+7 906 906 18 20 Envelop 5927e2bc4f7195a77dda21f7859ed9d3bf9c3c724f49439b85f191cfc618519c info@megatrader.org
en

Selection and setting of sources of leading quotes

For successful realization of one-legged arbitrage strategies, like Forex Arbitrage or Binary Options Arbitrage, it is necessary to use sources of leading quotes. The main requirement for them is that quotes from these sources come to the trading computer before the quotes from the broker. The program Megatrader/BinaryTrader will continuously compare these quotations and when enough difference appears, automatically open deals. In this article we will describe the fast sources that can be used in Megatrader and BinaryTrader programs when implementing arbitrage strategies.

Review of Leading quotes sources
  1. SaxoTrader is a trading terminal from Saxo Bank. Usually faster than MetaTrader terminals. In the terminal, a large number of various financial instruments are available from various stock exchanges and over-the-counter markets: currencies, CFDs, indices, stocks, futures, ETF, etc. Demo account can be easily opened - just fill out the form on the company's website. However, you need to pay attention that for the real-time SaxoTrader demo account only Forex quotes are delivered. All other instruments: CFDs, stocks, indexes, etc., are delayed. To receive them in real time, you need to open a real account.
  2. Integral is an independent trading platform that unites various participants of the Forex market into a single trading network. The rate of quotations is comparable with SaxoTrader. Only major currency pairs are quoted. The speed of the source is sometimes sufficient for arbitration. The main advantages are that it is free of charge, does not require registration and is as simple as possible in connection.
  3. CQG is the largest provider of stock data and developer of professional exchange trading terminals CQG Trader and CQG Integrated Client. By the speed of quotations CQG surpasses both SaxoTrader and Integral. Quotes from major exchanges are available in terminals: CME, NYMEX, COMEX, ICE, CBOT, Eurex, etc. The rate of quotations is sufficient for arbitrage. It is possible to obtain demo access to the terminal, however with a limited number of available financial instruments. The cost of real access is 40-200 dollars, depending on the number of connected exchanges.
  4. LMAX is an independent trading platform for the Forex market, which provides API access. The rate of quotations is commensurable with CQG. For arbitration requires a real account of 10,000 dollars. Available quotes of currencies, metals and major indices.
  5. Rithmic is one of the fastest providers of stock data. Connection via the Rithmic API is currently the fastest way to get leading quotes. It is possible to obtain a demo access. The connection module Rithmic to the programs Megatrader and BinaryTrader is available on request.
Connection to SaxoTrader
  1. First you need to download and install the trading terminal SaxoTrader 2. You can download it from the official site http://www.saxobank.com (http://ru.saxobank.com - Russian version of the site). There you can register a demo account for a period of 20 days. In the future, it can be re-opened an unlimited number of times.

  2. When you start SaxoTrader for the first time, you need the English language of the terminal and make regional settings in accordance with the figure:

  3. For each instrument whose quotations you want to export to the Megatrader or BinaryTrader program, you need to open a separate "Trade Tickets" window.

  4. When setting the advanced tool in the Megatrader or BinaryTrader program, it is enough to specify its name in the SaxoTrader terminal (for example, for the "EUR / USD" pair we specify "EURUSD").

  5. To start exporting quotes from SaxoTrader to the Megatrader or BinaryTrader program, select "Connect to SaxoTrader" in the "Connection" menu. When this command is executed, the Megatrader / BinaryTrader program will launch the SaxoExporter module, which exports the quotes from SaxoTrader to the program. The icon of the running module appears at the bottom of the screen in the tray:

  6. If you need to add the "Trade Tickets" box after the export is started, you will need to restart the export in the SaxoExpotert module to start exporting quotations from it: click the "Stop" button and then "Run":

Connection to Integral
  1. To connect to Integral, just specify Integral as the leading source in the MegaTrader / BinaryTrader settings, and select the desired currency pair from the list in the tool settings.

