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Improve MT4 order execution speed by 500ms

  • #41
  • Jan 26, 2012 2:12pm Jan 26, 2012 2:12pm
Very good observation, rooicol
  • #42
  • Feb 8, 2012 5:10pm Feb 8, 2012 5:10pm
Email from MB Trading:

Effective March 1, 2012, MB Trading Forex will begin passing through a service charge for clients engaging in ultra-high frequency FX trading, which results in a high number of order message requests with minimal trade executions. The high frequency message fee is a pass-through fee that is related to a recent charge associated with trade reporting costs now enforced by the NFA.

The high frequency message fee only applies to clients who have less than 10% executions of the total messages sent and further that send in excess of 100 requests per symbol per day. These requests include: New, cancel, and change/replace order messages. This new fee is .005 per request sent that day on symbols meeting the high frequency message criteria.

This fee will be assessed daily during the maintenance clearing process.

For example, if you submitted:

50 orders for a symbol + 110 change orders + cancel 40 of the orders = a total of 200 order message requests for the day.

Of these 200 requests you received 10 executions (fills) on that symbol for the day, this would be an execution rate of: 10 Executions / 200 messages = 5%.

You would therefore not meet the minimum requirement of 10% fill rate; you would be subject to the $0.005/message fee computed as follows:

200 messages X .005 msg. fee = $1.00, applied on that day’s fee report for that symbol.

Please note, this fee only applies to client requests. Any messages that are generated by our servers do not apply, for example price changes on trailing stops.

If you have any questions or concerns, please feel free to call our office 888-628-3001 or e-mail [email protected]."


Regards,

MB Trading Forex
  • #43
  • Feb 8, 2012 5:30pm Feb 8, 2012 5:30pm
I wonder if that applies to trailing stops...

Each tick in your direction would create a change order for the server...

mm..
FXGears.com
  • #44
  • Feb 8, 2012 11:10pm Feb 8, 2012 11:10pm
Got the same email today.
Wondering if this is MBT initiative to cut reporting costs in response to some non HFT related NFA reporting requirements or it's NFA requirements targeting HFT trading in particular. If later, guess should see similar actions from other ECN brokers.
If former, should start looking either for different strategy or different broker, as it's killer for me.

What does not look fair, if I'm 1 order short of required 10%, have to pay full commission, same as doing no fills at all.
More logical to me will be something like "do 1 fill get 10 orders free". Than you pay only on excess orders above 10% threshold.

So may be MBT just does not want that UHFT business, as it's not bringing enough revenue to cover cost of handling much bigger order load generated by HFT and putting to much load on limited infrastructure resources

Anyway, just thoughts
  • #45
  • Feb 29, 2012 7:58am Feb 29, 2012 7:58am
There are people who have taken over the EA, and write their copyright.
These people give after making a survey.

If the activities are similar to this, better away from them.
Attached File(s)
File Type: ex4 BBFX-Execution Time Tester.ex4   6 KB | 1,031 downloads
  • #46
  • Feb 29, 2012 5:54pm Feb 29, 2012 5:54pm
Quoting Antonsan
There are people who have taken over the EA, and write their copyright.
These people give after making a survey.

If the activities are similar to this, better away from them.
This EA just tests your execution speed if its the one i'm thinking of, it doesn't attempt to improve it. It is a different tool i believe
  • #47
  • Mar 7, 2012 1:22am Mar 7, 2012 1:22am
Where do you see the timing log of order before/after using the ea?
  • #48
  • Edited 2:38am Apr 25, 2012 2:28am | Edited 2:38am
my metatrader seems very fast. What about yours?

