I agree, their platform is very technical, so they advertise platform training a lot. Any ECN offers MT4?

[quote=Bongo;130383]MBTrading defines a lot as 10000 units instead of the typical 10000. They also allow decimals. Yes, BofA will do partial fills on ECN, but they are part of Interactive Brokers and not MBTrading. Without partial fills, almost no trades would occur on an ECN or you'd see everyone putting in stacks of separate orders hoping some would get filled and someone else chose the same stack size. It isn't uncommon to watch MBTrading have 4000 lot orders sit there, and then 300 lots and 60 lots on top of the 4000. MBTrading also claims to prioritize smaller lot fills. If you have the same order entry as a 4000 lot order, your order gets filled first. MBTrading is trying trying to appeal to smaller traders, since their minimum balance is $400, commission is $10 per 100k round trip, etc. Most other ECN are looking at $25K-50K deposit, some $100k. Commissions are typically between $10-20 per $1 mil not per $100k.

Interactive Brokers is freshest in my mind. 0.2 pip commission for the first $100 mil (about 1000 lots) each day, 0.15 comm for the next $100 mil, then 0.1 comm after that. Minimum balance is $25,000.

I think they are fundamentally incompatible. WHC Trader has some similarities to ECN and offers a lot of products/features that professionals have. Their spreads are much worse than an ECN.

MT4 isn't ECN software, it is software that allows the dealing desk to manipulate orders and send price spikes knowing exactly how many lots they will close and make their aggregate exposure balanced again. Software providers for ECN are FxAll, 3DForex, etc. Most ECN seem to be stock/futures brokers that came over to forex.

Thks for your reply daraknor,

I understand now all your points...

U might noticed I'm a perl freak with quite some Un*x and datacenters background from my preceeding career. I've been datamining Terabytes of data for telephone companies with it...

After logging level II quotes for some time, I just found out no regular platform would be able to deal with it, no metatrader, esignal, tradestation, amibroker, metastock, quotetracker, ninjatrader or strategyrunner ... are able to really "Chart" level II quotes and especially not handle volume in forex.

All these softies just take the ASK xor BID in account not both and they candle this into a time frame an we just lost the whole juice of the market.... not even speaking of the market makers which can really do anything to the price they show to you...

Another point, demo feeds are not live feeds... any gains you can simulate in demo will definetely not happen in live. The same way around if your trade is not in the live feed the simulation results will never match the true cash money you earned or lost...

Just to MT4's datafeed, it's on port 443 (https) and it's crypted with SSL, yes at least it's good news, people's login ID and pasword don't go cleartext over the internet but with a good MITM able proxy also there are just a few tools able to decrypt that but you need a dedicated proxy box, preferably running gentoo linux with a minimal optimized kernel and compiled softs to handle the decryption overhead. Also to decrypt SSL, you need to be sniffing the session before it starts because even if you have the server/client secret keys, you need to capture the whole negotiation to find out which encryption they are using. If you are late for the party, you don't get the nice girls...

Ok back to business... after setting up the nice proxy I talked about earlier, I went to look for linux based solutions, just to find out alot of them had aborted 2 or 3 years ago and are not really maintained nowadays... but

I came across GeniusTrader - tools for building trading systems and guess what it's all written in perl and these guys developped some time ago all the nice things we find in metatrader 2day: Indicators, experts, backtesting even scanning all currencies for tradeable patterns.... and all this, the old Un*x way, on the command line, no fancy graphics at least not realtime... just what my proxy
box dreamed of the whole night long.

It's really not a rookie solution and it will not work right out of the box... but for me It's just like my dreamteam partner... I will rewrite some of the code to suit the forex market, get the most of my level II quotes into my strategy and backtest it... write a scanner wich enables the strategy as soon as any currecy pair meet my rules ( a bit like radarscreen on tradestation ) and later on if I meet my brokers volume quotas, I will subscribe for the FIX API.

BTW, I think there are some converters like perl -> python and the other way around so don't get me wrong, It's not that I don't like python, I'm just not feeling like throwing my perl bookshelf out the window...

I just feel for now metatrader in it's current release is not going to be of any help in ECN trading and I am very happy I found this thread on this board....

I really like your approach in getting out of the too well drawn paths to this market, nothing is easy and it takes alot of dedication and hard work to really get things rockin... and you are right this is a millisecond business you have to get filled on the tick and the best is to always get filled just before a big fish does...

