Bother with HFT system

 
im trying to test a new hft ea but get the error message invalid price. i think its the buy and sell stops that are too close to chart price. how can i find out if thats whats happening, and what hte min distance should be
 
PHILLIP GRAHAM HEWARD:
im trying to test a new hft ea but get the error message invalid price. i think its the buy and sell stops that are too close to chart price. how can i find out if thats whats happening, and what hte min distance should be
Spreads and order distance from the current price - Trading automation - MQL5 Programming for Traders - MetaTrader 5 algorithmic/automatic trading language manual
MQL5 Book: Trading automation / Financial instruments and Market Watch / Spreads and order distance from the current price
MQL5 Book: Trading automation / Financial instruments and Market Watch / Spreads and order distance from the current price
  • www.mql5.com
For many trading strategies, especially those based on short-term trades, information about the spread and the distance from the current price...
 
PHILLIP GRAHAM HEWARD: im trying to test a new hft ea 

No such thing. HFT is not multiple times a day; it is millions of transactions per day.

You can't do that over the internet. You can't do that with MetaTrader. Spend a few million for a colocated server with your broker to start.

 
William Roeder #:

No such thing. HFT is not multiple times a day; it is millions of transactions per day.

You can't do that over the internet. You can't do that with MetaTrader. Spend a few million for a colocated server with your broker to start.

Well said.

I ignored the HFT part of the OP. As experienced traders know, HFT quants set up right next to trade server centers with FPGA chipped computers.

 
William Roeder #:

No such thing. HFT is not multiple times a day; it is millions of transactions per day.

You can't do that over the internet. You can't do that with MetaTrader. Spend a few million for a colocated server with your broker to start.

its supposed to do hundreds if not thousands a day. ive not had chance to see yet

 
PHILLIP GRAHAM HEWARD #:

its supposed to do hundreds if not thousands a day. ive not had chance to see yet

No retail trader is doing HFT. It's a marketing ploy to sell EA's.

To do HFT you would need things like a custom water-cooled, often direct to die with a delidded CPU, server in Equinix NY4. You can't even use a regular CPU as it has to be hard locked to a frequency because the throttling up and down that a standard CPU does would screw up HFT. The CPU alone will run you about $40,000 and is custom made by Intel for HFT users. The average round trip (getting data, processing data, taking trade, exiting trade, etc) all happens within 7 milliseconds. You, at home, couldn't even get the data in 7 milliseconds let alone take an entire trade. These servers usually aren't even running regular ethernet, it's all fiber with InfiniBand.

These EA's it's marketing BS. The reality is, it's not HFT and the transaction fees are going to eat you alive. You do thousands of trades a day with something like a 1 pip spread, good luck. What are you going to make per trade? 2 pips? and spend half your profits on spread assuming you had a 100% win rate? It's clear you want to believe the lie you're being told, so I'd actually recommend trying it. Go run it for a day. A broker like Oanda, "prop firms" like FTMO, they'll ban you before the day is over as they generally have a 2,000 per day trade limit.

How do I know this? My backyard currently has 3 shipping containers full of servers for the "data center" that runs my trades. Some people would say I have a little bit of experience.

The error you're getting because the spread is too large for the EA and/or your connection is so slow the price has changed before the EA can place the order.
 
James McKnight #:

No retail trader is doing HFT. It's a marketing ploy to sell EA's.

To do HFT you would need things like a custom water-cooled, often direct to die with a delidded CPU, server in Equinix NY4. You can't even use a regular CPU as it has to be hard locked to a frequency because the throttling up and down that a standard CPU does would screw up HFT. The CPU alone will run you about $40,000 and is custom made by Intel for HFT users. The average round trip (getting data, processing data, taking trade, exiting trade, etc) all happens within 7 milliseconds. You, at home, couldn't even get the data in 7 milliseconds let alone take an entire trade. These servers usually aren't even running regular ethernet, it's all fiber with InfiniBand.

These EA's it's marketing BS. The reality is, it's not HFT and the transaction fees are going to eat you alive. You do thousands of trades a day with something like a 1 pip spread, good luck. What are you going to make per trade? 2 pips? and spend half your profits on spread assuming you had a 100% win rate? It's clear you want to believe the lie you're being told, so I'd actually recommend trying it. Go run it for a day. A broker like Oanda, "prop firms" like FTMO, they'll ban you before the day is over as they generally have a 2,000 per day trade limit.

