Forex brokers are an essential part of the currency trading process, as they act as an intermediary between the trader and the counter-parties to his trades. All markets need both buyers and sellers, and a Forex broker is needed to bring the buyers and sellers together and make a market.
Care needs to be exercised when selecting a suitable Forex broker, however, as spreads (that's the difference between the buy and sell price which the broker gets to keep) can vary significantly between brokers, thereby making some brokers far more expensive than others. In addition, some brokers will act as market makers and take the other side of a trade themselves.
The best Forex brokers, however, are undeniably those who offer some form of straight through processing (STP), as an STP broker will route a trader's orders directly through to the liquidity provider (banks and other institutions) without any interference. Better still, opting for an STP broker on the Electronic Communications Network (ECN) enables traders' orders to interact with the orders of others on the network to obtain the best competitive price. This means that ECN brokers are generally able to offer the tightest of spreads with the fastest execution, whereas a Forex broker with his own dealing desk may prove quite expensive.
Although MT4 wasn't originally designed with STP in mind, ECN Forex brokers are able to make use of a bridge which connects their server to the network.