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Hasbrouck Lambdas Estimator

Hasbrouck follows up on Kyle’s and Amihud’s ideas, and applies them to estimating the price impact coefficient based on trade-and-quote (TAQ) data.

Consistent with most of the literature, Hasbrouck recommends 5-minute time-bars for sampling ticks. 

This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 289.

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This code can run slow when using big timeframes, it use copytick to get dollar volume, in a next version I will implement a temporary indicator to cumulative sum this values as a buffer

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Auto Order Block with break of structure based on ICT and Smart Money Concepts (SMC) Futures Break of Structure ( BoS )             Order block ( OB )            Higher time frame Order block / Point of Interest ( POI )    shown on current chart           Fair value Gap ( FVG ) / Imbalance   -  MTF      ( Multi Time Frame )    HH/LL/HL/LH  -  MTF      ( Multi Time Frame )  Choch  MTF      ( Multi Time Frame )  Volume Imbalance     ,  MTF          vIMB Gap’s Equal High / Low’s     ,
ADR Ters Çevirme Göstergesi, normal ortalama günlük aralığına göre fiyatın şu anda nerede işlem gördüğünü bir bakışta size gösterir. Fiyat, ortalama aralığı ve seçtiğiniz seviyenin üzerindeki seviyeleri aştığında, açılır pencere, e-posta veya push yoluyla anında uyarılar alacaksınız, böylece hızlı bir şekilde geri çekilmelere ve geri dönüşlere atlayabilirsiniz. Gösterge, grafikte ortalama günlük aralık uç noktalarında yatay çizgiler ve ayrıca fiyatları aşan matematiksel olasılıkları olan seviye
Introducing the South African Sniper indicator created by a small group of traders with a few years trading trading the financial market profitably . This is a plug and play indicator that provides you with  BUY and SELL (SNIPER ENTRY) signals with TARGET and trail stops. The indicator Works with all MT5 trading instruments. The indicator uses previous  chart data as receipt to speculate on future market moves.
Blahtech Supply Demand MT5
Blahtech Limited
4.57 (14)
Was: $299  Now: $99   Supply Demand uses previous price action to identify potential imbalances between buyers and sellers. The key is to identify the better odds zones, not just the untouched ones. Blahtech Supply Demand indicator delivers functionality previously unavailable on any trading platform. This 4-in-1 indicator not only highlights the higher probability zones using a multi-criteria strength engine, but also combines it with multi-timeframe trend analysis, previously confirmed swings
Golden Gate Algo MT5
James David Lane
4 (6)
CHRISTMAS İÇİN %40 İNDİRİM! 1 OCAK'TA FİYATI $250'YE YÜKSELECEK! GoldenGate Entries Tanıtımı: Keskin Kenarlı Bir Ticaret Çözümü! GoldenGate Entries (GGE) ile ticarette devrim niteliğinde bir yaklaşım keşfedin. GGE, ticaret deneyiminizi yükseltmek amacıyla tasarlanmış gelişmiş bir gösterge olup kullanıcılara ticaret kararlarında hassasiyet ve güven sağlamak için kapsamlı bir özellik seti sunar. Çiftler: Herhangi biri (FX - Emtia - Hisse Senetleri - Hisse Senetleri - Kripto) Zaman Çerçeve
Quantum Heiken Ashi PRO MT5
Bogdan Ion Puscasu
4.5 (8)
Quantum Heiken Ashi PRO ile   tanışın Pazar eğilimleri hakkında net bilgiler sağlamak üzere tasarlanan Heiken Ashi mumları, gürültüyü filtreleme ve yanlış sinyalleri ortadan kaldırma yetenekleriyle ünlüdür. Kafa karıştırıcı fiyat dalgalanmalarına veda edin ve daha sorunsuz, daha güvenilir bir grafik sunumuna merhaba deyin. Quantum Heiken Ashi PRO'yu gerçekten benzersiz kılan şey, geleneksel şamdan verilerini okunması kolay renkli çubuklara dönüştüren yenilikçi formülüdür. Kırmızı ve yeşil çubukl
Fiyat tersine döndükçe ve geri çekildikçe piyasa yapısından elde edilen kâr değişir. Piyasa yapısını tersine çevirme uyarısı göstergesi, bir trendin veya fiyat hareketinin ne zaman tükenmeye yaklaştığını ve tersine dönmeye hazır olduğunu tanımlar. Genellikle bir geri dönüş veya büyük bir geri çekilme meydana gelmek üzereyken meydana gelen piyasa yapısındaki değişiklikler konusunda sizi uyarır. Gösterge, olası bir tükenme noktasının yakınında her yeni yüksek veya düşük oluştuğunda, başlangıçta
FX Power MT5 NG
Daniel Stein
5 (5)
