Metaquotes MQL 5 - API

Nikolai

Hi, everyone.

We moved our strategy prototype development to backtrader. I decided to write an API for Metaquotes MQL5 based on ZeroMQ socket framework. Thanks to @ed-bartosh and @sandro-böhme for CCXT broker code examples.

This is first alfa release. The code is not stable yet but historical/live datas work already. Next week we will start strategy testing. So, I think that stable beta will be in a few weeks.

https://github.com/khramkov/MQL5-JSON-API
https://github.com/khramkov/Backtrader-MQL5-API

All ideas and improvements are welcome. I'll post updates here.

Nikolai

I have released stable beta MQL5 JSON API. Most part of the documentation is also ready. See it on github.

Backtrader MQL broker stable beta is almost ready too. Don't use alfa release of the broker. The code would not work because MQL side was refactored.

Nikolai

Hello everyone,

I have released Backtrader-MQL5-API stable beta. MQL5 has complex order management logic, so i have some headache implementing it to backtrader. )) Only market orders working right now. It will take some time to finish pending orders.

self.position doesn't work too. Because of threading next happens several times before position approval returns from MQL5. @backtrader Do you have any idea how to fix it? Thanks.

cgd

Hey Nikolai!

This is fantastic news, thank you so much! :)

Nikolai

New update of both repos.

MQL5 JSON API is finished. Historical data load speed was optimized. I have to finish various features like:

expiration
deviation
hedging
error handling docs
etc.

Reconnection and data uploading after reconnection were added to Backtrader-MQL5-API The main goal for now is to finish pending orders management.

Nikolai

Hi, everyone. New update of both repos.

All goals in MQL5-JSON-API was done.
Pending orders in Backtrader-MQL5-API was finished.
We will start production testing next week.