Inserted Code
Report for ticket #4381421 EURUSD 2.50 lots

2012.04.20 14:09:17   Open   SELLSTOP @ 1.32168  SL = 1.32198  TP = 1.32068  [407 msec]
2012.04.20 14:09:18   Modify SELLSTOP @ 1.32180  SL = 1.32210  TP = 1.32080  [328 msec]
2012.04.20 14:09:18   Modify SELLSTOP @ 1.32193  SL = 1.32223  TP = 1.32093  [454 msec]
2012.04.20 14:09:20   Modify SELLSTOP @ 1.32210  SL = 1.32240  TP = 1.32110  [359 msec]
2012.04.20 14:09:24   Unfavorable Stop-to-Market open slippage= 0.1 pips
2012.04.20 14:09:24   Modify SELL     @ 1.32209  SL = 1.32239  TP = 1.32109  [219 msec]
2012.04.20 14:09:42   Modify SELL     @ 1.32209  SL = 1.32209  TP = 1.32079  [266 msec]
2012.04.20 14:09:46   Modify SELL     @ 1.32209  SL = 1.32197  TP = 1.32067  [328 msec]
2012.04.20 14:10:04   Modify SELL     @ 1.32209  SL = 1.32186  TP = 1.32056  [297 msec]
2012.04.20 14:10:09   Modify SELL     @ 1.32209  SL = 1.32167  TP = 1.32037  [281 msec]
2012.04.20 14:11:27   Modify SELL     @ 1.32209  SL = 1.32156  TP = 1.32026  [360 msec]
2012.04.20 14:12:07   Closed SELL     @ 1.32156
2012.04.20 14:12:07   Stop Loss close slippage = 0.0 pips
  • #49
  • Apr 25, 2012 2:36am Apr 25, 2012 2:36am
Quoting Enricofx
my metatrader seems very fast. What about yours?

[code]Report for ticket #4381421 EURUSD.lmx 2.50 lots

2012.04.20 14:09:17 Open SELLSTOP @ 1.32168 SL = 1.32198 TP = 1.32068 [407 msec]
2012.04.20 14:09:18 Modify SELLSTOP @ 1.32180 SL = 1.32210 TP = 1.32080 [328 msec]
2012.04.20 14:09:18 Modify SELLSTOP @ 1.32193 SL = 1.32223 TP = 1.32093 [454 msec]
2012.04.20 14:09:20 Modify SELLSTOP @ 1.32210 SL = 1.32240 TP = 1.32110 [359 msec]
2012.04.20 14:09:24 Unfavorable Stop-to-Market open slippage= 0.1 pips
2012.04.20 14:09:24...
Yes that looks good! I'm getting market order fills in the range of around 150-200 ms, and it takes about 130 ms to modify an order
  • #50
  • Apr 25, 2012 2:38am Apr 25, 2012 2:38am
Quoting rooicol
Yes that looks good! I'm getting market order fills in the range of around 150-200 ms, and it takes about 130 ms to modify an order
Great time execution!!

My test is on a real account, and yours?
  • #51
  • Apr 27, 2012 4:54am Apr 27, 2012 4:54am
I already watching the thread since the beginning and using your EA for testing the execution. What i can say is that on demo it have many brokers with a good execution. But on Live account its very hard to find a good broker that have good execution times. I tested today my new setup in New York as my broker moved the server and i'm very impressed of the results.

Inserted Code
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 219
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 188
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00000 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 172
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 187
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00000 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 265
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 234
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00000 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 172
rooicol_Test Execution Speed EURUSD,M1: modify #16976 buy limit 0.10 EURUSD at 0.00001 sl: 0.00000 tp: 0.00100 ok
rooicol_Test Execution Speed EURUSD,M1: Execution Time: 187
Attached Image (click to enlarge)
Click to Enlarge Name: executionUFX.jpg Size: 237 KB
  • #52
  • May 9, 2012 8:01pm May 9, 2012 8:01pm
Quoting rooicol
Yes that looks good! I'm getting market order fills in the range of around 150-200 ms, and it takes about 130 ms to modify an order
bro,i am using Armada's live acct too but i am experiencing abit lag in the execution part[that is when i pressed the 'buy' or 'sell' button,it takes abt 1 secs to execute the order,us this normal? how do u 'speed up' your exection till 150-200 ms? thanks!
  • #53
  • May 9, 2012 8:07pm May 9, 2012 8:07pm
Quoting Enricofx
my metatrader seems very fast. What about yours?