Sabah Brifingimiz burada mql5 ve on Telegram! FX Power MT5 NG , uzun zamandır çok popüler olan döviz gücü ölçerimiz FX Power'ın yeni neslidir. Peki bu yeni nesil güç ölçer ne sunuyor? Orijinal FX Power hakkında sevdiğiniz her şey PLUS GOLD/XAU güç analizi Daha da hassas hesaplama sonuçları Ayrı ayrı yapılandırılabilir analiz dönemleri Daha da iyi performans için özelleştirilebilir hesaplama limiti Özel çokluDaha fazlasını görmek isteyenler için örnek ayarlar Her grafikte en sevdiğiniz renkler i
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This indicator get all events/countries/values from metatrader terminal calendar and print veritical lines at chart, you can configure anything with inputs (string to filter names/url/code/countries/currencies), select period to filter, nws interval before and after current time (every information about time is seconds based), you can filter importance, type, sector, unit, multiplier, impact, timemode, frequency, forecast/previous % increase/decrease interval, actual/previous % increase/decrease
FREE
Export Deals to CSV - Excell File location: HistoryDeals/<SERVER>/<LOGIN>.<DATETIME>.csv Works as an Script, reading all DEALS in history and exporting it as a plain text CSV file There's no option to change. There's no WebRequest. There's no DLL use. I need to write 300 characters to allow this product being exposed at MQL5 market place. It's simple to use, plug it in graph and wait completion.
FREE
BookMap HeatMap
Roberto Spadim
1 (3)
This Indicator creates a heatmap based on depth of market of the current symbol or another symbol. Other symbol is useful when you trade futures market and a contract has 'mini' and 'full' split. For example, in Brazil (B3 - BMF&Bovespa), WDO and DOL are future Forex contract of BRL/USD (where 1 DOL = 5 WDO) and big banks work mostly with DOL (where liquidity is important). Please use with M1 timeframe , objects are too small to be displayed at higher timeframes (MT5 limit). The number of level
This indicator sends a message (notification), an email, and plays a custom sound when a Limit (Buy/Sell) or Limit Stop (Buy/Sell) or Take Profit, Stop Loss, Stop Out is executed. A user can change the sound file name, and select if they receive notifications/emails. It runs as an indicator, and only one indicator is locked (used) by a user account/login. Parameters soundFile - sound file Save your file at the terminal folder, for example: " C:\Program Files\MetaTrader 5\Sounds\Order Execute
Teclado trader, é uma BIBLIOTECA que você pode chamar no OnChartEvent para abrir posição de compra/venda/zerar, os botões padrões são: V = venda C = compra Z = zerar posições a mercado S = zerar posições opostas e depois a mercado X = zerar posições opostas Além da função de teclado, é possível mostrar os estados do ExpertAdvisor usando o MagicId, com informação de: lucro mensal, semanal, diario, e posição aberta, para isto use o OnTick, ou qualquer outro evento (OnTimer / OnTrade / OnBookEv
From https://en.wikipedia.org/wiki/Fractional_calculus: Fractional calculus  is a branch of  mathematical analysis  that studies the several different possibilities of defining  real number  powers or  complex number  powers of the  differentiation operator   D This indicator execute fracional differentiation on data, you can select the differentiation D value and execute some tweaks like execute Log(value)  before difefrentiation or execute a window normalization on last [diffNormalizeWindo
It's a simple indicator that execute GARCH(1,1) function, it can be used with basis stocks and options, when garch is bellow implied volatility probably implied volatility tend to goes down, and when garch is higher than implied volatility probably implied volatility goes up. Can be used with options trading when buying / selling volatility, for example, buy ATM put and call when garch is higher than implied volatility and sell when it's lower.
This indicator works in Brazil market, it should be used on options symbols. the indicator create 8 buffers, Delta, Gamma, Vega, Rho, Theta, Time(working days), Implied Volatility, R (interest rate), and can be used to view greeks over time. It shouldn't be used to trade, since it's cpu intensive, it's just a historic viewer, you can see what happened with greeks and teach friends :)
This indicator implements the High Low Volatility Estimator based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado, page 284. It's a robust estimator using High/Low values from past bars (configurable). It's robusto to Gaps (open/close of days to stock markets) since it's using high/low ration and not the close price. It's interesting when you need to avoid trading at a specific level of volatility
