EA in two brokers mt4

That will require running TWO EAs that talk to each other.

It's called arbitrage, and that type is (perhaps) called geographical arbitrage.

I'm getting (subscribed to) spam advertising an EA for FX Arbitrage (probably triangular arbitrage) for several days now. http://www.forexarbitrages.com

I am not recommending this, have no connection, and realise that it's OT for this forum. It could well be a scam, too. However, it DOES show that this is not a new idea.

As there are pro traders with faster internet, faster computers & deeper pockets than most of this forum, the opportunities will get soaked up pretty quickly by the big boys.

I have considered it myself, and indeed developed an indicator to show triangular arbitrage opportunities, based on 3-way round trip price.

Not quite what you wanted, but some might find it interesting ...

//+---------------------------------+
//|              BREW_RoundTrip.mq4 |
//+---------------------------------+
#include <stdlib.mqh>
string kCommonCurrencies[] = {"AUD", "CAD", "CHF", "EUR", "GBP", "NZD", "USD", "JPY"};
//#include <LibUtil.mqh>
#property  copyright "Copyright © 2010, Brewmanz"
#property link      "http://www.metaquotes.net/"

#property indicator_chart_window
//#property indicator_buffers 8
//#property  indicator_color1 Silver
//#property  indicator_width1 1

//---- input parameters
//extern int TimePeriodMinsOr0_NotWorking=0;
extern int ScreenCorner_0TL_TR_BL_BR3=0;
extern int XOffset=0;
extern int YOffset=20;
extern int YSpacing=20;

string kOBJNAME = "RoundTrip";
//---- display buffers
//double V1BuffP25[];

string BaseCurrKey = "~~~";
int fontSize=10;
string fontName="Courier New";
color fontColour=DimGray;//Silver;

bool ok;
int err;
//---- work buffers
//double TempBuffer2[];
//+-------------------------------------------+
//| Custom indicator initialization function  |
//+-------------------------------------------+
int init()
{
   //Print("Init() starting");
   string short_name;
//---- 1 additional buffer used for counting.
//   IndicatorBuffers(8);
//---- indicator line
//   SetIndexStyle( 0, DRAW_ARROW, EMPTY, indicator_width1, indicator_color1);
//   SetIndexBuffer(0,V1BuffP25);
//   SetIndexArrow( 0, kTICK25);
//---- name for DataWindow and indicator subwindow label
   short_name="BREW RoundTrip(" + ")";
   IndicatorShortName(short_name);
   //SetIndexLabel(0,"P+25");
   //SetIndexDrawBegin(0,0);
   
   Comment("...", TimeToStr(TimeLocal(), TIME_DATE | TIME_SECONDS));
   int n = DeleteAllMyObj(kOBJNAME);
   ok = true;
   int ixC;
   string objName;
   objName = kOBJNAME+BaseCurrKey;
   ok = ok && ObjectCreate(objName, OBJ_LABEL, 0, 0, 0);
   ok = ok && ObjectSet(objName, OBJPROP_CORNER, ScreenCorner_0TL_TR_BL_BR3);
   ok = ok && ObjectSet(objName, OBJPROP_XDISTANCE, XOffset);
   ok = ok && ObjectSet(objName, OBJPROP_YDISTANCE, YOffset);
   ok = ok && ObjectSetText(objName, "Hi, I\'m " +objName, fontSize, fontName, fontColour);
   for(ixC=0; ixC<ArraySize(kCommonCurrencies); ixC++)
   {
      objName = kOBJNAME+kCommonCurrencies[ixC];
      ok = ok && ObjectCreate(objName, OBJ_LABEL, 0, 0, 0);
      ok = ok && ObjectSet(objName, OBJPROP_CORNER, ScreenCorner_0TL_TR_BL_BR3);
      ok = ok && ObjectSet(objName, OBJPROP_XDISTANCE, XOffset);
      ok = ok && ObjectSet(objName, OBJPROP_YDISTANCE, YOffset + (1+ixC) * YSpacing);
      ok = ok && ObjectSetText(objName, "Hi, I\'m " +objName, fontSize, fontName, fontColour);
   }
   if(!ok)
   {
      err = GetLastError();
      Comment(TimeToStr(TimeLocal(), TIME_DATE | TIME_SECONDS), "init Something not ok @ ", ", err=", err, ErrorDescription(err));
   }
   else
      Comment(TimeToStr(TimeLocal(), TIME_DATE | TIME_SECONDS), "init ok");
//----
   //Print("Init() ending");
   return(0);
}
//+--------------------------------------+
int deinit()
{
   int n = DeleteAllMyObj(kOBJNAME);
//----
   Print("deinit done <", n, ">");
   //Print("deinit() ending");
   Comment("");
   return(0);
}
int DeleteAllMyObj(string pPrefix)
{
   int res = 0;
   string tags[];
   ArrayResize(tags, ObjectsTotal());
   int ixTags = 0, ix;
   for(ix = 0; ix < ObjectsTotal(); ix++)
      if(StringFind(ObjectName(ix), pPrefix) == 0)
      {
         tags[ixTags] = ObjectName(ix);
         ixTags++;
      }
   for(ix = 0; ix < ixTags; ix++)
      ObjectDelete(tags[ix]);
   
