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HELP: processing High Frequency data

I want to develop an EA to process live high frequency data (including ticks and order book events). but in first step I encountered problems in extracting data. for start I tried to get tick data and save them to a file to check quality of data . here is the code: datetime dtm = TimeTradeServer

4

DOM historical data

Is it possible to reach and save historical data of depth of market (DOM) in meta trader