How to export specific price and volume data from the LMAX level 2 widget to excel

Question

Background - I am not a programmer. I do trade spot forex on an intraday basis. I am willing to learn programming

Specific Query - I would like to know how to export into Excel in real time 'top of book' price and volume data as displayed on the LMAX level 2 widget/frame on - https://s3-eu-west-1.amazonaws.com/lmax-widget/website-widget-quote-prof-flex.html?a=rTWcS34L5WRQkHtC

In essence I am looking to export

1. price and volume data where the coloured flashes occur.
2. price and volume data for when the coloured flashes do not occur.

I understand that 1) and 2) will encompass all the top of book prices and volume. However i would like to keep 1) and 2) separate/distinguished as far as data collection is concerned.

Time period for which the collected data intends to be stored -> 2-3 hours.

What kind of languages do I need to know to do the above? I understand that I need to be an advanced excel user too.

Long term goals - I intend to use the above information to make discretionary intraday trading decisions. In the long run I will get more involved with creating an algo or indicator to help with the decision making process, which would include the information above.

I have understood that one needs to know coding to get involved in activities such as the above. Hence I have started learning C ++. More so to get a hang/feel for coding. I have been searching all over the web as to where to start in this endeavor. However I am quite confused and overwhelmed with all the information. Hence apart from the specific data export query, any additional guidelines would also be helpful.

As of now I use MT4 to trade. Hence I believe to do the above - I will need more than just MT4.

Any help would be highly appreciated.

Answer 1

Yes, MetaTrader4 is still not able ( in spite of all white-label-ed Terminals' OrderBook Add-On(s) marketing and PR efforts ) to provide an OrderBook-L2/DoM-data into your MQL4 / NewMQL4 algorithm for any decision making. Third party software tools' integration is needed to make MQL4-code aware of the real-time L2/DoM-data.

LMAX widget has impressive look & feel, however for your Excel export it requires a lot of programming efforts to re-use it for an automated scanner to produce data for 1 & 2 while there may be some further, non-technical, troubles on legal / operational restrictions for automated scanner to be operated on such data-source. To bring an example, the data-publisher policy restrict automated Options-pricing scanners for options on { FTSE | CAC | AMS | DAX }, may re-visit the online published data-sources no more than once a quarter of an hour and get blocked / black-listed otherwise. So a care and a proper data-source engineering is in place.

Size of data collection is another issue. Excel has some restrictions on an amount of rows/columns that may get imported. Large data-files, the more the CSV-imports may strike these limits. L2/DoM-data, collected for 2-3 hours just for one single FX Major may go beyond such a limit, as there are many records per second ( tens, if not hundreds, with just a few miliseconds between them ). Static file-size of collected data-records take typically several minutes to just get written on disk, so proper distributed processing data-flow-design and non-blocking-fileIO engineering is a must.

Real-time system design is the right angle to view the problem solution approach, rather than just some programming language excersise. Having mastered some programming language is a great move, nevertheless, so called robust real-time system design, and Trading software is such a domain, requires, with all respect, a lot more insights and hands-on experience than to make an MQL4 code run multi-thread-ed & multi-process-ed with a few DLL services for a Cloud/Grid-based distributed processing system.

How much real-time traffic is expected to be there?

For just a raw idea, what the Market can produce per second, per milisecon, per microsecond, let's view a NYNEX traffic analysis for one instrument:

One second can have this wild relief:

And once looking into 5-msec sampling:

How to export

1. Check if the data-source owner legally permits your automated processing.
2. Create your own real-time DataPump software, independent of the HTML-wrapped Widget
3. Create your own 'DB-store' to efficiently off-load scanned data-records from real-time DataPump
4. Test the live data-source >> DataPump >> DB-store performance & robustness on being able to serve error-free a 24/6 duty for several FX Majors in parallel
5. Integrate your DataPump fed DB-store local data-source for on-line/off-line interactions with your preferred { MT4 | Excel | quantitative-analytics } package
6. Integrate a monitoring of any production environment irregularity in your real-time processing pipeline, which may range from network issues, VPN / hosting issues, data-source availability issues to an unexpected change in the scanned data-source format/access conditions.