Listed ECN (entries in bold have confirmed Level 2 visibility)
MBTrading ($400 min balance, level 2, 0.5 pip commission, bad swap rates)
Hotspot FX (not researched)
FXAll (unknown leverage, supports broker and prime broker interfaces as well as trader interfaces)
Currenex (50k min balance)
http://www.flextrade.com/flexfx.php (includes automated trading system, unknown details)
http://www.instinet.com/ (institutional trading API)
interactivebrokers.com
dukascopy
Man Financial
Any more ECNs we should add to the list? Will anyone find more ECN, minimum balance, and if Level 2 quotes are available? I'd like to focus on the protocol and database work (see post ECN Trading )

I'm starting this thread because I think that I'm moving up to ECN based trading. I have had some good experiences with MT4 brokers but they don't offer the news trading or liquidity I'm looking for. Most importantly, I haven't found one that doesn't alter the price. I have an EA that is very profitable on all currencies on multiple timescales, but only on ECN style data. On broker data, odd fluctuations in price make the smaller scale trading unprofitable. The larger scale trades are still profitable, but they happen about 2-3 times per currency per month, and they still have price manipulation SL.

I'm going to use QuickFIX from QuickFixExchange.com and write my own "connect to broker" software. This uses a well defined open source protocol known as FIX, managed by banking committee at http://www.fixprotocol.org/ I won't need to go through the hardest part of the process since the FIX protocol is already implemented by QuickFIX. I have looked at Tradebullet and other systems but they fall short on a few things. Namely, automated trading.

I want the ability to remotely manage 20 accounts running on a remote server, not load up a GUI that requires 20 monthly fees and a ton of mouse clicking. I haven't made a final decision between C# and Python, but QuickFix supports both. I'll likely implement my EA in Python first, and then work with others to port EA over to C# if they prefer. I prefer Python because a .Net 1.1 compiler with IDE is not freely available, and there is more security in Python than C#. (It is easier to pirate C# source code than MQ4. 2 minutes and you have indented source code with variable names. Java is about the same using self-reflection.)

Backtesting won't initially be supported, just running automated trading. It is possible to add backtesting later because I can have a quote server and a client, or just trade against a MySQL database of quote data. I'm interested in backtesting because I want to provide random data backtesting to determine performance. Not the silly bell curve Brownian motion testing that is crap, but randomized data indistinguishable from real data using Mandlebrot Fractals. (I'm studying fractal natures of markets, related to the EA.) I will be able to provide ECN data logging on Bid and Ask into a database, and then export the data for comparison into MetaTrader.

All that said, here are a list of ECN that I'm examining, and one of them claims to be an ECN that supports MT4. http://www.odlsecurities.com/uk/forex_demo.html (Supports MT4, claims to use Currenex)

I have found a few other brokers, and another possible protocol to add later is Trading Technologies but there is a lot of overlap between the brokerages. FIX is more open, TT is more proprietary.

An algo trading thread on FIX: www.fixprotocol.org/discuss/read/2025d30c
A list of FIX exchanges: www.fixprotocol.org/adopters/
The list of exchanges is a partial list, many brokers implement the protocol through partners. I'm aiming at FIX 4.2 support and later implementing FIX 5 support when it is more widely accepted.

My eventual goal would be to to make a simple script that converts EA into C source files and then execute the EA on the server. That interface is still hypothetical, there would need to be a layer of abstraction. (Magic numbers would take some work, etc.) It might even be possible to 'become MT4 compatible' and allow direct trading on the ECN through MT4.

The main obvious advantage for doing this? 0.5-1 pip spreads or trading between spread on over a dozen currencies.

Hi Daraknor,

Few days ago I came accross a post from MOE:

http://forexfactory.com/showthread.php?t=22377

Please look at post 17

Seems that ATCBROKERS.COM offer currenex feed into mt-4.

Maybe we can run the EA directly from their Mt4 platform and trade with ECN spread and liquidity?

I can't seem to get more details of their website. Worth a look anyway.

Sada

that right.but minimum balance for ATC Forexpro is about 50K

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~~Keep The Faith~~

I think that MT4 and the ECN available through ForexPro are completely separate. It seems to be one or the other. I think ATCBrokers.com is just an IB for the different ECN platforms. The real test would be figuring out how they let MT4 go onto the ECN without running the MetaTrader4 API. I am considering signing up for a few demos of different types and then checking if the prices match. Of course, that won't count much and it will take a real money account to actually verify.

Lava FX allows automated trading through FIX API. That is exactly what I'm talking about implementing

CME.com is one of the biggest firms, but they don't have FIX and they don't deal with small players at all.

atcbrokers tell me that the minimum is 10k for forexpro.

Also, I've researched about them, seem they are ib of gft and fxql.

anyone got the mt4 pro platform for atcbrokers? and how does it look or work. spreads? ea's?

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KillerKhan

I talked to ATC this morning. They are just IB for different companies. They have no control over anything. Dead end.

So on to the actual development and finding brokers that support the FIX protocol. Anyone willing to look up which versions of FIX different brokers support? I'm going to call MBTrading.

This guy says he gets better fills from Hotspot than Currenex feeds in this thread:
http://elitetrader.com/vb/showthread...agenum ber=45

2cents

Registered: Jun 2005
Posts: 2031

yeah but how about the fills... see, i have been dual-spreading hundreds of "small" orders on both platforms, why is it that the overwhelming majority of my fills come from HSFXi and i have to cancel my Currenex orders? how many times have i seen my limit touched on Currenex and i don't actually get a fill? (i have 2 accesses, FXCMPro (they try to add 1 pip on exit), and ODL/RBS ("true" mkt spread), so i can compare)... TOO often, that's how... too many stale orders on Currenex, and/or abuse of "last look" option by liquidity providers...

It sounds like he knows what he's doing a bit, but I think he misrepresents something. When you trade on Metatrader, the broker is there to accept your order even if everyone is trying to buy at the same time. When you trade on an ECN, you actually need a seller if you want to buy. Over the Counter is much different than fighting a broker. It could be his limit (which could be a pending order, it could be a market fill with a maximum he's willing to pay when he enters, etc) was touched but not filled because there was nobody willing to deal with small lots.

MB trading sounds rather unique because they prioritize small fills first. Sometimes the trader with 10 or 50 lots will get a fill while the person with 5000 lot orders won't get a fill. I've seen partial fill on prices. I highly endorse this because although you can't do martingale it means *nobody tinkered with the order*. Now the policy of adding a pip on the back end is annoying, but I don't mind so much because they can't alter the price by an insane amount. I also use trailing stops so I won't be sitting there with 0 fill on my exit.

Bottom line, trading with (against) a broker is much different than ECN, but the majority of the lies and deception simply don't work. You're trading with other traders and banks, not with the Broker's piggybank.

In terms of ECN 1 vs ECN 2 vs ECN 35, I don't really mind that much. I'm not writing code for ECN1, I'm writing code for all ECN who allow a protocol. If ECN1 is adding a pip and someone using this system doesn't want to pay that 1 pip anymore, they can switch to ECN 2 or ECN 27. Hence the reason I'm looking for a list of ECN and what protocols they support. It looks like FIX 4.2 is the initial winner, but I'm trying to verify before I begin.

http://www.ecnmarket.com/ ?

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KillerKhan