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MetaQuotes Software Corp.
MetaQuotes Software Corp.  

New article MQL5 vs QLUA - Why trading operations in MQL5 are up to 28 times faster? has been published:

Have you ever wondered how quickly your order is delivered to the exchange, how fast it is executed, and how much time your terminal needs in order to receive the operation result?

Meanwhile, there is a way to improve order execution quality by receiving a quicker response and by achieving a faster transaction speed.

September 12, 2016 we simultaneously run three speed tests on a real account with the "Otkrytie" broker in MetaTrader 5 build 1415 and Quik 7.2.23. Each test was aimed to measure specific speed characteristics, which is important for algorithmic trading:
  1. Testing of synchronous operations — a series of 10 synchronous consecutive Buy operations with a confirmation of a successful execution of each transaction on the exchange. The next operation is not executed until a response is received from the trade server confirming that the previous operation has or has not been executed on the exchange. The execution speed depends on the entire chain: the terminal — the trade server — the exchange — the trade server — the terminal. The smaller the average time of the synchronous trading operation, the better.
  2. Testing of asynchronous operations — a series of 10 asynchronous Buy operations without any confirmation of a successful transaction execution. It is a pure rate test, which measures how fast orders are sent to the exchange. The best terminal is the one that can execute 10 asynchronous Buy operations faster.
  3. Testing of order book update — measuring how fast orders in the Market Depth (order book) are updated. This is a simple counting of the number of ticks (updates) in the Market Depth per a unit of time. The more frequent quotes are received by the terminal from the exchange, the faster the order book will be updated. Therefore, the more ticks per second are received by the automated trading application, the quicker it can respond to changes in the market demand/supply structure. The best terminal is the one with the higher speed of order book update.

The results of these tests are featured in a summary table, additional detailed results of each test are available in further sections below.

MetaTrader 5
MT5 lead
The average time of a synchronous operation
9.59 ms277.80 ms28.96 times
The average time of an asynchronous operation0.09 ms0.30 ms 3.33 times
Market Depth update speed
42.7 times per second8.4 times per second5.08 times

As you can see, MetaTrader 5 shows much better results in all tests. You can reproduce the same tests using the attached source code. The testing process is demonstrated in the video below.

Author: MetaQuotes Software Corp.

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