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Brokers incompatible with MT4 bridge?
#458503
03/16/16 05:14
03/16/16 05:14
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Joined: Apr 2014
Posts: 482
Sydney, Australia
boatman
OP
Senior Member
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OP
Senior Member
Joined: Apr 2014
Posts: 482
Sydney, Australia
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Is it possible for the MT4 platforms of individual brokers to be incompatible with the Zorro MT4 bridge? I am asking because I have found that when connected to a certain broker in live trading mode, Zorro detects obviously erroneous ticks. I can find no trace of these erroneous ticks in the MT4 chart, nor in the MT4 history centre. No trades have so far been executed at or close to these levels, which makes me question whether these ticks actually existed. Is it possible that the Zorro bridge could somehow register a tick that never existed? Although no trades have been executed at these erroneous tick levels, my system uses the recent high and recent low by way of the HH() and LL() functions. These erroneous ticks have a significant impact on the values calculated by these functions (verified by printing indicator values to the log file) and several trades have been executed as a result, when they clearly shouldn't have. This issue first came to my attention last night on EUR/USD. Attached is the image that Zorro created - although the quality is not great (I am running my VPS using 15-bit color to free up as much RAM as possible) you can see the erroneous ticks occurring between 7 and 8 PM at values of approximately 2.3 and 1.7. These ticks dwarf the scale and therefore the rest of the price curve is barely visible. Clearly EUR/USD never traded at these levels and there is no sign of these ticks in the broker's MT4 feed.  I have started running the same system with another broker and have yet to observe this behavior. The broker that I am having trouble with is Katalon Markets. Here is the link to download their MT4 platform: https://download.mql5.com/cdn/web/7580/mt4/katalonmarket4setup.exeI would very much appreciate any insight into what could cause this and what the possible workarounds could be. I do understand that it is possible that the broker widened the spread and created these ticks artificially, and while I won't rule that out, I consider it highly unlikely. The GM of this firm is personally known to me and I would be extremely surprised if this turned out to be the case. So for the purposes of this exercise, could we please just focus on what, if anything, related to the Zorro MT4 bridge could cause this. Thanks in advance
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Re: Brokers incompatible with MT4 bridge?
[Re: jcl]
#458513
03/16/16 12:30
03/16/16 12:30
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Joined: Jun 2013
Posts: 1,609
DdlV
Serious User
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Serious User
Joined: Jun 2013
Posts: 1,609
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Hi jcl, boatman,
This brings up some interesting questions...
From what I read of TickSmooth, a value of 100 would "suppress" by ~99%? Does TickSmooth drop the tick or cause the tick's actual value to be replaced by the EMA value? Besides changing the tick stream, the EMA-introduced delay could of course be problematic also depending on the strategy...
Assuming that Zorro isn't creating these ticks, they're coming from the broker - either directly if DD or as a pass-through from the liquidity provider if NDD? In either case, why then wouldn't they be in the broker's MT4 history? Do brokers regularly "scrub" their history? Is there something in the Terms of Service that say these outliers are the client's problem?
boatman, have you asked the brokers about this & what's going on? Since it's happened at more than 1 broker, is it some sort of "industry standard" that all are using?
Thanks.
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Re: Brokers incompatible with MT4 bridge?
[Re: boatman]
#458524
03/17/16 09:28
03/17/16 09:28
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Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl
Chief Engineer
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Chief Engineer
Joined: Jul 2000
Posts: 27,986
Frankfurt
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If someone wants to test if his broker has a similar problem, here's an outlier test script:
#define LastPrice AssetVar[0]
void tick()
{
var Price = priceClose();
if(LastPrice > 0 &&
(Price < 0.75*LastPrice || Price > 1.25*LastPrice))
printf("\nOutlier!! %s Last: %.4f Now: %.4f",Asset,LastPrice,Price);
LastPrice = Price;
}
void run()
{
set(LOGFILE);
if(!is(LOOKBACK)) printf("\n");
while(asset(loop("EUR/USD", "USD/JPY", "USD/CAD", "EUR/JPY", "EUR/AUD", "EUR/GBP", "AUD/JPY", "AUD/USD")))
{
if(!is(LOOKBACK)) printf("%s: %.4f, ",Asset,priceClose());
}
}
We had no outliers so far with the brokers we've tested. But we're looking into Katalon now.
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