Transfering MT4 quotes in R

The more I get into this, the more I adjust my objectives. Currently, I’m willing to make the most of the Quantmod and Blotter R-packages, while eventually building a MT4 equivalent of the InteractiveBroker-R_API. As a first step, I was willing to Chart ticks from MT4 in R using the Quantmod’s chartSeries()

There are different options to export ticks from MT4:

  1. Using the DDE – the major drawback, if I’m not mistaken, is this is an export-ONLY mechanism. Considering I’m willing to use R to generate the trade signals, the DDE is not an option.
  2. Using sockets on 127.0.0.0 – the major issue is the extra-work required to design the communication protocol. However, there are some interesting sockets ideas. I believe this is a similar, apparently efficient, COM/DCOM server design.
  3. Through a database interface such as MySQL.dll for MT4 – on the bright side, it allows for the easy management of tick data (using timestamps as main key), but I believe this would bring quite some extra-complexity and speed issue. Here is an example.
  4. Using an EA/Indicator with the R.dll
  5. Using an EA/Indicator with any [custom].dll

I have decided to follow the 5th alternative refered to as the MT4R interface library, specifically that proposed by 7bits on ForexFactory. 7bits’s interface starts Rterm.exe as a background process and communicate with its command line via stdin/stdout. Although I’m a little concerned by real-time efficiency (I read the following: For 1 minute bar trading, with limited computational overhead, R is a perfectly workable solution. Inside of that time-frame, things may get difficult), this seems a straight forward first-move, that has lots of benefits and may allow live-trading through R (providing one is not HFT or scalping).

Thereafter is a screenshot of my R-Chart from MT4 tick, along with a video of the overall performance regarding R-tick “real-time” performance (although my code is not yet designed for speed).

I have uploaded a video of both MT4 next to R-chart so as to have a sense of the R-charting delay: Megaupload link ( .swf playable in any browser). As you may notice, at some specific time R is lagging behind MT4. However, one should keep in mind that, at every tick, I pass the last 500 OHLC+Volume quotes from MT4 to R, whereas a more logical approach would simply append that last new tick. Nonetheless, this gives some insight in R’s performance once we’ll start performing real processing through R, to eventually lead to a trade signal.

From that first test, I was relatively concern by the ability to quickly send MT4 ticks to R in real-time. I decided to write the simplest transfer logger in that I simply send Bid/Ask prices @everytick from MT4 to R (assigning 2 double [variables] in R) while measuring execution time. Surprisingly I found out only 1-4 ms are required. Here is my logged-video Megaupload link. I quickly added a line to pass a Matrix[1000] that I initialized in the Init() that resulted in an average increase of 2ms (Megaupload link). I will further investigate different processing scenario to have a clear picture of MT4->R->MT4 live-trading set-ups.

I will be putting my simple code examples @ xmph.forex-googlecode.

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2 thoughts on “Transfering MT4 quotes in R

  1. Pingback: MT4 -> Multi-R sessions for tick-analysis « xmphforex

  2. Thanks! for sharing your thoughts, interesting article I am looking into the same topic a year later. Although I think its an interesting idea of 7bits to kep the controll center inside the EA I prefere to have R in control just like you propose and make it similar to the IBroker package of R. This way we can also have multiple data feeds combined from different brokers.
    Did you ever finished this? or is it still open..

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