  2. To start exporting quotes from Integral to the Megatrader or BinaryTrader program, select "Connect to Integral" in the "Connection" menu. This will automatically launch the IntegralExporter helper module, whose icon appears in the tray:

    If after the start of the export you need to change the tool or start the export of a new tool in another instance of the program (remember that up to 20 Megatrader or BinaryTrader can be started on one computer at the same time), then you will need to restart the export by clicking the "Stop" button, And then "Start" in the IntegralExporter:

Connection to CQG

Data exchange between CQG (CQG Trader, CQG QTrader, CQG FX, CQG Integrated Client) terminals and Megatrader / BinaryTrader is carried out using DDE dynamic data exchange technology. By default, all CQG terminals, with the exception of CQG Trader, communicate with DDE. To enable DDE exchange in the CQG Trader, you need to make a request to the support service.

  1. First you need to access the terminal (login and password). To gain access, you need to open a demo or a real account with any broker working with CQG, for example, AMP: http://www.ampfutures.com/platforms/cqg-qtrader. In addition, it is possible to order demo access to the terminals directly on the CQG company website.

  2. We start the CQG terminal. First of all, you need to make sure that the required trading instrument is broadcast in the terminal. To do this, it is enough to see if its quotes are displayed in the terminal. If the required tool is not available, you should contact support.

  3. In the settings of the advanced tool in the program Megatrader or BinaryTrader it is enough to indicate its name in the CQG terminal.

  4. To connect to CQG in the Megatrader / BinaryTrader program, select "Connect to CQG" in the "Connection" menu.

    The following video shows the connection of the Megatrader program to the CQG QTrader terminal for forex arbitrage:

    Video: Connection of the Megatrader program to the CQG QTrader terminal.

In the CQG trading terminal, a large number of all kinds of trading instruments are available from various exchanges, however, for arbitrage usually only futures for major currencies, metals and indices are used. Below is a list of codes of the most popular futures:

EU6 – futures on EURUSD;
BP6 – futures on GBPUSD;
CA6 – futures on USDCAD;
DA6 – futures on AUDUSD;
RU6 – futures on Russian ruble;
GCE – gold futures;
DD – futures on the DAX index;
EP – futures on the S&P500 E-mini.

Let's see how the full codes of futures are formed in CQG. The formula is as follows: first there is a short futures code, then - the month code (one character) and at the very end - the year code (one digit). For example, the full code of the March futures on EURUSD in 2017 looks like this: "EU6H7", where "EU6" is the instrument code, "H" means the month of March, and the figure "7" determines 2017. Similarly, the code for the March futures on the DAX index will be "DDH7".

Here are the designations of all the months:

January - F, February - G, March - H, April - J, May - K, June - M, July - N, August - Q, September - U, October - V, November - X, December - Z.

Full information about all codes of traded instruments can be found on the CQG website at http://help.cqg.com/fcm/symbols.xlsx

LMAX connection
  1. First, you need to register a demo or real account on the LMAX website: https://register.london-demo.lmax.com/registration/LMB/. You will be sent a login and password access.

  2. In the program Megatrader / BinaryTrader it is necessary to choose as the leading source of LMAX and select the necessary trading tool from the list.

  3. To connect the Megatrader or BinaryTrader program to LMAX, select "Connect to LMAX" in the "Connection" menu. This will automatically open the "LMAX Exporter" module window in which you need to enter the Login and Password received during registration and press the "Start" button:

    The following video shows the connection of Megatrader to LMAX:

    Video: Connection of Megatrader to LMAX.
Rithmic connection

The Megatrader / BinaryTrader program is connected to Rithmic via the .NET API.

  1. First you need to access the Rithmic API. This can be done in two ways.

    The first is to open a demo or real account in a brokerage company that provides access to Rithmic, for example, at ampfutures.com. However, you must specify that you need API access through the .NET platform in C #. As a result, you will be given a login and password for access.

    The second way is to register demo access to the RTrader terminal on ampfutures.com. On the e-mail specified at registration, login and password will come to access this terminal. Then you need to load and start the RTrader terminal. During the installation, you must agree with the proposed agreements. After that, login and password become relevant and can be used for API access.

  2. In the Megatrader / BinaryTrader program it is necessary to select Rithmic as the leading source, and for the trading instrument to specify the name of the exchange and the code of the instrument. For example, for the futures on EURUSD expiring in March 2017, you need to specify the exchange code "CME" and the futures code "6EH7".

