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OrderBook Utilities

OrderBook Utilities is a script, which performs several service operations on order book hob-files, created by OrderBook Recorder.

The script processes a file for work symbol of the current chart. The file date is selected by means of the input parameter CustomDate (if it's filled in) or by the point where the script is dropped on the chart. Depending from the operation, useful information is written into the log, and optionally new file is created.

The operation is selected by the input parameter Operation:

  • Check - verify all records for validity; incorrect books can be received from the terminal quite often, for many reasons; potential errors, which the script is capable of fixing, are listed below; Check operation does not fix the problems, but outputs common information to the log; to view details, enable PrintDetails mode; except for the errors, the operation outputs statistics on books with zero spread and books with overlapped Bid and/or Ask levels; please find examples on the Comments tab;
  • Fix - correct the file by eliminating problematic records (entire book event is removed); critical errors or suspicious data are deleted (see classification below); the fixed version is saved in a file with the same date but double extension.hob.fix;
  • Pack - minify the file; can be useful for sending the file to someone else, and minimizing network traffic; minified file is saved with.hop extension;
  • Unpack - restore a hob-file from minified hop-file;
  • Export - save entire archive as csv-file; can be useful for editing, context search and comparision, merging;
  • Import - restore a hob-file from exported csv-file;


Check types

Critical errors are marked in bold.

  • Duplicates of a book, i.e. 2 exactly matching records (without changes) in a row;
  • Incorrect order of Sell and Buy levels, i.e. they break the structure of 2 halves, each one of which contains only orders of the same type;
  • Incorrect order of prices in either half of the book;
  • Duplicate elements in the book, i.e. with the same prices and types;
  • Empty book;
  • Single level book;

If critical errors are not fixed, the file can not be packed.


