Market depth with MT4

[nathans]

Hello guys,
Can one use MT4/MT5 to access and store (to disk) market depth tick data?
Thanks, N

 

[Esha.J]

Depth of Market allows users to quickly manage stop levels (Stop Loss and Take Profit) and pending orders of open positions. To do this, enable "One-click trading" in the client terminal's settings. Trade requests are sent from Depth of Market instantly without showing a trading dialog.

 

[HobbyTrading]

Hello guys,
Can one use MT4/MT5 to access and store (to disk) market depth tick data?
Thanks, N

It looks like that MQL5 for MT5 has a function to get the market book: https://www.mql5.com/en/docs/marketinformation/marketbookget
Also look into MarketBookAdd and MarketBookRelease. I haven't worked with these functions myself so I don't know how they operate.
With MQL5 it is possible to write data to a file (e.g. csv file). However, you cannot freely choose the directory where that file will be placed. MQL5 has some limitations on that.

 

[nathans]

It looks like that MQL5 for MT5 has a function to get the market book: https://www.mql5.com/en/docs/marketinformation/marketbookget
Also look into MarketBookAdd and MarketBookRelease. I haven't worked with these functions myself so I don't know how they operate.
With MQL5 it is possible to write data to a file (e.g. csv file). However, you cannot freely choose the directory where that file will be placed. MQL5 has some limitations on that.

Thank you HobbyTrading. rhis is indeed in the right direction. I saw however that:

Trade Orders in Depth Of Market
For equity securities, the Depth of Market window is available, where you can see the current Buy and Sell orders. Desired direction of a trade operation, required amount and requested price are specified for each order.

Do you know whether Depth of Market data is available for Forex pairs?

 

[HobbyTrading]

Do you know whether Depth of Market data is available for Forex pairs?

I might be wrong, but am under the impression that the structure of the order book for forex is different from a order book for stocks, options, or futures. So I don't know whether there is an equivalent of market depth available for forex.

 

[maxinger]

Hello guys,
Can one use MT4/MT5 to access and store (to disk) market depth tick data?
Thanks, N

As far as I know, those market depth data is garbage data.

Analyzing garbage data ---> output will be garbage.

Just focus on the nearest bid-offer rows.

 

[nathans]

As far as I know, those market depth data is garbage data.

Analyzing garbage data ---> output will be garbage.

Just focus on the nearest bid-offer rows.

Totally agree to GIGO!
Could you be more specific on why and how do you know that this is garbage data?

 

[nathans]

I might be wrong, but am under the impression that the structure of the order book for forex is different from a order book for stocks, options, or futures. So I don't know whether there is an equivalent of market depth available for forex.

I am capable to get market depth forex data via IB API...

 

[senumouv]

You will be able to manage your stop loss level or some pending orders by accessing the depth of market with MT4. Haven’t gotten my hands on MT5 yet, I have been running mt4 on Etoro and Fxview. It’s easy to customise stop loss on these platforms for me.

 

[kroxobor]

Hello guys,
Can one use MT4/MT5 to access and store (to disk) market depth tick data?
Thanks, N

Depends on what products you trade. If it is CFD you trade with a dealer, he provides liquidity to you so there is nothing to display except price.