Arbitrage bot between Metatrader and a FIX API broker

Now, that we know how to connect Metatrader to our node.js application and after we learned some basics of how to build a LMAX FIX API client the logical next step is to merge those two modules and build an arbitrage trading system. It’s nearly as simple as it sounds.

Long story short: I have done it. It does not work. The slippage of the Metatrader side will destroy every detected opportunity. Even with a LD4 Crossconnect to LMAX and with nearly every possible combination of MT4 Brokers and their different datacenters (which from my point of view are proxies that suggest a low latency).

Write me an email if you have further questions or would like to discuss this post.

Kind regards

Artur Brylka

Building a node.js implementation of a Forex FIX Protocol Client for LMAX – Part 2

This is a sequel to Part 1 of my introduction to building a node.js implementation of a Forex FIX Protocol Client for LMAX. After you have heard some basics let’s now get to the hard facts. At the end of this post we should be able to logon to the LMAX market feed server. This may sound not very complicated – but believe me, there is a lot to talk about.

Continue reading “Building a node.js implementation of a Forex FIX Protocol Client for LMAX – Part 2”

Building a node.js implementation of a Forex FIX Protocol Client for LMAX – Part 1

For those who do not know what the FIX Protocol is: “The Financial Information eXchange (FIX) protocol is an electronic communications protocol initiated in 1992 for international real-time exchange of information related to the securities transactions and markets.” (Wikipedia).

Brokers, banks and many other players in the financial market use the fix protocol for financial communication. In the forex world – from the perspective of avergage guys like us – the FIX protocol is the pro version of Metatrader.

Advantages: Much smaller spreads, no technical limitation concerning the implementation, reliable connection latency (as the requests are not redirected), no “Last Look” (LMAX)

The combination of an extremley low latency (if you use a server with an interconnect to LMAX) and the missing “Last Look” for your opponent lead to a very low slippage.

Disadvantages: Usually the initial deposit is higher. (LMAX “Professional”: 10.000$/€)

Continue reading “Building a node.js implementation of a Forex FIX Protocol Client for LMAX – Part 1”