wakeel86
Wanna confirm if this opens only 1 pending order & keeps modifying that same order or it gets to open different orders, probably after an mt4 or EA restart
Yes, only one order. Provided you don't change the magic number.
  • #23
  • Edited Jan 18, 2012 3:21am Jan 17, 2012 2:03pm | Edited Jan 18, 2012 3:21am
Quoting xiaoming2009
Nice idea to keep the session live. Could you create a input so I can change the interval to communicate my MT4 server? Currently, the requery time is about 32 to 35 seconds with your tool when I check the log. I believe there is delay since there are other EAs running with the same account. If I can set it to 25, my broker's MT4 server may receive the command within 30 seconds. Thanks.
The ea is set to modify the order every 28 seconds. I don't understand how you are getting 32-35 seconds, could you explain please? (perhaps this is due to the trade context being busy?)
  • #24
  • Jan 17, 2012 2:08pm Jan 17, 2012 2:08pm
Quoting muhdhafiz
rooicol,
How to see the effectiveness?
Load it under script?
TQ
sorry, not sure that i understand what you mean.
  • #25
  • Jan 17, 2012 2:16pm Jan 17, 2012 2:16pm
Nice work.

I've been meaning to try packet sniffing MT4 to see what it does as far as idleing / keep-alive, but there you go.. Thanks
  • #26
  • Jan 17, 2012 2:40pm Jan 17, 2012 2:40pm
Quoting CoVal
Very good idea... I wonder if RefreshRates() would also work - I believe that in such case terminal also connects to the server and you do not actually have to place or modify any position.
No, unfortunately RefreshRates() does not connect with the MT4 server. As experts operate with their own copy of history data, RefreshRates() just copies the data from the MT4 history files to the expert's history files.
  • #27
  • Jan 17, 2012 3:00pm Jan 17, 2012 3:00pm
Nice!

I would voucher for you if I could. Always sharing discoveries and tools with the community.

----

My thoughts:

So hitting the server once ever ~30 seconds would be sending it ~2880 requests a day. On your own, this won't but a lot, but if even a small portion of clients at a given broker use it they could see some issues. .. . Yes, it shouldn't be a problem in theory, and many brokers have 'OK'd it as per your talks with them, but we could always take an extra step and reduce the chance of it becoming a headache for anyone else:

Maybe we could make the script automatically enable when needed and sit idle when not?

At first I was thinking to only have it turn on during times of high tick flow and volatility, but that's when brokers also get the most order flow from their clients so their requests per second would skyrocket all at once.. Then my mind ventured over to user activity... MQL4, might not be able to do this, but maybe there's a library out there that can sense when the terminal is the active window and flip on the script?


Yeah, it's a bit much for such a simple solution, I know... I'm just thinking out loud...
FXGears.com
  • #28
  • Jan 17, 2012 3:12pm Jan 17, 2012 3:12pm
Quoting Jack_Larkin
Nice!

I would voucher for you if I could. Always sharing discoveries and tools with the community.

----

My thoughts:

So hitting the server once ever ~30 seconds would be sending it ~2880 requests a day. On your own, this won't but a lot, but if even a small portion of clients at a given broker use it they could see some issues. .. . Yes, it shouldn't be a problem in theory, and many brokers have 'OK'd it as per your talks with them, but we could always take an extra step and reduce the chance of it becoming a headache for anyone...
This is a good point, the thread has had >1K veiws in <12 hours, and 75 downloads...

Simply turning off EA's using the MT4 button doesn't work, because it is running in a continuos loop. Personally i just remove it from the chart when i'm not trading but it would be good to have a more convenient method. Using on chart objects would be a bit messy.

The other option is to just use the script i posted in the first post. Have the script set with a hot key, then when you think you are about the enter a market order, run the script. Then you will have 30 seconds to place your market order while the session is still open
  • #29
  • Edited 6:30pm Jan 17, 2012 5:54pm | Edited 6:30pm
Couldn't you have it attempt to place a trade with an invalid lot size or invalid stop loss, or whatever, every 30 seconds?

