Comparing Brokers by Expert Advisor Execution Statistics
Summary
The article explains why an Expert Advisor can perform differently across brokerage firms: quote feeds and filtering vary, as do slippage and requote frequency. It proposes comparing brokers with trade-level statistics rather than relying only on a short period of account profit. The suggested measures include opening and closing prices, execution time, slippage, and requotes, alongside the trades themselves.
Its example architecture has Expert Advisors send trade events through a DLL into shared memory, where a separate monitor collects records and calculates statistics. The article describes functions for identifying an EA and reporting deal openings and closings, then outlines how a monitoring application can help compare execution conditions. If results are poor across brokers, the author suggests adjusting EA parameters; persistent underperformance at one broker may justify excluding it from further evaluation.
The approach is technical and specific to an older MetaTrader 4 and Windows setup. Shared memory, DLL access, and broker constraints require careful implementation, and the observed execution statistics do not guarantee future performance. The article also notes that broker rules may restrict automated trading, order protection, or position counts.
Key ideas
- Broker quote feeds, slippage, and requotes can change an Expert Advisor’s realized results.
- Trade-level execution records provide more diagnostic information than account profit alone.
- A monitor can aggregate EA trade data from multiple terminals through shared memory.
- Compare execution time, slippage, and requotes alongside individual trades when assessing brokers.
- Broker rules and the article’s MetaTrader 4 implementation limit how directly its design transfers to other setups.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.