Today, using information and trading platforms has become a de
facto requirement for successful trading in the financial markets.
Their advantages as
compared to conventional trading schemes include, for example, an
unprecedented speed of processing and delivery of information to end
users, the level of
integration with data providers, and a wide array of built-in technical
At the same time, an investor opening an account with a
brokerage firm simply cannot simultaneously manage the real-time
analysis and trade in more than
4-6 financial instruments in several markets 24 hours 7 days a week.
This brings about the need to employ automatic trading systems in the
form of runtime
environment with client and server parts and the programs to control
these systems (scripts).
2. Comparative Analysis of the Problem Area
Various software components embrace the entire target sector of
the market-from analytics and forecasting to complex trade and
components of a trading platform provide its clients-brokers, dealers,
traders, financial analysts and advisors-just the service they need at
moment they need it, from immediate round-the-clock access to
information of concern by means of mobile devices, to multi-move
trading operations in the
major client terminal.
The software market offers a great many of information and
trading platforms that differ, first of all, in the functionality of
the client and server
parts, and the list of services provided by the financial company once
an account has been opened. However, only a relatively small number of
solutions include the components that automate trading.
2.1. MetaTrader4-based Solutions
One of the world's most widely used trade platform products is
apparently MetaTrader4, developed by MetaQuotes Software Corporat?on
for Forex market
trading. The platform includes an integrated development environment
(IDE) MetaEd?tor, intended for writing scripts in a programming
MetaQuotes Language, or MQL4 for short. The language's syntax is based
on the classic C language syntax, and the flow logic has not been
changed since the previous version of the platform that used MQL II as
the programming language. The new automated trade framework is,
undoubtedly, an evolution of the previous one. Both languages feature
good functionality, with an optimum set of
built-in trading and utility functions which is quite sufficient to
implement the basic operations, and a facility to define custom
functions to help
implement non-standard ideas.
From the programming point of view, MQL4 is much more
convenient that its predecessor; this language is more oriented at
professional programmers, while
MQL II, in my opinion, will rather suit financial experts wishing to
build trading programs (or trading advisors, in the MetaQuotes
terminology) of their
2.2. Omega Research-based Solutions
In the New World, the vast majority of companies use the Omega
Research platform developed by TradeStation Securities, Inc. This
platform has long ago
proven its worth at the worldwide market, and to date experts consider
it to be the best system for technical analysis. The provided IDE
Research PowerEditor is intended to create control programs in
The language's major advantage that strikes the eye is the
easiness (hence is the name) of placing opening and closing orders. The
instructions can be written such as if we were formulating an order to
our broker in the plain human language. In MQL4, for example, placing
an order to
open a position would involve specifying about a dozen of various
parameters. In EasyLanguage, the same can be expressed in a short
statement using a few
words. Working with technical indicators is about that simple, too. But
don't fall under an illusion: when creating these simple commands,
developers sacrificed the functionality and limited the possible ways
of using a particular function, therefore effectively depriving the IDE
users of the
opportunity to accurately implement their own algorithms.
TradeStation decided not to create extensive libraries of
built-in trading and utility functions but to limit to only an
essential set. As the platform
advanced, the number of functions written by both in-house and
third-party developers grew, and TradeStation simply included them as
into the repository of its scripts. As a result, the functionality
offered to users is not in the least scarcer than that of MetaQuotes
PowerEditor provides a built-in dictionary that lets user
search and get help on the available functions. Another handy tool
worth mentioning is the
strategy builder. Using the strategy builder, the user can easily
create a basic algorithm for his or her trading program, and then
modify and adjust it as
EasyLanguage is an old-timer and pioneer in the field of
creating automated trading systems for the stock market. It was the
basis for the development of
MQL II. EasyLanguage will be a good choice for programmers, but still a
better one for financial experts more oriented at analyzing the market
2.3. ProTrader-based Solutions
Professional financial experts can choose the ProTrader2 or
ProTraderFX platform as their working tool, depending on the type of
market-stock or Forex, respectively. The two platforms are developed
and supported by PFSoft LLC. While featuring the specially developed
Language (PTL), the provided IDE named PTL Builder offers also the
opportunity to create scripts in MQLII, MQL4 and EasyLanguage. For
this, the text of the
program is translated to a language-independent code. Therefore, at
runtime it does not matter in which language the script was written.
does not only enable creating new scripts, but makes it possible to use
freely the entire accumulated collection of scripts that many
The main idea put into the new scripting language was to
ensure maximum reliability and predictability of the scripts being run.
The PTL language is built
so as to minimize the possibility of making a mistake in the text of a
user's script-the potentially dangerous points will be detected even
script is tested or launched.