That way it communicates with the server but there is no time taken to modify a trade, it simply automatically rejects the trade?


The other thought I had is, what happens if there are no tickets for another few seconds from the time the 28 seconds is up? Won't it then go over the 30 seconds before communicating with the server again?
  • #30
  • Jan 17, 2012 7:06pm Jan 17, 2012 7:06pm
An article about The LMAX Architecture. http://martinfowler.com/articles/lmax.html
"A thread that will process 6 million orders per second using commodity hardware".

One question..Did you mean we will get approximately 500ms faster execution than we already have? For example i have 800ms average open order, then after i used this tool i will get 300ms. Wow that is a lotttt of improvement.

Rooicol..Thanks for the tools. I hope it will increase the execution speed for all us.
  • #31
  • Edited 2:25pm Jan 18, 2012 12:29am | Edited 2:25pm
Hi All,

Have been asked to edit/remove post.

Thanks.
  • #32
  • Jan 18, 2012 3:12am Jan 18, 2012 3:12am
Major Edit everyone, please re-read the first post
  • #33
  • Jan 18, 2012 3:14am Jan 18, 2012 3:14am
Quoting jamestownfx
Couldn't you have it attempt to place a trade with an invalid lot size or invalid stop loss, or whatever, every 30 seconds?

That way it communicates with the server but there is no time taken to modify a trade, it simply automatically rejects the trade?


The other thought I had is, what happens if there are no tickets for another few seconds from the time the 28 seconds is up? Won't it then go over the 30 seconds before communicating with the server again?
MT4 blocks any invalid orders before they are sent, so using invalid stop/tp/lots does't get sent to the server.
  • #34
  • Jan 18, 2012 3:16am Jan 18, 2012 3:16am
Quoting s1quash1
An article about The LMAX Architecture. http://martinfowler.com/articles/lmax.html
"A thread that will process 6 million orders per second using commodity hardware".

One question..Did you mean we will get approximately 500ms faster execution than we already have? For example i have 800ms average open order, then after i used this tool i will get 300ms. Wow that is a lotttt of improvement.

Rooicol..Thanks for the tools. I hope it will increase the execution speed for all us.
The duration the authentication process takes varies considerable from broker to broker, however i found 500 ms to be a typical value, by using the script i have posted this step is remove.
  • #35
  • Jan 18, 2012 3:48am Jan 18, 2012 3:48am
Quoting rooicol
The duration the authentication process takes varies considerable from broker to broker, however i found 500 ms to be a typical value, by using the script i have posted this step is remove.
Rooicol do you think we can ever achieve less than 10ms open order time.
  • #36
  • Jan 18, 2012 3:53am Jan 18, 2012 3:53am
Quoting s1quash1
Rooicol do you think we can ever achieve less than 10ms open order time. Lets take pepperstone with my metatrader being beside it/the same building.
i think less than 10ms would be highly unlikely
  • #37
  • Jan 24, 2012 1:43pm Jan 24, 2012 1:43pm
On Alpari demo I don't see differencies of execution/modify time keeping the session "live" or not.
See the time elapsed from various running of script.


Inserted Code
20:27:12 Compiling 'rooicol_Maintain Session'
20:27:19 rooicol_Maintain Session EURUSD,H4: loaded successfully
20:27:19 rooicol_Maintain Session EURUSD,H4 inputs: MagicNumber=555; 
20:27:24 rooicol_Maintain Session EURUSD,H4: open #1322233593 buy limit 0.10 EURUSD at 0.00001 ok
20:27:25 rooicol_Maintain Session EURUSD,H4: modify #1322233593 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
20:27:25 rooicol_Maintain Session EURUSD,H4: Execution Time: 1061
20:27:25 rooicol_Maintain Session EURUSD,H4: uninit reason 0
20:27:25 rooicol_Maintain Session EURUSD,H4: removed

