Futures volume indicator for MT4
How to install: download from codebase, compile.
In my profile there is a link to a dealer who provides quotes for futures. Go there, open an empty real and get a month of futures quotes without any fees.
Or... PDF file in attachment of this post, download it in terminal\config folder and create demo in brokerage company which indicated in it - use free and untimely quotes delayed by 15 min.
Or... run the download script, download the history of futures (history is updated once a day at the end of the trading session), use up to date data for free as long as you can (similar to SOT, and other nonsense).
continued...
Full description: Quotes on currency futures (fAUDUSD fCADUSD fCHFUSD fEURUSD fEURGBP fEURJPY fGBPUSD fNZDUSD fUSDJPY fUSDCAD fUSDCHF) are glued, and(f6EM3 f6EU3 f6EZ3) short/ long by 6E EUR. They come as a standard stream of quotes for MT, and are split into Bid\Ask and Last == fEURUSD_L (mask "_L"). For the "flipper" instrument we get the traded volume (Level 1).
The CME_FUTURES_SAVER Expert Advisor should be set preferably for the EUR and for weeks (because the size of files is a week), and we do not touch it. So this advisor scans the "market overview" finds all instruments futures and writes their data in a file.
Inside the minute, all volumes at a certain price are summed up in the direction (Short, Long) and at the end of it are written into a binary file in the following format: 4 bytes = opening time of the minute, 4 bytes = offset in full (4 characters) pips from the opening price of the minute, 4 bytes = volume short, 4 bytes = volume long. Thus we have the highest available resolution (accuracy), which MT4 terminal allows us to have.
The CME_FUTURES_VOLUME indicator reads history from files, restores and displays the market depth of traded volumes (level 1) for any TF. Or it collects current quotes from futures instruments and displays changes in online mode.
CME_FUTURES_DOWNLOAD script is intended for automatic downloading of history files from web-server. History is updated once a day at 01:30 Moscow time. So if you have a history skip, you can always download it again.
Since this indicator works for 2 or 3 instruments simultaneously (Bid\Ask|Last|[Spot]), for timely updates of the table it has a built-in tick generator function, which I took from here:https://forum.mql4.com/ru/52121/page6# 809489 It works fine for XP, but for XP you will need an external generator. Use this code for that:
//+------------------------------------------------------------------+ //| iTicks.mq4 | //| Copyright © 2009, MetaQuotes Software Corp. | //| http://www.metaquotes.net | //+------------------------------------------------------------------+ #property copyright "Copyright © 2009, MetaQuotes Software Corp." #property link "http://www.metaquotes.net" #import "user32.dll" int RegisterWindowMessageA(string lpstring); int PostMessageA(int hWnd,int Msg,int wParam,string lParam); #import extern int delay_MSecond = 200; #define WM_COMMAND 0x0111 //+------------------------------------------------------------------+ void init(){ while(!IsStopped()){ PostMessageA (WindowHandle (Symbol(), Period()), WM_COMMAND, 33324, 0); Sleep(delay_MSecond); } return;} //+------------------------------------------------------------------+ void start(){init();return;}
Save and compile it as an EA, and run it on the same chart where the indicator will be. Or update the chart manually.
How to install: download from codebase, compile.
In my profile there is a link to a dealer who provides quotes for futures. Go there, open an empty real and get a month of futures quotes without any fees.
Or... PDF file in attachment of this post, download it in terminal\config folder and create demo in brokerage company which is indicated in it - use free and untimely quotes delayed by 15 min.
Or... run the download script, download the history of futures (history is updated once a day at the end of the trading session), use up to date data for free as long as you can (similar to SOT, and other nonsense).
I did not notice something in the futures contracts...
How about gold?
Clusterdelta has similar indices for volumes traded for mt4.
works without registration and almost real time. (although there are some delays).
Clusterdelta has similar indices for volumes traded for mt4.
works without registration and almost real time. (although there are some delays)
There's not even anything to compare.
1) KD has a tick flow for futures ?
2) KD has a clear directional decomposition (Short\Long) ?
3) does KD have a Time&Sales tumblr ?
4) are you sure that KD has accurate SME futures and volumes to match ?
KD is free as long as they steal quotes through a lefty broker, but since September they have been paid - see news on their website. Condition of registration - a clear requirement of CME, for each contract we have to report to them if we do not want to drop out of the list of vendors: http: //www.cmegroup.com/market-data/licensed-quote-vendors/
Besides the development of the project is to show the level 2 marketplace from CME (I already have it, now I am doing the transport on MT4), plus in the future a brokerage license there and provide the opportunity to trade. When I will manage to do it I will also reanimate options :).
I have not noticed any futures in the contracts.
What about gold?
fAUDUSD,fCADUSD,fCHFUSD,fEURUSD,fEURGBP,fEURJPY,fGBPUSD,fNZDUSD,fUSDJPY,fUSDCAD,fUSDCHF = gluing futures
f6EM3,f6EU3,f6EZ3 = fEURUSD near/far contracts.
In the future there will also be commodity futures, for now we just probe the market and consequently broadcast the most requested instruments.
FAQ : Или... в аттаче этого поста ЦРВ файл, качаем его в папку terminal\config\ создаем демку в ДЦ который указан в нем - пользуемся бесплатно и безвременно котирами задержанными на 15 мин.
So we need two terminals: one for trading, the second will be a DC with quotes and indicators. Do I understand it correctly? If so, it would be cool to display the data in the first terminal, on which the trade takes place.
Thank you!
The question is how to trade? If you trade during the day, then once a day, after 30-35 min from the start of the trading session, it is enough to download a data file to your trading terminal, make a forecast and put orders. If you use a free demo (15 min delay), then there is also no point in trading smaller than an hour - the lag is too big. And even in this case there is no sense in creating a connection system between terminals because it is not enough to transmit only volumes in a file - we need quotes, even if they are delayed. Because the correct projection of the futures onto the spot is impossible without taking into account the price discrepancy (the futures price is slightly different from the spot).
At present I'm preparing the modular version of the client part with a detailed description, so that any MCL programmer can create indicators and EAs on this basis without bothering to analyze the implementation. There will be new indicators and Expert Advisors from my side.
This week I will be adding tick indicators, as well as the reworked main indicator with a description of the methods of trading on volumes.
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Published a futures volume indicator in codebase.
https://www.mql5.com/ru/code/10978 - script for uploading history of traded CME futures volumes
https://www.mql5.com/ru/code/10979 - advisor to record volumes in a file
https://www.mql5.com/ru/code/10980 - the futures volumes indicator.
There was a preliminary discussion on the fifth forum: https: //www.mql5.com/ru/forum/10910
There will be a fuller discussion here, bug tracking, description of applications, and associated flooding.