Algorithmic Trading via ZeroMQ: Python to MetaTrader (Subscribing to Market Data)

In this 3rd tutorial, we demonstrate how to set up a "Market Price Server" using ZeroMQ, Python and MetaTrader.

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*** Get the latest updates to the DWX-ZeroMQ-Connector project, troubleshoot your applications, give and get help from fellow algorithmic traders and more, over at the Darwinex Collective Slack Workspace:

Risk Disclosure:

We also demystify the HST binary file format used by MetaTrader to store asset data, and show you how to pull historical data from HST archives directly into Python.

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If you haven't watched the first 2, here they are again:

1) How to Interface Python Trading Strategies with MetaTrader via ZeroMQ

2) Algorithmic Trading via ZeroMQ: Python to MetaTrader (Trade Execution, Reporting & Management)

Contents of this tutorial:
--
1) Setting up a Market Price Server via ZeroMQ
2) Understanding the HST file format
3) Reading historical data from HST files into Python
4) What comes next.

Download the source code from GitHub here:

1) DWZ_ZeroMQ_Connector

2) HST to Python Dataframe

If you consider yourself a talented trader, we'd love to have your strategy listed on our Exchange, enabling you to earn performance fees on investor profits.

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Topics: #algorithmictrading #python #metatrader

[Darwinexchange]

Hi everyone! Just a quick note:

We recently released a successor to the dwx-zeromq-connector project, called 'dwxconnect', adding MetaTrader 5 (MT5) Support as well as enhancing the project itself quite considerably!

Here's the link to DWX Connect on GitHub:

It is recommended that you watch the following presentation for a demonstration of all its capabilities:

All the best,
The Darwinex Team

[hamidyaseen]

pioneering the algorithmic age of finance. much appreciated.

[jackrorystaunton]

I'm excited to use these tools, grateful to Darwinex and ZeroMQ for building them!

[mbongenibhebhe]

Hi, I have been looking for the tutorial on efficient historical data imports. I was wondering if the video is available and where I would be able to find it?
Thank you for the amazing content!

[wirdil]

Thank you for great explenation! Better approach to read hst file would by using np.fromfile():
dt = np.dtype([('time', 'datetime64[s]'), ('open', 'f8'), ('high', 'f8'), ('low', 'f8'), ('close', 'f8'),
('volume', 'u8'), ('spred', 'i4'), ('real_volume', 'u8')])
data = np.fromfile('my_data.hst', dtype=dt, offset=148)
df = pd.DataFrame(data, columns=data.dtype.names)
df.set_index('time', inplace=True)


As always there are multiple ways of doing the same thing in Python.

[joIIay]

Powerful stuff! Thank you so much for making this video!

[notgoodatmathmmm]

HI, is this "connection" between Python and for example MT5 still necessary? Or can we now directly write python code in MT5? (since its 2021 now and i've seen that there was an option for python coding) Thank you for your answer

[BobbyJobling]

Stupid question, but how do you get the spider console to show the autocomplete list as you type?

[jackrorystaunton]

@ 6:51 on the video when I put the EA on the chart, the Experts tab doesn't show that MetaTrader does not publish the Bid/Ask data from the default symbols. Does the market need to be open for this to work? (I'm connected to my broker's server but it's Saturday!)
Edit - those instructions are not for history data. Looking forward to learning how to get the histories!

[潘國龍-nx]

Thanks your great video! I'm exited. Can this method be used for other broker MT4 platform?

[Erni]

Q: Can I run a separate instance of MetaTrader4 on another machine in my local network for the purpose of data feed?
If so... How to access this data feed on my main machine?

[pedroseverin]

Really useful video! Thank you! I've got a question. If I run this on any chart (let's say on EURUSD chart) and I subscribe to the USDJPY data, the robot will send me the current ask/bid from the USDJPY when a new tick arrives in the EURUSD symbol, right? So, in that way, I'm not getting the actual ticks of the USDJPY, but the actual Ask/Bid for each EURUSD tick, right? If that's the case, how could I get the USDJPY tick when the USDJPY tick arrives? Can I have 2 robots running separately with different ports and one of them has Publish_Symbols[1] = {"EURUSD"} and the other Publish_Symbols[1] = {"USDJPY"}?

[jacojoubert]

If I don't miss something, it seems like the history are only from files already downloaded manually through MT and it loads everything in the file. Is there a way to automatically download hst files periodically and for example only load data from the last few weeks?

[alfredtan]

Great & powerful programming skills. What is the difference between &

[elospi]

Hi first thank you for this amazing video i have a question the _filename path where should it point?

[emadsh]

Hello there,
thank you for your amazing program
But how can I access to my account info (such as balance, P/L, ...) with DWX ZeroMQL Connector?
thank you,
Best

[lostlewis]

Do you have anything OS for building/importing the hst files, or is that something that needs to be done separate?

[djsamke]

how do we set the period for which we want the history data, e.g. 2016-2019?

[breakthegenjutsu]

I’m looking to get the MetaTrader 4 platform and use it for testing strategies etc what broker would you recommend to do this and next best when will you make the dwx server compatible with mt5/mlq5