Let me know if I can help in some way develop ENCOG modules for MT5.
Thanks! Yes for sure. I will soon... in a week or so... be opening a forum discussion on the makeup of the Encog real-time protocol. This will be a socketed connection between Encog and an extension that will be placed inside of programs such as MT or NT. Really want to try to get it so that we make a "driver" once for MT/NT and then most of the machine learning stuff can be done "Encog side" and most of the "indicator and finance stuff" is done by MT/NT. I will be seeking input on the best way to go about that.
By the way, a few initial questions about MT.
1. You extend it in C/C++, right?
2. The way that Encog generally gets hooked into Ninja trader is by creating a special indicator. This gives Encog access to the real-time price data, and then Encog returns some sort of indicator depending on what you are training it to do. Then these indicators are used in automated strategies. Would it be similar on MT5? Would you see this as being some sort of indicator?
MetaTrader 4 and 5 has its own programming languages MQL4 and MQL5.
To transfer data between MT and ENCOG I'm recommend using Named Pipes http://www.mql5.com/en/articles/115 they can also be used from MT4 and I hope from NT.
Please take a look on next articles about MT5:http://www.mql5.com/en/articles/27http://www.mql5.com/en/articles/18http://www.mql5.com/en/articles/19http://www.mql5.com/en/articles/197http://www.mql5.com/en/articles/249
You may want to consider explicitely adding Tradestation to the list. It is a very popular platform that's used for real-time trading. They have an extremely active forum and heavily relies on algorithmic trading. The one drawback is that they do not support .net directly. As a result, one has to create a "bridge" between managed and unmanaged code.
If you like to use sockets take a look here:http://www.mql5.com/en/code/169http://codebase.mql4.com/6122
Hope it will help.
I frankly think you should just make a interface type where on could easily bring data to encog (very similar to the ImarketLoader which was in 2.56, but seems to have disappeared in latest versions).
An interface where one could remove any dependency to cache columns etc , and just stream by whatever prefered method his double  would work best than any 1 specialized loader.
Just looking on the right "other" seems to be the winner for real time data shows interfacing would work for everyone.
I will not add it to this list, since this poll has already been running for awhile. But I while check it out and add it to the potential support list. Really what I am looking to do is create a very standard interface for Encog then"native" drivers for each trading platform.
This is actually next on the list after 3.0. 3.1 will focus on the real time interface and signals. Signals, are very applicable to finance, also to things such as speech recognition. Basically any long, varying length stream of numbers is a signal. There are all sorts of interesting machine learning techniques that can be used on signals.
The interface protocol will be very simple. Little more than a double array with perhaps a time index. The time index helps to sync multiple signals, as well as deal with missing samples/ticks. Once I get closer to actually designing and implementing it I will post something to get feedback and suggestions.
Also look for volunteers to help create drivers for each platform. Ideally the drivers will stay fairly "thin".
I'd like to help with MT4,5. I also speak in russian language, so I can try to find more developers on russian side of MQL community. Is any place (forum, IRC, skype etc) where can we discuss client-server interface fundamentally?
Okay that sounds good. I will be beginning on that really soon. I will be posting more on the forum when it begins. Some help on the MT4,5 side would be great.
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