Sub-millisecond execution, institutional infrastructure.

ZeroMQ bridge specifications

The ZeroMQ bridge is the critical link between the strategy engine (running in Docker on Linux) and MetaTrader 5 (running on Windows). Communication occurs over TCP sockets on localhost, eliminating network latency entirely. Messages are serialized using a compact binary protocol that encodes trade commands (OPEN, MODIFY, CLOSE) with full parameters (symbol, direction, lot size, stop-loss, take-profit) in under 100 bytes per message.

The bridge operates in a request-reply pattern: the strategy engine sends a command and blocks until the MT5 EA confirms receipt and processing. This synchronous pattern ensures order integrity -- no command is lost or duplicated. Measured round-trip latency in production consistently falls below 2 milliseconds.

MetaTrader 5 serves as the broker connectivity layer. The MT5 expert advisor is a stateless order executor -- it receives commands from the ZeroMQ bridge, validates them against the broker's trading conditions, and submits them to the liquidity pool. The EA performs pre-submission checks including symbol availability, minimum lot size compliance, margin sufficiency, and trading hours validation.

Order types supported include market orders (immediate execution), pending limit orders, and stop orders. All orders include attached stop-loss and take-profit levels set at the time of submission. Position modifications (stop adjustment, trailing stop ratchet) are handled as separate MODIFY commands through the bridge.

Fill confirmations are returned to the strategy engine through the same ZeroMQ channel, including the actual fill price, slippage (if any), and the broker-assigned ticket number. This data is logged to PostgreSQL for reconciliation and slippage analysis.