https://github.com/OpenTrading/OTMql4Fix/
This package allows the OpenTrading Metatrader-Python bridge (https://github.com/OpenTrading/OTMql4Py/) to communicate with outside applications that speak the FIX protocol. FIX is emerging standard for formatting messages for asynchronous communications between financial and trading applications: http://fixprotocol.org
This project builds on the FIX parser:
http://github.com/dmitryme/fix_parser
and builds on OTMql4Py, and requires that as a pre-requisite.
There are no pre-requisites in your Python other than ctypes,
which is now a part of the Python standard library. The fix_parser
works under Windows and Linux, so you can use it from Mt4 under Windows,
and use the fix_parser again in the client programs that communicate to Mt4,
under Windows or Linux.
The current code offers only the ability to format and parse FIX messages: you will still need a communications mechanism to asynchronously send and receive these formatted messages, such as OTMql4Fix: https://github.com/OpenTrading/OTMql4Fix/
This is a work in progress - a developers' pre-release version.
It works on Mt4 builds > 6xx, but the documentation still needs to be done, as well as more tests and testing on different versions. Only Python 2.7.x is supported.
The original idea for this project was to make a Mt4<->FIX bi-directional bridge based on an existing C-coded gateway: Http/sourceforge.net/projects/fixmt4gateway/files/fixGateway-mt4.zip But that code has many problems, and is an incomplete, hard-coded, partial implementation of FIX.
A better, more complete, Fix parser that is multi-FIX-version is:
http://github.com/dmitryme/fix_parser
which allows FIX to be cleanly integrated into Python. The code is very
efficient, and uses Python's ctypes import mechanism to expose
C/C++ code directly into Python. We expect this code to be faster
than code based on QuickFix (http://www.quickfix.org) which uses SWIG,
but we have not yet benchmarked the code.
We have simply compiled the fix_parser code according to its instructions
and have included the necessary glue to make it work under OTMql4Py,
and it install it the way Mt4 requires.
There are no changes to the fix_parser code itself.
To recompile the binaries we used MSVS2010Express from Microsoft,
and cmake from http://www.cmake.org:
http://www.cmake.org/files/v3.2/cmake-3.2.2-win32-x86.zip
The fix_parser.dll uses the libxml2 libraries from http://www.xmlsoft.org,
and we used the compiled DLL supplied with the fix_parser distribution.
The project wiki should be open for editing by anyone logged into GitHub: Please report any system it works or doesn't work on in the wiki: include the Metatrader build number, the origin of the metatrader exe, the Windows version, and the Python version and origin of the Python. This code in known to run under Linux Wine (1.7.x), so this project bridges Metatrader to Python under Linux.
For the moment there is no installer: just "git clone" or download the zip from github.com and unzip into an empty directory. Then recursively copy the folder MQL4 over the MQL4 folder of your Metatrader installation. It will not overwrite any Mt4 system files.
You will then need to copy the required DLLs from lib/windows-x86
into your Windows system folder (e.g. c:\windows\system32).
You may get away with copying them to any directory that is in your
Windows PATH environment variable, but your mileage may vary.
Tests are yet to be written, but look at the example.py file in the
MQL4/Python/OTMql427 directory.
Please file any bugs in the issue tracker: https://github.com/OpenTrading/OTMql4Fix/issues
Use the Wiki to start topics for discussion: https://github.com/OpenTrading/OTMql4Fix/wiki It's better to use the wiki for knowledge capture, and then we can pull the important pages back into the documentation in the share/doc directory. You will need to be signed into github.com to see or edit in the wiki.