Why MT4 is not preferred for HFT systems

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Let us understanding order execution in a MT4 system

1. The trader opens an order in the MetaTrader terminal.

2. The order goes to the liquidity bridge

3. The bridge analyses the order and sends it to the liquidity pool in accordance with the routing configuration.

4. The bridge sends the order to LP or executes it in the Market Making pool with B-book.

In the case with A-book:

LP executes the order and sends the order confirmation with a final execution price back to the bridge.

In the case with B-book:

The bridge processes the order in the Market Making pool according to the predefined execution rules and markups.

5. The bridge sends the order execution confirmation back to the MetaTrader platform.

6. The trader receives the order confirmation with the execution price, time, and volume in the MT trading terminal.

The entire process of order execution takes roughly 200-600 ms. The wide range of execution time is because of the dependency on order queue. During volatile times of the market, orders queue can rise and orders can lag. But generally most good brokers will send order confirmation back by 600 ms (example IC markets is on the worse side of 500 ms).

In 1 ms, price of a tick in forex have been known to move 50 - 100 pips. That appears as a large gap on a MT4 chart. But essentially that is the movement of a single tick. Imagine if you run a scalping EA on a MT4 with execution round trip of nearly 500 ms. There is zero chance of making money on a MT4 for scalpers. Yet it is the largest number of EA sold on MQL. They show exciting back tests to sell the EA. The issue with backtests is that it is not exposed to order delays like in real world. Even the worst of slippages on a test cannot mimic the real world execution conditions of a MT4.

To test the speed of scalping trades the following tests were done on MetaTrader 5 build 642:

2022 .04 .30 12:09:40     MQL5TradeSpeed .Sync .vs .Async (EURUSD, H1 )        4. Открытие 10 сделок асинхронно заняло 31 ms, 3 ms на сделку, 0 ошибок
2022 .04 .30 12:09:40     MQL5TradeSpeed .Sync .vs .Async (EURUSD, H1 )        3. Открытие 10 сделок асинхронно, подождите...
2022 .04 .30 12:09:40     MQL5TradeSpeed .Sync .vs .Async (EURUSD, H1 )        2. Открытие 10 сделок синхронно заняло 1498 ms, 149 ms на сделку, 0 ошибок
2022 .04 .30 12:09:38     MQL5TradeSpeed .Sync .vs .Async (EURUSD, H1 )        1. Открытие 10 сделок синхронно, подождите...

MetaTrader 4 build 419 tests:

2022.04.30 09:19:33	MQL4.TradeSpeed.Sync EURUSD,H1: Alert: 2. Открытие 10 сделок синхронно заняло 2075 ms, 207 ms на сделку, 0 ошибок
2022.04.30 09:19:31	MQL4.TradeSpeed.Sync EURUSD,H1: Alert: 1. Открытие 10 сделок синхронно, подождите...

The first responses (in a batch) from the server will come in about 145 ms, as in normal synchronous mode. But just as 10 requests were fired in 31 ms, the reception of their results should also come in a burst after 145 ms.

These tests are done during normal work hours. They change by a factor 3x to 5x during volatile markets of London and NY data sessions hours. We are talking of 200-600 ms in real world conditions.

On the other hand FIX 4.4 shows round trip execution of under roughly 50 ms even during data hours. This comes down to 20 ms in cross connected VPS in LD4. This is ideal for HFT systems which thrive on sending orders at speed during peak volatile hours when tick density can be high.

When trading on FIX, large order sizes can be easily absorbed. On MT4 the larger orders can often be an issue with partial fills due to order queue and serial execution.

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