Have your app talk to the world – the gloomy world of communication protocols

Well, actually, in this section, I could just say, “in the world of FX automated trading every setup is unique, so go ask your broker.” Of course, I am not going to do this but when it comes to connecting your app to a market maker, electronic communication network (ECN), or any other trading venue, always keep in mind what I said at the beginning of this section.

As you remember from the previous chapter, the FX market is still the most fragmented one from the trading standpoint; so there should be no surprise that its computerized infrastructure is also very fragmented. Even though there’s a standard for exchanging financial information, many trading venues use their own dialects, which simply means extra work in cases where you want to use your application with a different broker. At the same time, many trading venues offer their own APIs and protocols not compatible with...