    As a trading instrument, as a rule, you should choose the nearest futures for the desired asset.

  3. To connect to the flow of quotations Rithmic, in the program Megatrader or BinaryTrader you need to select the menu item "Connection -> Connect to Rithmic". This command will automatically start the RithmicExporter module. In the window of this module in the fields "User" and "Password" it is necessary to enter the login and password received when registering the account:

    On the "Settings" tab in the "AppName" column, you must specify an arbitrary application name, for example, "RithmicTest":

    After that, you can press the "Start" button and the data from Rithmic will start to flow into the program.

The codes of the necessary tools can be searched in the RTrader terminal.

The full codes of futures in Rithmic are formed by analogy with the codes in CQG: first there is a short code, then - the code of the month, at the end - the code of the year. For example, the full futures code for EURUSD with expiration in March 2017 will be "6EH7", and the futures on EURCHF will be "RFH7". It should be noted that the short codes of futures in Rithmic differ from the codes in CQG.

Below are the codes of the main tools in Rithmic:

Futures for currency pairs:

6A – futures on the Australian dollar;
6B – futures on the British pound;
6C – futures on the Canadian dollar;
6E – futures on the euro;
6J – futures on the Japanese yen;
6N – futures on the New Zealand dollar;
6R – futures on the Russian ruble;
6S – futures on the Swiss franc;
DX – futures on the US dollar index;
RF – futures on the euro to the Swiss franc;
RP – futures on the euro to the British pound;
RY – futures on the euro to the Japanese yen.

Futures on energy carriers:

BRN – futures for crude oil brand Brent;
CL – futures for crude oil brand Light Sweet;
HO – futures for heating oil;
NG – futures for natural gas;
WTI – futures for WTI crude oil;
XRB – futures for gasoline.

Futures for grain products:

ZC – futures for corn;
ZL – futures for soybean oil;
ZM – soybean futures;
ZO – futures for oats;
ZR – futures for brown rice;
ZS – futures for soybeans;
ZW – futures for wheat.

Futures for meat products:

GF – futures for livestock;
HE – futures for lean pork;
LE – futures for live cattle.

Futures for metals:

ALUM – futures for aluminum;
COPP – futures on copper;
GC – gold futures;
GOLD – gold futures;
HG – futures on copper;
LEAD – lead futures;
NICK – nickel futures;
PA – palladium futures;
PL – futures for platinum;
SI – futures for silver;
ZINC – futures for zinc.

Futures for consumer goods:

C – cocoa futures;
CC – cocoa futures;
CT – cotton futures;
JO – futures for orange juice;
KC – futures for coffee;
LB – futures for timber (sawnwood);
RC – Robusta coffee futures;
SB – futures for sugar;
W – futures for white sugar.

Index futures:

ER2 – futures on the mini contract index Russell;
ES – futures on the mini contract index SP500;
FCE – futures on the index of CAC 40;
FDAX – futures on the index DAX Germany;
FESX – futures on the Dow Jones Eurostox index 50;
FSMI – futures for the FSMI index Switzerland;
FSTX – futures on the Dow Jones Stocks 50 index;
FTSE – Futures on the index FTSE 100;
HSI – futures on the index Hang Seng;
IBX – futures for the IBEX index 35;
MC – futures on the mini contract of the index SP MIDCAP 400;
MDAX – futures on the mini contract of the DAX Germany index;
MHI – futures on the mini contract of the index Hang Seng;
NI – futures on the index Nikkei 225 Japan;
NKD – futures on the index Nikkei 225 Japan;
NQ – futures on the mini contract of the NASDAQ 100 index;
VIX – futures on the stock market volatility index SP 500 VOLATILITY;
YM – futures on the mini contract of the Dow Jones index;
RI – futures on the RTS index.

Month designations:

January - F, February - G, March - H, April - J, May - K, June - M, July - N, August - Q, September - U, October - V, November - X, December - Z.

If quotes of any instrument do not arrive in Megatrader / BinaryTrader, then you need to make sure that the trading tool is available in the RTrader terminal. If it is not available, you should write to the RTrader support team asking for its connection.