API Programming: One step closer to profitable trading

I'm relatively new to Application Programming Interface (API). The only thing that is stopping me from going further is being completely in the dark when it comes to programming. I know this gives you an edge in terms of receiving, manipulating, and responding to market data. You're basically creating your own trading platform and know something most traders don't.

Can anyone with API knowledge share their experience here? You don't have to share your system. But I'm curious to know how you can create such program in real life. Do you build it from scratch? Does the data you get really is different than the one you get from your trading platform? Do you then trade completely through API access and never again from your trading platform?

This is quite a specialized topic in forex. So I would appreciate it if you enlighten us all.

Many thanks in advance.

What API?
There are only few brokers offering an API of any kind (except FIX, usually for customers with a lot of money or professionals/institutionals).
Such APIs are broker specific (i.e. Dukascopy) .
Or do you mean programming in MQL (programming EAs in MT4)?

In general you operate on the same data; only thing is that you have to handle everyting yourself.
The possible advantage is that you can do everything 'your way', and also not need handle things that you do not need.

Exactly my point, API is only available if you have deep pocket and programming skill to justify the advantage.

No API programming is not limited to MQL. C#, Java, .NET, etc can be used to create your own trading terminal.

I see, so say if you send an order, does it get sent to the broker's server, or to the broker's data source (the liquidity provider)?

i'm fairly convinced that you are talking apples and oranges. give an example of this 'api' that you think you are referring to and then a proper discussion can take place.

on one hand it sounds like you are just talking about platforms that allow you to plug into via your own code and handle data, transmit orders, etc, (just like mql and mt4 can). on the other hand you are talking about lp's and by extension you are talking about creating a whole new platform from the ground-up.

plugging into mt4, or ninja trader, or whatever, and running your own code does not expose you to some secret new layer of information or better spreads etc. but if you are directly accessing an lp then you would think you would get cheaper quotes, but then you have to have the platform to communicate with the lp and yadda yadda yadda pie in the sky pointless musings.

That's the thing.

Correct me if I'm wrong, I've been reading about trading outside the usual terminal like MT4 and Ninja Trader and that's when I heard about API programming. My understanding of API is what they call direct data feed farming. This basically gives you access to the same data that brokers get from their liquidity providers. But unlike the data you see on the broker's terminal, your data is unfiltered. A bit like individual buying stuff directly from the manufacturer instead of through retail.

But you only get data and nothing else. As a matter of fact you often get charged by the broker to get this exclusive access. And yes that's why I'm talking about creating your own terminal from the ground up to communicate with this liquidity provider. You only get raw data so it's up to you what to do about it.

I guess I just want to know about the real experience of people using API. Do you get slippage/re quote, better spread, liquidity issue, etc? This means taking trading to a next level. Getting quotes directly from the big players.

This.

In general API means just another way connecting to the same broker. So, it will depend on how your broker handles things. I do not know how for example high frequency trading technically works; likely HF traders use special providers or are big enought to have direct contracts with exchanges or so. But for small fish this is not an option.