How do I know this? My backyard currently has 3 shipping containers full of servers for the "data center" that runs my trades. Some people would say I have a little bit of experience.

The error you're getting because the spread is too large for the EA and/or your connection is so slow the price has changed before the EA can place the order.

maybe its not hft as in getting as physically close to the broker as possible to get an advantage from cable length. i meant its doing quite a bit more trading than a lot of other systems. its just a £30 experiment to see what happens, if its no good then fine but it will probably raise other ideas i hadnt thought of and send me in a different direction.

ive seen it running in a vid which i think was real, the idea was to run it 15 mins a day in particular types of market, im wondering can i slow it down enough so it is able to do something, shoud i find a different broker etc. 

the other question that came up is if hft is such a pain why do you have 3 containers full of it?? if it can work well enough to justify then im the type to also go to those lengths if needed

 
James McKnight #:

No retail trader is doing HFT. It's a marketing ploy to sell EA's.

To do HFT you would need things like a custom water-cooled, often direct to die with a delidded CPU, server in Equinix NY4. You can't even use a regular CPU as it has to be hard locked to a frequency because the throttling up and down that a standard CPU does would screw up HFT. The CPU alone will run you about $40,000 and is custom made by Intel for HFT users. The average round trip (getting data, processing data, taking trade, exiting trade, etc) all happens within 7 milliseconds. You, at home, couldn't even get the data in 7 milliseconds let alone take an entire trade. These servers usually aren't even running regular ethernet, it's all fiber with InfiniBand.

These EA's it's marketing BS. The reality is, it's not HFT and the transaction fees are going to eat you alive. You do thousands of trades a day with something like a 1 pip spread, good luck. What are you going to make per trade? 2 pips? and spend half your profits on spread assuming you had a 100% win rate? It's clear you want to believe the lie you're being told, so I'd actually recommend trying it. Go run it for a day. A broker like Oanda, "prop firms" like FTMO, they'll ban you before the day is over as they generally have a 2,000 per day trade limit.

How do I know this? My backyard currently has 3 shipping containers full of servers for the "data center" that runs my trades. Some people would say I have a little bit of experience.

The error you're getting because the spread is too large for the EA and/or your connection is so slow the price has changed before the EA can place the order.
Even though your take on HFT in general is correct, your technical details are wrong.

When talking real HFT, like you are doing, which is used especially for arbitrage, and usually done by the same exchanges directly, you talk scalping off another few nanoseconds in your processing pipeline. As a perspective, they use microwave connections because it propagates faster in copper than light in fiber.

All attached systems get the same cable length. And latency is depending on what you look at. Stack to stack, processing one order, matching one order, you need to be specific here. Current matching engines are in the range of up to 1000 nanoseconds. BTW, light needs about 300ns from bottom to top of eifel tower.

HFT by definition in EU legal terms is any electronically executed order system with more than 2 actions per 4 hours.
 
Dominik Egert #:
Even though your take on HFT in general is correct, your technical details are wrong.

When talking real HFT, like you are doing, which is used especially for arbitrage, and usually done by the same exchanges directly, you talk scalping off another few nanoseconds in your processing pipeline. As a perspective, they use microwave connections because it propagates faster in copper than light in fiber.

All attached systems get the same cable length. And latency is depending on what you look at. Stack to stack, processing one order, matching one order, you need to be specific here. Current matching engines are in the range of up to 1000 nanoseconds. BTW, light needs about 300ns from bottom to top of eifel tower.

HFT by definition in EU legal terms is any electronically executed order system with more than 2 actions per 4 hours.

Well said. It sounds like you shot this video:

How Wall Street Really Operates - A Former Quant Turned Reformist - Other - 15 May 2025 - Traders' Blogs

How Wall Street Really Operates - A Former Quant Turned Reformist
How Wall Street Really Operates - A Former Quant Turned Reformist
  • 2025.05.26
  • www.mql5.com
Here is the sad but honest truth about institutional high frequency trading (HFT)
 
There is no chance of doing HFT in metatrader. Moreover, even for just a few hundred trades per day, the broker will block you.
 
Vasile Verdes #:
There is no chance of doing HFT in metatrader. Moreover, even for just a few hundred trades per day, the broker will block you.

even if its 10 mins a day? assuming it works