Regardless of the programming language chosen, the platform
works with verified managed code while running the script. This
enables proper handling of errors that cannot be detected before the
script is run. This means the program will not fail and will not
perform any unwanted
operations that might be due to critical errors or damage caused by
another program, for which the account holder would eventually have to
The PTL Builder IDE will serve well both financial experts
and programmers thanks to its support of different programming
languages and provided tools
such as tester and debugger.
2.4. Solution Comparison
The above IDEs have their specific feature sets. The table
below provides a summary comparison of the capabilities offered by
3. Approaches for Creating Automated Trading Systems and Recommendations for Using Them
It hardly needs mentioning that choosing an information and
trading platform should be taken with all seriousness. For those who
plan to use an automated
trading system in their business, below are some points I would
recommend considering, based on my personal experience.
3.1. Choosing a Working Environment
First of all, define the type of tasks the automated trading system is to perform. These could be:
Actual trading: opening and closing positions in selected instrument(s).
Secondary support-type functions. These could include placing
protective orders, creating and sending out reports of notifications.
Analyzing the market with different technical analysis tools using your own algorithm.
Now, after you have studied user comments on the Internet and
perhaps consulted your broker, proceed to getting the feel of the
products offered. I
strongly encourage you not to just have a cursory look, but to test the
system for a day of two, thankfully, most of the large companies will
let you sign
up for a demo account for testing. Pay attention to both the
convenience of the IDE and the tools that go with it, and to
reliability and security of the
control programs created with the IDE.
3.2. Creating a Control Program
If you are planning to create your own scripts, take the time
to study the documentation for the programming language and the IDE.
Naturally, for an
automated trading system to be expertly organized, the scripts should
be written by qualified professionals in the field of programming and
case you wish to use one of the classic programs, remember that most of
them are of trial, demonstration nature. They are good for testing the
trading system or to be used as a basis for your own programs, but as
self-sustaining, ready-to-use solutions they are of little avail.
If you decide to use programs written by third-party
developers, keep in mind that good solutions will have to be paid for.
The cost of one innovative
strategy varies between $300 and $500, but the price for fine-tuned
strategies that use advanced mathematical and economic techniques and
winners and runners-up of automated trading championships may exceed
3.3. Testing Scripts
When using an automated trading system, always test your scripts. The procedure can be as follows:
1. Test the program in a script tester (if such facility is
available in your IDE) several times, varying the chart period, the
instrument being traded,
and the program settings. Try to model the conditions close to the
actual state of the market.
2. Test the script in a demo account (if such an opportunity
is available). At this stage, it is important to let the program run
for a sufficiently long
time (it is defined by the period of the chart). Do not stop the test
if the program has at once produced a big gain or a big loss. The
usefulness of the
script can only be estimated after it has worked for a significant
amount of time.
3. Run the script in the live account. At this stage, it is
not advisable to interfere with the script-for example, close the
positions it has opened or
modify their settings-or you can upset the internal logic of the
3.4. How Not to Fall Prey to Tricks When Choosing a Script
Remember that there are no absolutely perfect advisers. So, do
not let them sell you the Brooklyn Bridge-if you had a system that
brings in fabulous
profits, would you sell it? There is only one advice-a rigorous
comprehensive testing will help you get the right impression about the
Usually, script vendors describe their products with the
results of their own testing. In most cases, however, such results are
very slanted. Remember
that testing should always be performed on several histories, or you
can simply adjust to one history fragment and show sky-high results.
Based on the NFL
theorem, it is fair to say that it is impossible to create a script
that would the best of all those existing, in all instruments.
Some professional programmers use sophisticated mathematical
tools to endow their programs with artificial intelligence-neural
networks, forecasting and
evolutionary algorithms are no longer surprising. I would not recommend
overestimating such systems-complex forecasting algorithms are very
errors and parameter settings, while simple schemes are not of much
help to the advisor when it comes to generating trade signals, and can
only be used to
raise the price of the script.
In this article, I neither discuss any programming rules for
creating the advisors, nor the specifics of writing scripts in a
particular language. On
these subjects, there are whole books written as well as a number of
articles. My aim was to present several points which I think to be
quite important but
which have not been sufficiently covered in existing publications.
So, are automated trading systems your ally or enemy? When
used carefully and without hasty judgments, an automated trading system
can facilitate the
financial expert's work and bring in certain profits. But when used
incorrectly, incompletely tested, or having settings changed
frequently, the automated
trading system can lose the money you entrust to it.
Remember that an automated trading system is not going to do
your job for you without any effort on your part. Use it to solve your
existing problems and
not add new ones.
1. MetaQuotes — developer of MetaTrader, MQL2 and MQL4
2. TradeStation — developers of TradeStation and EasyLanguage
3. PFSoft — developers of ProTraderFX, ProTrader2 and ProTraderLanguage
by Nikita Laukhin
Automated Trading and Scripts Analyst of PFSoft Company.