CU

I want to add my two cents about EFX group (and consequently MB)

I personally will not trade w/ them because they just aren't ready for prime-time yet. Here are my reasons:

1) Routine system maintenance causes a lot of problems. Very often, the entire system is offline for 20 minutes at around midnight EST. If your stop is hit, you won't exit. You can't even call the dealing desk to exit during the blackout. I asked Justin LeBling about this at Forex Factory, and he said backup servers are not being considered. IMHO this is horrible business on their part. In fact, you can find many horror stories on the EFX thread at Forex Factory of people's orders that simply disappeared during maintanence.

2) You can not scale out of positions. If you have 5 shorts open in a grid, and want to exit just one of them, you can't. You can only exit at one price... the average of all the positions.

3) You can not go long and short at the same time in the same account. Sometimes I will have signals on the same pair in opposite directions, and EFX would have me create 2 accounts (1 for long and 1 for short) to move money back and forth between. I would have to call to do this every time. Too much hassle.

__________________
Ideas are not trade advice.

Great reply! also great to hear from a fellow hacker

Completely agreed. We haven't taken level 2 data yet but it is just a small distance away. Trying to get the FIX order entry going first.

I thought that it was just straight SSL, but that's not what the protocol expert said. He said it was on 443 for firewall punching by default (a common practice) but not actually using SSL. Regarding SSL MITM proxy, I think you can set up dsniff on localhost and then route your SSL traffic through it still. Dedicated proxy with RSA card is of course ideal, but I think we can get away with it on a single box for small load.

I'm going pure linux datacenter here, I'm looking forward to dropping MT4 completely ... stupid SLEEP is broken! h8h8.

I'll check them out, it would be nice to not rewrite every indicator people want into SQL, but then again I'm not trading with any indicators right now. (grids, etc)

I'm hunting for FIX implementations and places to test against. Protocol expert is using Erlang which seems like the perfect tool for the job. I'm doing server stuff in Python, which seems like perfect tool for this job. (Connecting to *everything* from .Net & COM to embedded C)

I haven't looked in a while, didn't you need to throw out all of the old perl when 6.0 came out? or did that change? I heard it wasn't going to be backward compatible...

My goal is connectivity right now, I'm building in all sorts of delay codes, administration interface, agent verification, null agent, unit testing, etc. Should be done with all those parts in a week or so. (EDIT: second week in sept) :/ So much code to write but at least it starts live money tomorrow. (Edit: did not happen) I spent last week figuring out how I was crashing metatrader and rewriting the crappy prototype procedural code into full OO code. Everything has a state now!

I'll check out your suggestion on trading platforms. My eyes sort of cross with perl, I like readability in other people's code because you'll read something eventually. I don't know what you still need, maybe there are things we can still help each other with. Some people really seem to want to feed MT4 tick data to keep existing projects, that isn't the direction I'm personally headed but the project could do that too. As far as I'm personally concerned, MT4 is an execution agent that I get ticks from and send orders to. More execution agents are better, but I'm not trying to slip anything into or out of the agents that they couldn't really do already. Now someone can subscribe to signals from a socket, or send trades out as signals - but I'm still using the price data built into MT4.

I haven't seen my orders disappear yet. I do know the maintenance also happens to apply swap, for about 7-15 minutes every day.

Submit a sell for X lots when you're in a buy trade. Individual trades are a matter of perspective, the aggregate isn't really altered. X can be a partial amount.

This is a limitation on many ECN, and many handle it this way. A way of bypassing this is to detect when the trade closes and then open the aggregate difference as a new trade. More hassle, same difference :/

I don't really recommend MBTrading either, they are the overpriced entry level ECN.

I couldn't find any connector code, only backtesting code and internal order management. How do they connect to get data and submit orders? NinjaTrader uses QuickFIX, which is a pretty common package these days.

daraknor,
It is possible to link MT4 with Interactive brokers?
B.

Please define what you mean by "link"
Can you use MT4 to log into IB? No. Can I get the two platforms to send information to each other? Yes - through DDE or sockets. Will it be price data so you can execute MT4 on IB? no.

IB needs a good interface, their current one is so bad :/ Enabling forex required me to click a hidden arrow button, change a selection, type in a currency code with a . in it, etc... horrible Java UI, seems like a decent broker so far. It would be nice to get IB working in MT4, but as I said a few times for similar requests that isn't the goal. The goal here is to make agents out of each of these brokers so I can take an automated trading system written in python and execute it on MT4, IB, etc.