   return (ixTags);
}
//+--------------------------------------+
int start()
{
   //Print("Start() top");
   //Print("Init() starting");
   string short_name;
//---- 1 additional buffer used for counting.
   IndicatorBuffers(8);
//---- indicator line
   int limit;
   int counted_bars=IndicatorCounted();
//---- last counted bar will be recounted
   if(counted_bars>0) 
      counted_bars--;
   limit=Bars-counted_bars;
   int ix, ixL;
   for(ix = limit - 1; ix >= 0; ix--)
   {
      // umm no history to worry about
   }
//---- name for DataWindow and indicator subwindow label

   ok = true;
   int ixC;
   string objName, msg, curr3;
   curr3 = BaseCurrKey;
   objName = kOBJNAME+curr3;

   string currL = StringSubstr(Symbol(), 0, 3);
   string currR = StringSubstr(Symbol(), 3, 3);
   double bidLR = MarketInfo(currL+currR, MODE_BID);
   double askLR = MarketInfo(currL+currR, MODE_ASK);
   double bidL3, bid3R, askL3, ask3R, inv;
   msg = StringConcatenate("BaseBid=",
         DoubleToStr(bidLR, Digits),
         ", Ask=",
         DoubleToStr(askLR, Digits),
         ", d=",
         DoubleToStr(askLR-bidLR, Digits));
   ok = ok && ObjectSetText(objName, msg, fontSize, fontName, fontColour);

   for(ixC=0; ixC<ArraySize(kCommonCurrencies); ixC++)
   {
      curr3 = kCommonCurrencies[ixC];
      objName = kOBJNAME+curr3;

      bidL3=0; bid3R=0; askL3=0; ask3R=0;
      if(bidL3==0)
         bidL3 = MarketInfo(currL+curr3, MODE_BID);
      if(bidL3==0)
      {
         inv = MarketInfo(curr3+currL, MODE_ASK);
         if(inv != 0)
            bidL3 = 1.0 / inv;
      }
      if(bid3R==0)
         bid3R = MarketInfo(curr3+currR, MODE_BID);
      if(bid3R==0)
      {
         inv = MarketInfo(currR+curr3, MODE_ASK);
         if(inv != 0)
            bid3R = 1.0 / inv;
      }

      if(askL3==0)
         askL3 = MarketInfo(currL+curr3, MODE_ASK);
      if(askL3==0)
      {
         inv = MarketInfo(curr3+currL, MODE_BID);
         if(inv != 0)
            askL3 = 1.0 / inv;
      }
      if(ask3R==0)
         ask3R = MarketInfo(curr3+currR, MODE_ASK);
      if(ask3R==0)
      {
         inv = MarketInfo(currR+curr3, MODE_BID);
         if(inv != 0)
            ask3R = 1.0 / inv;
      }
         
      if(bidL3==0 || bid3R==0 || askL3==0 || ask3R==0)    
      {
         msg = StringConcatenate(curr3, "(Not 3rd)");
      }
      else
      {
         double bid3 = bidL3*bid3R;
         double ask3 = askL3*ask3R;
         msg = StringConcatenate(curr3, " dBid=",  
            //DoubleToStr(bidL3, 5), "*", DoubleToStr(bid3R, 5), "=",  
            DoubleToStr(bidLR-bid3, 5), 
            ", dAsk=", 
            //DoubleToStr(askL3, 5), "*", DoubleToStr(ask3R, 5), "=",  
            DoubleToStr(ask3-askLR, 5),
            //", d=", 
            //DoubleToStr(ask3-bid3, 5),
            "");
         if(bid3 > bidLR)
            msg = msg + " *B*";
         if(ask3 < askLR)
            msg = msg + " *A*";
      }
      ok = ok && ObjectSetText(objName, msg, fontSize, fontName, fontColour);
   }
   if(!ok)
   {
      err = GetLastError();
      Comment(TimeToStr(TimeLocal(), TIME_DATE | TIME_SECONDS), "start Something not ok ", err, ErrorDescription(err));
   }
//----
   return(0);
}

Diferent trading platform like ninja trader perhaps.

Alternatively set up a feed into a Visual Basic Platform like Excel and communicate through a virtual harddisk file with the MT4 platforms.