FIFO Multiple entries, same pair, same side

I am very happy to share hints, tips and code with anyone !!

Socket comms is a pain in the behind. I think I'm going to create a Java Virtual Machine as a MetaTrader extension DLL and then use RMI to communicate more reliably with my Java trading app.

EA's can then use "services" provided by the extension DLL, like queueing, parsing, etc., anything difficult to do inside an EA.

I know just enough coding to be "dangerous" ! :)

My specialty is multi-threaded high performance Java coding, and the MetaTrader EA world is relatively new to me.

My issue in Forex trading is that Forex provides too poor a data set for analysis. So, unfortunately, I have to pull futures data, analyze that, and then execute into Forex.

This is a very odd scenario, but very effective. Niche market, so little "mass market" appeal for a setup like that :(
 
awesome!

If you want me to test anything I got screen real estate and 2 computers...

I am forward testing 5 EA's just now...but have room for much more..

ES


Quote from FutureScalper:

I am very happy to share hints, tips and code with anyone !!

Socket comms is a pain in the behind. I think I'm going to create a Java Virtual Machine as a MetaTrader extension DLL and then use RMI to communicate more reliably with my Java trading app.

EA's can then use "services" provided by the extension DLL, like queueing, parsing, etc., anything difficult to do inside an EA.

I know just enough coding to be "dangerous" ! :)

My specialty is multi-threaded high performance Java coding, and the MetaTrader EA world is relatively new to me.

My issue in Forex trading is that Forex provides too poor a data set for analysis. So, unfortunately, I have to pull futures data, analyze that, and then execute into Forex.

This is a very odd scenario, but very effective. Niche market, so little "mass market" appeal for a setup like that :(
More...
 
FutureScalper...you are not an enemy and you do not have me fooled...

I welcome you wholeheartedly on any public service projects you may wish to embark upon...

You leave the moderation up to the team here and no one will bother you or try to sell you anything :D ☺

ES :D



Quote from FutureScalper:

Remember, I'm a "vendor". That's the "enemy" ! :)

You're not supposed to be "nice" to me....

But I'm not posting in the capacity of a vendor...
More...
 
So, back to the issue at hand...

I understand that some brokers may have modified their client MetaTrader platforms so that a LIFO ticket sequence is permitted.

Or moved away from a Ticketing approach to a Position approach?

What is your experience is this area, so far as trading operation sequences are concerned; not some accounting FIFO rule?

Supposing that all trades are one on "side" of the market only (Long or Short) in the same currency pair so that hedging is not the goal, but rather only incremental scaling is the goal...

Does anyone have the scoop on ticket-based trade sequence constraints which are LIFO, e.g. Open #1, Open #2, Close #2, Close #1

Some brokers, appear to do the heavy lifting behind the scenes, in an attempt to allow EA's to perform normally in the trade sequence.

Again, the goal is not hedging, but scaling.

Any input greatly appreciated.
 
After some research on this, it is correct that this FIFO restriction is an accounting restriction only. However, most MetaTrader 4 platforms restrict this at the level of the trading client, for U.S. accounts, and do not permit LIFO operations.

Personally, I've just adopted a policy, that any FIFO restrictions on the MT4 trading platform are simply not supported by my software. Period.

Firms which have NO RESTRICTIONS, and who also provide FIFO compliant statements, thus satisfying the NFA rules include, but are not limited to:

MB Trading
http://mbtrading.com/metatrader4.aspx?page=overview

ATC Brokers
http://www.atcbrokers.com/forexecn/tradingplatforms/metatrader4ecn.php

Just examples, I have no affiliation with these.

So, this U.S. NFA problem definitely has a legitimate work-around which does NOT affect a scaling trading strategy. It's best to choose a brokerage where ECN/STP style trading is supported, LIFO entries and hedging style orders permitted, but the "back office" systems report trading in compliance with the U.S. NFA FIFO restriction.

Any comments welcome.
 
I encountered the FIFO with Alpari NY's MT4 demo

does FIFO then apply to NinjaTrader when trading the Globex currencies - 6E ?
 
I do both Futures and Forex.

To my knowlege, FIFO does not apply to the 6E Futures contract.

In any case, MetaTrader 4 uses a "ticketing" concept, rather than a position-based concept. The FIFO rule is an accounting rule, rather than a trading rule in any case, and is obviously subject to interpretation in the Forex domain itself.

Some brokerages in the MetaTrader or "ticketing" style environments have taken it a bit too literally and thus prevent the following style, which is LIFO scaling approach: Buy Ticket #1, Buy T#2, Buy T#3, Close Ticket #3 (take partial profit), Close T#2 (partial profit), and then finally Close T#1 (we are now flat). This is a highly desirable trading technique in any market, especially Forex, but it is NOT hedging, and that is what the NFA FIFO rule apparently is aimed at preventing. Blah blah, etc. Rather unfortunate ruling, most would say...

Globex 6E trading is a position-based approach, so you may scale into and out of positions in 6E with no such limitations, as far as I know.

My trading in Futures is with the Transact (Infinity) feed and order management system, through an API.

Risk in the 6E contract is $12.50 per tick. But translation of that into the Forex domain can result in risk levels of 1/100th of that (roughly) per individual entry level.

The consequence of that is that EUR/USD Forex trading can spread risk and permit a continuous variable incremental scaling style with huge improvements in overall Risk Tolerance.

I don't see why the Ninja platform would prevent you from incrementally scaling into and out of positions. Try it and see. That's the most powerful trading technique anyone can use, even "investors". Has nothing to do with "hedging".

Anyway, it's a long story.....
 
thanks for the replies guys

FIFO doesn't affect my real trading as yet, and I hadn't paid much attention to what
references I'd seen on some forums until as said it occurred with the mt4 demo

there are tho I think still mt4 brokers that offer same pair hedging and presumably
may not be following the FIFO rule
 
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