20:27:26 rooicol_Maintain Session EURUSD,H4: loaded successfully
20:27:26 rooicol_Maintain Session EURUSD,H4 inputs: MagicNumber=555; 
20:27:43 rooicol_Maintain Session EURUSD,H4: modify #1322233593 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00000 ok
20:27:43 rooicol_Maintain Session EURUSD,H4: Execution Time: 936
20:27:43 rooicol_Maintain Session EURUSD,H4: uninit reason 0
20:27:43 rooicol_Maintain Session EURUSD,H4: removed

20:29:40 rooicol_Maintain Session EURUSD,H4: loaded successfully
20:29:40 rooicol_Maintain Session EURUSD,H4 inputs: MagicNumber=555; 
20:29:40 rooicol_Maintain Session EURUSD,H4: open #1322233604 buy limit 0.10 EURUSD at 0.00001 ok
20:29:41 rooicol_Maintain Session EURUSD,H4: modify #1322233604 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
20:29:41 rooicol_Maintain Session EURUSD,H4: Execution Time: 1061
20:29:41 rooicol_Maintain Session EURUSD,H4: uninit reason 0
20:29:41 rooicol_Maintain Session EURUSD,H4: removed

20:30:28 rooicol_Maintain Session EURUSD,H4: loaded successfully
20:30:28 rooicol_Maintain Session EURUSD,H4 inputs: MagicNumber=555; 
20:30:28 rooicol_Maintain Session EURUSD,H4: modify #1322233604 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00000 ok
20:30:28 rooicol_Maintain Session EURUSD,H4: Execution Time: 1622
20:30:28 rooicol_Maintain Session EURUSD,H4: uninit reason 0
20:30:28 rooicol_Maintain Session EURUSD,H4: removed

20:30:30 rooicol_Maintain Session EURUSD,H4: loaded successfully
20:30:30 rooicol_Maintain Session EURUSD,H4 inputs: MagicNumber=555; 
20:30:34 rooicol_Maintain Session EURUSD,H4: modify #1322233604 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
20:30:34 rooicol_Maintain Session EURUSD,H4: Execution Time: 936
20:30:34 rooicol_Maintain Session EURUSD,H4: uninit reason 0
20:30:34 rooicol_Maintain Session EURUSD,H4: removed

20:30:35 rooicol_Maintain Session EURUSD,H4: loaded successfully
20:30:35 rooicol_Maintain Session EURUSD,H4 inputs: MagicNumber=555; 
20:30:40 rooicol_Maintain Session EURUSD,H4: modify #1322233604 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00000 ok
20:30:40 rooicol_Maintain Session EURUSD,H4: Execution Time: 936
20:30:40 rooicol_Maintain Session EURUSD,H4: uninit reason 0
20:30:40 rooicol_Maintain Session EURUSD,H4: removed
  • #38
  • Jan 25, 2012 4:49am Jan 25, 2012 4:49am
@positive day, only 2 comparisons in your set.

1061 -> 936
and
1622 -> 936

I'd say thats an improvement.
  • #39
  • Jan 25, 2012 5:41am Jan 25, 2012 5:41am
Quoting McDonalds
@positive day, only 2 comparisons in your set.
1061 -> 936
and
1622 -> 936
I'd say thats an improvement.
I've done more test today.
Yes, it's true, the average difference is about 500ms less, if the server is contacted before 30 sec past from last request.
Sometimes it takes more time to modify the order, this could be a server overload, but, averaging, the improvement is real.
  • #40
  • Jan 26, 2012 9:57am Jan 26, 2012 9:57am
Quoting Antonsan
I believe that the prohibitions should not exist.

Self-censorship is not good.

It's just a fear of consequences.

This method is used by few people. There not will be hundreds or thousands.

I have improved and optimized the code to run under any circumstances.

Experts Install folder.

If installed as a script, open a pending order, take a measurement and removes it when you run the measurement (automatically).
Antonsan,
i have tested your ea. superb work...
thanks
0 traders viewing now