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The mechanism of MT4's trading system in Galvenais Jul 17, 2017 at 06:45

I have a question to experienced traders. Now I am trading with MT4. My strategy is short term (3s - 1min). I put the same EA on 3 terminals.Terminal 1: located at VPN in NY, connected to Server A of IC Market, lot size: 5.0 Terminal 2: located at the same VPN, connected to Server A of IC Market, lot size: 0.5Terminal 3: located at the same VPN, connected to Server B of IC Market, lot size: 0.2I assumed the trade results will be almost the same. However, the results were totally different. First, there were much more trades in Terminal 3, and almost no trade in Terminal 1 and ...

How far I am to have the same confition as the best currency quants hedgefunds in Galvenais Feb 13, 2017 at 07:36

I am an individual quants trader with scalping strategy. My goal is to compete with the best currency quants hedge funds and I would like to have the best environments/platforms to play on the same ground. What I am preparing is an environment below:-------------------------------Access to the market: using LMAX, through FIXAPI VPS : BeeksVPS in LondonProgram language: C# I think by doing so, I can assume execution time would be less than 10ms. -------------------------------I would like to ask you who know the situations of hedge funds well. How this environment is lagged from the environment...

How to avoid trade after "Live Update" of MT4 in Programmēšana Feb 13, 2017 at 07:33

Thank you. Good help. It seems setting "always notify" is a solution.

How to avoid trade after "Live Update" of MT4 in Programmēšana Feb 12, 2017 at 07:54

Dear Traders,I suffered from "Live Update" of MT4. Live Update was suddenly executed, and several minutes after Live Update, EAs got some wrong price data. As a result, they traded as they should not have done, leading to make significant losses. Having experienced this, I would like to implement some codes which can stop EAs during 30 minutes after Live Updates.Could you share some ideas how to implement this into code?

How to understand the execution speed of LMAX? in Galvenais Feb 12, 2017 at 07:50

Now I have a hypothesis: the depth of liquidity at LMAX is much thinner than ECNs? I found the slippage at LMAX is quite a lot, thought their execution speed is so fast. From this I guess that their liquidity is not much at LMAX. "No Last Look" is not good for Liquidity Providers, so it can be understandable if LPs do not provide enough amount of liquidity to LMAX. Maybe I need to confirm. Even if the liquidity is thin currently, if it liquidity is increasing, that would be ok in the long run.

How to understand the execution speed of LMAX? in Galvenais Feb 12, 2017 at 07:19

Thank you. Could I know why FXPIG does not suffer from slippage? I would like to understand the mechanism of slippage the solution based on the understanding. Maybe trying another broker is good, but would like to avoid take actions with blinded eyes.

How to understand the execution speed of LMAX? in Galvenais Feb 10, 2017 at 07:59

Dear Traders, I am testing LMAX in Demo account with MT4, and facing two problems. Need your help how to solve them.The program is on VPS near LMAX server, and the latency is quite small (< 5 ms) .1) Latency issue When I execute order, all the orders take about 40 - 60 ms. I thought the latency will be less than 10 ms because execution time LMAX mentions is 4 ms and the ping from VPS to their server is <5 ms, therefore I feel the latency is much longer than expected. Causes and Solutions: This latency is caused by using MT4? Using FIXAPI will shorten the time? Do you know exact mecha...

How to understand the execution speed of LMAX? in Galvenais Feb 09, 2017 at 08:14

Wow, great tips.

What language to be used for HFT / scalping trading? in Galvenais Feb 08, 2017 at 07:58

Dear Traders,I am now devliping EAs using MQL4, and considering to shift to FIXAPI to decrease latency caused by using MT4.However, I do not know anything about what I should start from. I think choosing a programming language is one of the things I should do.It seems there are several languages, such as: C, C++, C##, Java, python, R, Matlab. I would like to know which I should learn if I pick one. For that, I think I need consider some aspects as below:1) coding efficiency2) speed3) versatility (in trading use)4) 3rd party community : forum, library etc.5) back testing environment6) cost (tim...

