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[Maitreya]

Hi,
How common is it for brokers to expose their API (if you are a customer)? Ideally i'd like to not pay too much for the datafeed. I do know there are companies out there that offer a reliable datafeed for 2-5k a month.

I've been slowly building my own trading platform / EA system in C# and i'm now piggy backing off MT4. This is working quite well and allows me to do quite fancy things such as running a simulation automatically many times to try and optimize the parameters.

Also any thoughts / suggestions on the following rough design:

MT4 is my datafeed, i hook up an expert advisor that forwards price action to a local pipe and reads from it order actions (open / close, etc). I then have a GUI application that reads from this pipe (or potentially any others for different brokers) and displays basic chart data and indicators. This application can then push this information to any number of scripts/applications via a local pipe.

Roughly as follow:
MT4 <-> EA+DLL <-> GUI app <-> . Net EA applications

I guess at some point the GUI app could be bypassed, it is mainly meant to be a display for what the EAs are doing rather than a full fledged trading platform.

The pipes could be replaced with tcp sockets trivially to make the whole thing distributed.

Has anyone else ever attempted something similar or is everyone using mql language for their EA needs? I'm a professional programmer and i find mql too limiting

PS: Even though i have been working on this for months now, it isn't near being production ready, so don't ask for a demo or anything or the sort, it is meant for personal use, not commercial or open source.