For those of you who don't know MetaTrader4, it is the most used Forex trading platform for personal investors. The power of MetaTrader4 is that it contains a programming environment that allows the user to create automated trading agents (called Expert Advisors by MetaQuotes, the company behind this platform). The language is called MQL (MetaQuotes Language), which is a somewhat simplified C++ with Java like compiled intermediate format and a JIT runtime (the so called Terminal). The free MetaTrader4 Terminal comes with a simple yet complete IDE called MetaEditor, which is the de-facto IDE for writing MQL.
The MQL language was basically C in earlier versions. Then MetaQuotes started to push their next generation platform called MetaTrader5 with a improved language MQL5 (with OO capabilities like C++). But they faced extreme difficulty when doing this because of the widespread use of MetaTrader4 and the lack of certain features in MetaTrader5 Terminal. You know that, Python2/3, Perl5/6, etc. Things like these happen. However, a good thing is that MQL4 and MQL5 has been merged and they at least make the language backward compatible.
For more information about MQL you can check out my library mql4-lib and see what problems the language has.
Though the MQL is powerful enough for writing simple EAs, it is a propriety platform and a lot of people want to jump out of the MetaTrader4 jail. They just want to use the MQL trading API and don't want to use the MetaTrader4 Terminal. MetaQuotes used to provide a standalone MQL compiler and C++ SDK for writing clients to interact directly with the MetaTrader4 server. Then they stopped all these and we can only use MetaTrader4 Terminal for executing trades and MetaEditor to compile MQL programs. The Terminal can hold multiple accounts, but only one account can be active. And it is extremely difficult to call into MQL from outside (see a description of this problem). This is understandable since as a commercial offering, it is reasonable to not undermine your own flagship product with another more powerful solution.
The ideal solution to this problem would be resversing the communicating protocol between the client and the server but it is illegal and extremely difficult (the communication is encrypted). Then there are those commercial or open source platforms that are either bindings (C# or Python binding to MQL) or general trading platforms with proxies to MetaTrader4. The implemenation details are not known but based on my years of experience dealing with MetaTrader4, they could be ugly under the cover. So I stick with the MetaTrader4 Terminal but I disable most features and reduce chart history to the smallest as possbile. I want to make this Terminal accessable from the outside.
In recent years, I was trying to build a complex EA and a robust trading
infrastructure to serve a small fund. During the process, basic software
solutions for communication between components and for persistence are needed.
So I created the
bindings
mql-zmq,
mql-sqlite3,
and mql4-redis. The mql4-redis
binding is based on hiredis but the hiredis
library is not designed to be cosumed in a DLL. You have to wrap the library in
a DLL and then use the DLL in MetaTrader. I am not comfortable with this and so
I decided to rewrite the client completely in MQL. The first step is to
implement the REdis Serialization Protocol (RESP) encoder/decoder and then I
found the protocol is a generally useful serialization format so I put it in
the mql4-lib
library. With this format and the ZMQ library, I came up with the idea that we
can use these standard and proven technologies to create a server for
MetaTrader4 and allow existing clients to interact with MetaTrader4 directly.
Think about the widespread use of Redis and the sheer number of Redis client
bindings, suddenly MetaTrader4 is accessable from all these clients, locally or
remotely. If you are using a ZMQ client, you can use inproc, ipc, udp or
any other supported transport to access the server. And you can benefit from ZMQ
features like the server can be down and the client can continue to run waiting
for the server to be up.
The reason that I share this project is to show the power of using standard technologies and the flexibities you can achieve. It could be also a useful reference for writing request/reply type servers that can be accessed by both ZMQ clients and ordinary TCP clients. For those who want to create general trading platforms, this could be a start for a MetaTrader4 proxy.
This server depends on two other libraries: mql-zmq and mql4-lib. Install them first.
Then copy this project to your Projects folder or Scripts folder and compile
Mt4ServerRaw.mq4 and Mt4ServerZMQ.mq4 in MetaEditor.
2017-08-30: Initial version.