MQT — Market Microstructure Analysis Library for MQL5

A comprehensive, production-grade market microstructure analysis library for MetaTrader 5.
Covers tick-level data collection, liquidity analysis, order flow, price impact, volatility estimation, trade classification, duration modelling, and advanced microstructure models.

---

Features

Domain	Classes	What it measures
Data Collection	CMqtTickCollector, CMqtQuoteCollector, CMqtTradeCollector, CMqtOrderBookCollector	Circular-buffered real-time capture of ticks, quotes, trades, and DOM snapshots
Liquidity	CMqtSpreadAnalyzer, CMqtDepthAnalyzer, CMqtCompositeLiquidity	Quoted/effective/realized spreads, market depth, WAP, liquidity score
Order Flow	CMqtCumulativeVolumeDelta, CMqtOrderFlowImbalance, CMqtVPIN, CMqtFlowToxicity	CVD, OFI imbalance, Volume-synchronised PIN, flow toxicity & regime
Price Impact	CMqtKyleLambda, CMqtAmihudIlliquidity, CMqtHasbrouckImpact, CMqtAlmgrenChriss	Kyle's lambda (throttled OLS), Amihud ratio, VAR impulse response, Almgren-Chriss execution
Volatility	CMqtRealizedVolatility, CMqtMicrostructureNoise, CMqtVolatilitySignature	Classic/Parkinson/Garman-Klass/Yang-Zhang RV, noise variance, signature plots
Trade Classification	CMqtTickRule, CMqtLeeReady, CMqtQuoteClassification, CMqtAggressorDetection, CMqtBatchClassifier	Tick test, Lee-Ready, quote-based, flags-first, consensus voting
Duration	CMqtTradeDuration, CMqtACDModel, CMqtIntensityEstimator, CMqtDiurnalAdjustment	Duration statistics, ACD(1,1) with MLE, hazard rate, intraday seasonality
Advanced Models	CMqtMarketMakerModel, CMqtMicrostructureScore, CMqtRegimeDetector, CMqtLiquiditySurface	Spread decomposition, composite score, 4-regime detection, liquidity surface
Book Analytics	CMqtBookResiliency	Post-trade depth recovery rate & elasticity
Volume Profile	CMqtVolumeProfile	Price-bin distribution, POC, value area, entropy, skew
Information Share	CMqtHasbrouckInfoShare	VAR-based permanent vs. temporary impact decomposition
Infrastructure	CMqtEventCoordinator, CMqtFileSerializer, CMqtHistoryPlayer, CMqtTickAggregator	Central orchestrator, binary serialization, historical replay, tick-to-OHLC

---

Quick Start

#include <Microstructure.mqh>

CMqtEventCoordinator ms;

int OnInit() {
   MqtConfig cfg;
   cfg.symbol = _Symbol;
   cfg.SetHighFreq(50000);
   cfg.active_modules = MQT_MODULE_ALL;
   return ms.Init(cfg) ? INIT_SUCCEEDED : INIT_FAILED;
}

void OnTick()              { ms.OnTick(_LastTick); }
void OnBookEvent(string &s) { ms.OnBookEvent(s);  }
void OnTimer()             { ms.OnTimer();         }

void OnDeinit(const int) {
   MqtMicrostructureStats stats;
   ms.ComputeStats(stats);
   Print(stats.ToString());
}

---

Project Structure

include/
  Microstructure.mqh              # Master include — add this to your EA
  Microstructure/
    Constants.mqh                  # Enums, error codes, defines
    Config.mqh                     # MqtConfig — unified configuration struct
    DataTypes.mqh                  # Core structs (Tick, Quote, Trade, Book, Stats)
    Collectors.mqh                 # CMqtTickCollector, CMqtQuoteCollector, etc.
    Liquidity.mqh                  # Spread & depth analysers
    OrderFlow.mqh                  # CVD, OFI, VPIN, flow toxicity
    PriceImpact.mqh                # Kyle's lambda, Amihud, Hasbrouck, Almgren-Chriss
    Volatility.mqh                 # Realised volatility, noise, signature
    TradeClassification.mqh        # Tick rule, Lee-Ready, quote-based, consensus
    DurationAnalysis.mqh           # Duration statistics, ACD model, intensity
    MarketModels.mqh               # Spread decomposition, score, regime, liquidity surface
    BookResiliency.mqh             # Order book recovery after trades
    VolumeProfile.mqh              # Volume distribution across price bins
    InfoShare.mqh                  # Hasbrouck information share
    Serialization.mqh              # Binary file I/O for stats and snapshots
    Backtest.mqh                   # History player and tick aggregator
    EventCoordinator.mqh           # Central orchestrator wiring all modules together
docs/
  ARCHITECTURE.md                  # Architecture overview with Mermaid diagrams
  API.md                           # Complete API reference
  MICROSTRUCTURE.md                # Microstructure concepts for traders
  UML.md                           # UML class and sequence diagrams
  CONTRIBUTING.md                  # Contributor guide

---

Requirements

• MetaTrader 5 build 1720 or later
• Symbol must have tick history available for CopyTicksRange
• Depth of Market requires broker support (MarketBookAdd/MarketBookGet)

---

License

MIT — see LICENSE file.