Parameters

  • Operation - one of the operation types: Check (by default), Fix, Pack, Unpack, Export, Import;
  • FileFolder - a name of the root folder, where subfolders and files of the market books are stored; by default - "Books"; every subfolder is named according to specific work symbol;
  • UseCommonFiles - an option for processing files from the data folder of the current terminal (false, by default) or from the common data folder for all terminals (true);
  • CustomDate - a day, uniquely identifing the work hob-file (files are created one per day); by default - 0 (in MT5 user interface this is shown as '1970.01.01 00:00:00'), which means, that the day is selected according to the point, where the script was dropped on the chart; for example, if the script was dragged from Navigator and then dropped on 2018.08.01 on a chart, then the file 20180801.hob will be processed; when parameter CustomDate is filled in, then this date is used, and the point where the script is dropped has no effect;
  • MinimalBookSizeFilter - minimal book size to save during Fix operation, by default - 0, i.e. no filter, and books of all sizes will be preserved;
  • PrintDetails - an option to enable detailed logging, by default - false;
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This script is designed to download a long history of cryptocurrency quotes from the Binance exchange. You will find it perfectly suitable if you want once to download the history of cryptocurrencies for charts analyzing, collecting statistics or testing trading robots in the MetaTrader 5 strategy tester, or if you need to update the history not very frequently (for example, once a day or once a week). After running the script, you will have fully featured (but not automatically updated) cryptoc
The News Filter MT5
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OrderManager MT5
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Introducing the Order Manager : A Revolutionary Utility for MT5 Manage your trades like a pro with the all-new Order Manager utility for MetaTrader 5. Designed with simplicity and ease-of-use in mind, the Order Manager allows you to effortlessly define and visualize the risk associated with each trade, enabling you to make informed decisions and optimize your trading strategy. For more information about the OrderManager, please refear to the manual. [ Demo ]  [ Manual ]  [ MT4 Version ]  [ Teleg
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CCFpExt is an extended version of the classic cluster indicator - CCFp. Main Features Arbitrary groups of tickers or currencies are supported: can be Forex, CFDs, futures, spot, indices; Time alignment of bars for different symbols with proper handling of possibly missing bars, including cases when tickers have different trading schedule; Using up to 30 instruments for market calculation (only first 8 are displayed). Parameters Instruments - comma separated list of instruments with a common cu
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PointsVsBars
Stanislav Korotky
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Stanislav Korotky
This indicator predicts rate changes based on the chart display principle. It uses the idea that the price fluctuations consist of "action" and "reaction" phases, and the "reaction" is comparable and similar to the "action", so mirroring can be used to predict it. The indicator has three parameters: predict - the number of bars for prediction (24 by default); depth - the number of past bars that will be used as mirror points; for all depth mirroring points an MA is calculated and drawn on the ch
If you like trading crosses (such as AUDJPY, CADJPY, EURCHF, and similar), you should take into account what happens with major currencies (especially, USD and EUR) against the work pair: for example, while trading AUDJPY, important levels from AUDUSD and USDJPY may have an implicit effect. This indicator allows you to view hidden levels, calculated from the major rates. It finds nearest extremums in major quotes for specified history depth, which most likely form resistence or support levels, a
EvoLevels
Stanislav Korotky
The indicator displays most prominent price levels and their changes in history. It dynamically detects regions where price movements form attractors and shows up to 8 of them. The attractors can serve as resistance or support levels and outer bounds for rates. Parameters: WindowSize - number of bars in the sliding window which is used for detection of attractors; default is 100; MaxBar - number of bars to process (for performance optimization); default is 1000; when the indicator is called from
This is an intraday indicator that uses conventional formulae for daily and weekly levels of pivot, resistance and support, but updates them dynamically bar by bar. It answers the question how pivot levels would behave if every bar were considered as the last bar of a day. At every point in time, it takes N latest bars into consideration, where N is either the number of bars in a day (round the clock, i.e. in 24h) or the number of bars in a week - for daily and weekly levels correspondingly. So,
Most of traders use resistance and support levels for trading, and many people draw these levels as lines that go through extremums on a chart. When someone does this manually, he normally does this his own way, and every trader finds different lines as important. How can one be sure that his vision is correct? This indicator helps to solve this problem. It builds a complete set of virtual lines of resistance and support around current price and calculates density function for spatial distributi
The indicator draws a histogram of important levels for several major currencies attached to the current cross rates. It is intended for using on charts of crosses. It displays a histogram calculated from levels of nearest extremums of related major currencies. For example, hidden levels for AUDJPY can be detected by analyzing extremums of AUD and JPY rates against USD, EUR, GBP, and CHF. All instruments built from these currencies must be available on the client. This is an extended version of
StatBars
Stanislav Korotky
The indicator provides a statistic histogram of estimated price movements for intraday bars. It builds a histogram of average price movements for every intraday bar in history, separately for each day of week. Bars with movements above standard deviation or with higher percentage of buys than sells, or vice versa, can be used as direct trading signals. The indicator looks up current symbol history and sums up returns on every single intraday bar on a specific day of week. For example, if current
PriceProbability
Stanislav Korotky
This is an easy to use signal indicator which shows and alerts probability measures for buys and sells in near future. It is based on statistical data gathered on existing history and takes into account all observed price changes versus corresponding bar intervals in the past. The statistical calculations use the same matrix as another related indicator - PointsVsBars. Once the indicator is placed on a chart, it shows 2 labels with current estimation of signal probability and alerts when signal
CCFpExtra
Stanislav Korotky
CCFpExtra is an extended version of the classic cluster indicator - CCFp. This is the MT4 version of indicator  CCFpExt available for MT5. Despite the fact that MT5 version was published first, it is MT4 version which was initially developed and tested, long before MT4 market was launched. Main Features Arbitrary groups of tickers or currencies are supported: can be Forex, CFDs, futures, spot, indices; Time alignment of bars for different symbols with proper handling of possibly missing bars, in
This is a signal indicator for automatic trading which shows probability measures for buys and sells for each bar. It is based on statistical data gathered on existing history and takes into account all observed price changes versus corresponding bar intervals in the past. The core of the indicator is the same as in PriceProbablility indicator intended for manual trading. Unlike PriceProbability this indicator should be called from MQL4 Expert Advisors or used for history visual analysis. The in
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Version 1.3 2020.05.09
New hob-file format 1.2 is added. In this format, 3 values of current session volumes are saved along with every book: SYMBOL_SESSION_INTEREST, SYMBOL_SESSION_BUY_ORDERS_VOLUME, SYMBOL_SESSION_SELL_ORDERS_VOLUME.

To enable new format set SaveSessionInfo input parameter to true. By default, SaveSessionInfo is false, and hob-files are saved in previous format 1.1. If a hob-file of version 1.1 does already exist for current day, it will not be switched to format 1.2 automatically. If required, you may export the hob-file to CSV format by means of OrderBook Utilities and then import the CSV back to a hob with SaveSessionInfo=true.

To upgrade to 1.2 it's recommended to switch SaveSessionInfo on between the days, when a hob-file for new day is not yet created.

It's not necessary to convert all historical hob-files to format 1.2, both formats are supported in parallel.
Version 1.2 2019.07.23
Fixed minor bug: hob-files export does now preserve subfolder structure (previous version created csv-files in the folder Files, replacing folder delimiters in their names to underscores).
Version 1.1 2019.04.20
Starting from build 1930 MetaQuotes broke MQL5 back compatibility with MqlBookInfo structure by adding new field volume_real into it.

This version of the product supports new structure format, but it will not work on older builds.