How to understand the execution speed of LMAX? in Galvenais Feb 08, 2017 at 07:48

Thank you.Slippage happens because of lack of counter parts. This happens if I trade the hige lots such as 10million right? If my ordef is smaller than market depth (for example there are 10 million at the price I order in the market and I trade only 1 million) and order is executed immediately such as 5ms, there will be no alippage. My understanding is correct?In terms of execution latency or slippage, APi and MT5 is equivalent? If so, switching to MT5 seems convenient in terms of the cost of learning a new language and the convenience of using a sophisticated platform.Just concern i heard ...

How to understand the execution speed of LMAX? in Galvenais Feb 07, 2017 at 14:46

Thank you theHand and Baldo, Hearing your advice, now I am feeling I should use LMAX and there should be no problem. I will not use the news trade as like whaf you mentioned, will be using 10 lots ( 1 million ) at most. Regarding the platform, what exactly happens if I use MT4 and how the impact on latecy would be? Using API is necessary in the end I found.Then I think there would be additional issues, such as:- what language should I use? - C# seems to be nice since it can be used in cTradef also?- how the backtesting should be? - i think MT4 backtesterr is convenient and fast, variable sprea...

How to understand the execution speed of LMAX? in Galvenais Feb 07, 2017 at 11:04

Thank you, hedgescalp. I understand I need to consider various aspects as you mentioned. At least it seems that low latency seems to be a firm advantage. As for stop out, of LMAX, it seems to be zero when I see Demo.

How to understand the execution speed of LMAX? in Galvenais Feb 07, 2017 at 08:24

I did not know about the $ 100 M, for just for having feed. This is a huge money..My strategies are kind of scalping, and takes 2-3 pips for profit. Using current broker, the execution speed is not super fast, may be due to Last Look, and there are about 1+ pips negative slippages for each trade in average. I feel if I can reduce this slippage, the profit of the strategies will be double, triple or more. This is the reason I am seeking the speed.

How to understand the execution speed of LMAX? in Galvenais Feb 06, 2017 at 12:55

Thank you, theHand!You mean, the overnight interest rate is high, right? Then LMAX want traders to do shorter trades rather than longer trades?

How to understand the execution speed of LMAX? in Galvenais Feb 06, 2017 at 09:54

Thank you Baldo. Helpful explanation. I understand a lot.If that is the case, I think switching to LMAX has a huge advantage to reduce slippage. I am using a lot of stop orders and stop loss order. These seem to tend to slip a lot, and undermining my EAs. [quote/]If you are trying to find faster execution, just have in mind that LMAX does not like post news trades (spike trades) or latency arbitrage. :)The comment above makes me a little concerned. If they do not like, what exactly happens? They would stop trading?

How to understand the execution speed of LMAX? in Galvenais Feb 05, 2017 at 07:30

Hi traders, I am considering to use LMAX, since I have heard the execution speed is quite high.On its website, LMAX says the execution speed is less than 5ms. Then how can I understand this figure? If the latency from my VPS to LMAX server is 4 ms, then the time from order send to be implemented would be: 4ms + 5ms = 9ms. This calculation is correct? For example, now I am using another ENC broker and when I see my trade records, it seems it takes about 600ms from sending OrderModify to receiving "order was modified" message. Can I understand the 600ms will be 9ms if I use LMAX? or...

Backtesting of cTrader in Galvenais Feb 05, 2017 at 07:28

Hi traders, I am developing automated strategies (EAs) on MT4, and main strategies are quite short ones, and now considering to switch to cTrader since I have heard that execution time of it is much faster than MT4.One of the issues of this transition is back-testing. Now I am using MT4 + Birt, and the speed of back testing is acceptable. Plus by using the Birt addin, I can use real variable spread can be used for testing, tick data of Dukascopy is available. However, when I tried the back testing, I found issues as below: - Speed : I found the speed of back testing of cTrader is quite slow th...

LMAX in Brokeri Jan 16, 2017 at 07:51

I am seeking fast execution environment and interested in using LMAX. I saw the "execution latency" on LMAX"s website, which is less than 4ms. This is amazing. Then, when "execution latency is 4ms, how can I understand or calculate the "total trading latency", which starts from my sending order from to executing the order.The formula would be as below? (if I use MT4) (total trading latency) = (latency of sending data from VPS (ping) ~ 5ms ) + ( execution latency of LMAX ~4ms) = ~9ms am I missing some other variables(such as MT4 server latency)?

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