This indicator implements the Rool Model Estimator based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado, page 283. It's a spread estimator using trade by trade (copytick) values from last trades (configurable). It works with low liquidity markets as a robust estimator considering the covariance between price diferences. It's interesting when you need to track spread changes
This indicator implements the Corwin and Schultz Estimator based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado, page 284. It's a spread estimator using high/low and a rolling window (configurable). It works with low liquidity markets as a robust estimator. It's interesting when you need to track spread changes, more information can be found at Marcos book.
In Kyle’s model, the variable captures price impact. Illiquidity increases with uncertainty about v and decreases with the amount of noise Kyle argues that the market maker must find an equilibrium between profit maximization and market efficiency. This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 288.
Amihud studies the positive relationship between absolute returns and illiquidity. In particular, he computes the daily price response associated with one dollar of trading volume, and argues its value is a proxy of price impact. Despite its apparent simplicity, Hasbrouck [2009] found that daily Amihud’s lambda estimates exhibit a high rank correlation to intraday estimates of effective spread.  This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book,
Easley et al. [2011] proposed a high-frequency estimate of PIN, which they named volume-synchronized probability of informed trading (VPIN). This procedure adopts a volume clock, which synchronizes the data sampling with market activity. For additional details and case studies of VPIN, see Easley et al. [2013]. A number of studies have found that VPIN indeed has predictive power: Abad and Yague [2012], Bethel et al. [2012], Cheung et al. [2015], Kim et al. [2014], Song et al. [2014], Van Ness et
Easley et al. study the frequency of trades per trade size, and find that trades with round sizes are abnormally frequent. For example, the frequency rates quickly decay as a function of trade size, with the exception of round trade sizes {5, 10, 20, 25, 50, 100, 200,…}. These authors attribute this phenomenon to socalled “mouse” or “GUI” traders, that is, human traders who send orders by clicking buttons on a GUI (Graphical User Interface). In the case of the E-mini S&P 500, for example, si
A useful feature may be to determine the normal frequency of round-sized trades, and monitor deviations from that expected value. The ML algorithm could, for example, determine if a larger-than-usual proportion of round-sized trades is associated with trends, as human traders tend to bet with a fundamental view, belief, or conviction. Conversely, a lower-than-usual proportion of round-sized trades may increase the likelihood that prices will move sideways, as silicon traders do not typically hol
This script use DIDI+BB indicators and display alerts, send mail, send notifications, and play sounds. Scanner can monitor market watch using  ***MARKET***  as symbol name, with  all timeframes Inputs: media_lenta=3 media_base=8 media_longa=20 bb_periodo=20 bb_shift=0 bb_deviation=1.96 symbols - Symbol list, separated by ;   when using ***MARKET*** symbols from marketwatch will be included wait_interval_between_signals - Seconds between signals, default =60, but high frequency signals should red
This indicator represent option and basis values as a tax, using this formula: Tax = ( ( strike / ( basis - option ) ) - 1 ) * 100 It's not time based (don't use time to expire information)  You can set a fixed strike value, and a fixed basis symbol if needed. Some exchanges/brokers don't provide this information at marketdata and that's the only method to use this information when not provided.
This Service, export the account Orders/History Orders/Deals/Position on each new change. It save at a common folder with path = <DATE>\\<Server Name>.<Login>.<DATE>.<filetype>.csv Each file type have an header You can use it to receive OMS changes and source SQL Servers outside metatrader with bash scripts or others tools, each time the file change you can read it and get new updates, it works using SharedRead option when opening/flock the file.
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