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.

Jalal Ahmadi

@Nikolai hi Nikolai,
is it possible to use MQL5-api for optimization?
does it work ?
thanks

Nikolai

@Jalal-Ahmadi Hi.
What do you mean "for optimization"?
Yes, it works.

Jalal Ahmadi

I mean is it possible to use this code to optimize an strategy in metatrader5?

Jalal Ahmadi

@Nikolai I mean is it possible to use this code to optimize a strategy in "optimize mode" in metatrader5?
for example send sell/buy order from your python client code to metatrader5 in optimize mode? and if the answer is yes is it possible to handle this scenario in multi-core optimization mode in metatrader?
thanks

backtrader

It is obviously not possible.

https://www.metatrader5.com/en/terminal/help/algotrading/strategy_optimization

The code from Nikolai is a bridge to let something written in backtrader use MT5 as a data feed and as broker.

An optimization run in Metatrader runs agents which you select (and no, something developed in backtrader is not an agent). See the article and pictures.

Paulo Urbano

@Nikolai
Hello, Nikolai.

Awesome work on both the MQL5 JSON API and Backtrader MQL5 API. Congrats!

I was wondering if you have considered the Metaquotes maintained API package as a future inclusion in the Backtrader MQL5 API. Not disregarding the relevance of a language agnostic JSON API, the Metaquotes package could be used as an alternative to the Zero MQ, reducing that external dependency.

Thanks.

Nikolai

@PAULO URBANO
Hi, thanks.
As i remember Metaquotes API works only on Windows OS. I don't use it at all.

André Tavares

Hello @Nikolai.
Is there a limit to how many datafeeds can be used?
I am adding 100 datafeeds and keep getting these erros below:
zmq.error.Again: Resource temporarily unavailable
zmq.error.NotDone: Sending request ERROR

run-out

@André-Tavares said in Metaquotes MQL 5 - API:

Is there a limit to how many datafeeds can be used?

There's no limit I'm aware of. For fun, I just added 1000 of the same datafeed to cerebro using a loop.

   data = bt.feeds.PandasData(dataname=df_new)
    for _ in range(1000):
        # add data to cerebro
        cerebro.adddata(data)

Now to be fair cerebro is just populating a list and I'm not running it through the system. But I know I've used upwards of 700 equity datalines in the past when make equity portfolios based on the general market.

André Tavares

@run-out I am asking using MT5 Broker.
Using pandas I have done it also.

run-out

@André-Tavares Sorry, misread the question.

André Tavares

I managed to work it out.
I had to incread the timeout.
self.sys_socket.RCVTIMEO = sys_timeout * 100000
self.data_socket.RCVTIMEO = data_timeout * 100000