In Kinzel/mt5r: R and MT5 integration by socket connection

knitr::opts_chunk$set(
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High-Frequency Trading with mt5R

It's an pretty naive example to check the viability of high-frequency trading.

How we will test it

We will run 100 times the function MT5.Quick_GetSymbol() too check how long will take every loop, and will calculate how many times this function will be used in 1 second interval.

Sending order > MT5 fetching data > Receiving data, for every loop.

First let's load mt5R.

library(mt5R)

Run the loop.

iCnt <- 0; dtVec <- as.integer()

while(iCnt < 100)
{
  TableEx <- MT5.Quick_GetSymbol("EURUSD", iTF = 1, iRows = 10)
  dtVec[iCnt <<- iCnt + 1] <- Sys.time()
}

What is inside of TableEx?

print(TableEx)

Now we will check the results.

Dates <- as.POSIXct(dtVec, origin = "1970-01-01")
Secs <- as.integer(strftime(Dates, format = "%S")) ##Interested only on seconds
table(Secs)

Only one second interval was fully used - the middle one.

Answering the first question, how many times inside of 1 second the function MT5.Quick_GetSymbol() was used?

InterestedNumber <- table(Secs)[2]
print(InterestedNumber[[1]]) ##only the number

How long, in average, MT5.Quick_GetSymbol() takes in milliseconds every run?

1000/InterestedNumber[[1]]

The result is relative for every spec and parameters.

This was a naive example, focused in fetch data. Expert Advisors use a lot of computation, functions and every kind of models. The result demonstrate how powerful its the socket connection.

Kinzel/mt5r documentation built on March 25, 2021, 9:57 p.m.