[code]Report for ticket #4381421 EURUSD 2.50 lots

2012.04.20 14:09:17 Open SELLSTOP @ 1.32168 SL = 1.32198 TP = 1.32068 [407 msec]
2012.04.20 14:09:18 Modify SELLSTOP @ 1.32180 SL = 1.32210 TP = 1.32080 [328 msec]
2012.04.20 14:09:18 Modify SELLSTOP @ 1.32193 SL = 1.32223 TP = 1.32093 [454 msec]
2012.04.20 14:09:20 Modify SELLSTOP @ 1.32210 SL = 1.32240 TP = 1.32110 [359 msec]
2012.04.20 14:09:24 Unfavorable Stop-to-Market open slippage= 0.1 pips
2012.04.20 14:09:24...
how did u manage to 'speed up' your executions? thanks!
  • #54
  • May 10, 2012 12:39am May 10, 2012 12:39am
Quoting fxking
bro,i am using Armada's live acct too but i am experiencing abit lag in the execution part[that is when i pressed the 'buy' or 'sell' button,it takes abt 1 secs to execute the order,us this normal? how do u 'speed up' your exection till 150-200 ms? thanks!
Did you read the first post of this thread?
  • #55
  • May 10, 2012 4:38am May 10, 2012 4:38am
Rooicol,

You are some intelligent dude..
  • #56
  • May 10, 2012 9:36am May 10, 2012 9:36am
Quoting rooicol
Did you read the first post of this thread?
yes,i did and i downloaded it too but it seem to be lost elsewhere and i cant find the indicator.Do u save under MT4's expert/indicators's file? pls advise me,i am not a IT expert...thanks bro!
  • #57
  • May 10, 2012 10:12am May 10, 2012 10:12am
Quoting fxking
yes,i did and i downloaded it too but it seem to be lost elsewhere and i cant find the indicator.Do u save under MT4's expert/indicators's file? pls advise me,i am not a IT expert...thanks bro!
it goes in the MT4/experts/scripts folder
  • #58
  • May 11, 2012 1:37am May 11, 2012 1:37am
Quoting Antonsan
There are people who have taken over the EA, and write their copyright.
These people give after making a survey.

If the activities are similar to this, better away from them.
This EA has various bugs. Also it is modifying the order every 7 seconds, which is ridiculously often. Like you say, they are probably uploading the data output form this EA to their own online database. It also uses micro lots (0.01) so won't work if your broker's minimum trade size is 0.1 lots.
Attached Image (click to enlarge)
Click to Enlarge Name: Screen Shot 2012-05-11 at 07.35.17.png Size: 153 KB
  • #59
  • May 13, 2012 8:56am May 13, 2012 8:56am
This EA works well for manual traders. EA traders this will work ok but a better approach would be to incorporate the code into the trading EA directly. This would reduce the total tickets sent/modified, because the trading EA would know approximately when entry would occur. So what could happen is that say your EA makes an entry on a moving average crossover. When the pre-crossover is within a certain range of actually crossing over, the EA can allow the server ping to begin/refresh every xx seconds. If the order is actually placed, you can pause the ping loop and it can unpause itself when the refresh interval is met again since the last entry.

This is different than just having set # of pings throughout the day. You only activate it as you would actually need it. The only time this wouldn't work is if the market spikes suddenly, which is rare and would probably not affect your entry much anyway.

in regards to free vs paid, you could just start a separate thread for paid version.
Measure trends automatically with zero lag
  • #60
  • May 14, 2012 10:05pm May 14, 2012 10:05pm
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?
I wanted to also ask a similar question. Wont using a function like RefreshRates, AccountBalance, or other function that requires contacting the broker server to get a real update [re]open the connection for 30 seconds? Or does it specifically have to be opening/updating an order ticket?
Measure trends automatically with zero lag
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