I should mention, the MBtSDK is not so great. It is mostly GUI application controls for drawing windows and listing trades. It doesn't have complete code examples, the API isn't well documented, the support is a yahoo group where people say "figure it out yourself" and the language is MSVC++ 6, with a COM+ adapter for .Net. It also requires IE to be installed in order to function. In other words a pile of crap unless you want to make a charting application in Windows.

Vidda, good luck with your trading. It takes a bit of adjustment to use the order entry system, but it is OCO or Order Cancels Other. Unlike Metatrader Buy-> close, Sell -> close, the way to exit a trade is Buy -> Sell. Of course, this is problematic for Grid based trading unless there are two accounts linked to the same funds. If you want to use trailing stops, enter the order first, the trailing stop second. Watch the Level 2 system (off by default) you'll see some interesting activity.

Most of the 'arbitrage' performed is a bank or hedge group joining multiple ECN via FIX and making sure prices stay similar across regions. Reuters has an hourly synchronization, you should find little divergence with Reuters data.