1. Of course, we need to export ticks, better using the native structure MqlTick;
2. It's preferable to know the list of currently exported symbols.

Let's start...

1. General classes and contracts

    [StructLayout(LayoutKind.Sequential)]
    [DataContract]
    public struct MqlTick
    {
        [DataMember] 
        public Int64 Time { get; set; }
        [DataMember]
        public Double Bid { get; set; }
        [DataMember]
        public Double Ask { get; set; }
        [DataMember]
        public Double Last { get; set; }
        [DataMember]
        public UInt64 Volume { get; set; }
    }

    [ServiceContract(CallbackContract = typeof(IExportClient))]
    public interface IExportService
    {
        [OperationContract]
        void Subscribe();

        [OperationContract]
        void Unsubscribe();

        [OperationContract]
        String[] GetActiveSymbols();
    }

    [ServiceContract]
    public interface IExportClient
    {
        [OperationContract(IsOneWay = true)]
        void SendTick(String symbol, MqlTick tick);

        [OperationContract(IsOneWay = true)]
        void ReportSymbolsChanged();
    }

Let's create a new build with name Qexport.Service.dll for the service with the server contract implementation.

    [ServiceBehavior(InstanceContextMode = InstanceContextMode.Single,
        ConcurrencyMode = ConcurrencyMode.Multiple,
        UseSynchronizationContext = false,
        IncludeExceptionDetailInFaults = true)]
    public class ExportService : IExportService, IDisposable
    {

        public void Open()
        {
            _ExportHost = new ServiceHost(this);

            // point with service
            _ExportHost.AddServiceEndpoint(typeof(IExportService),  // contract
                new NetNamedPipeBinding(),                          // binding
                new Uri(_ServiceAddress));                          // address

            // remove the restriction of 16 requests in queue
            ServiceThrottlingBehavior bhvThrot = new ServiceThrottlingBehavior();
            bhvThrot.MaxConcurrentCalls = Int32.MaxValue;
            _ExportHost.Description.Behaviors.Add(bhvThrot);

            _ExportHost.Open();
        }

        public void Close()
        {
            Dispose(true);
        }
       
        private void Dispose(bool disposing)
        {
            try
            {
                // closing channel for each client
                // ...

                // closing host
                _ExportHost.Close();
            }
            finally
            {
                _ExportHost = null;
            }

            // ...
        }

Next, the implementation of IExportService methods:

        public void Subscribe()
        {
            // get the callback channel
            IExportClient cl = OperationContext.Current.GetCallbackChannel<IExportClient>();
            lock (lockClients)
                _Clients.Add(cl);
        }

        public void Unsubscribe()
        {
            // get the callback chanell
            IExportClient cl = OperationContext.Current.GetCallbackChannel<IExportClient>();
            lock (lockClients)
                _Clients.Remove(cl);
        }

        public String[] GetActiveSymbols()
        {
            return _ActiveSymbols.ToArray();
        }

Now we need to add methods to send ticks and to register and delete the exported symbols.

     public void RegisterSymbol(String symbol)
        {
            if (!_ActiveSymbols.Contains(symbol))
                _ActiveSymbols.Add(symbol);

              // sending notification to all clients about changes in the list of active symbols
              //...
        }

        public void UnregisterSymbol(String symbol)
        {
            _ActiveSymbols.Remove(symbol);

             // sending notification to all clients about the changes in the list of active symbols
             //...
        }

        public void SendTick(String symbol, MqlTick tick)
        {
            lock (lockClients)
                for (int i = 0; i < _Clients.Count; i++)
                    try
                    {
                        _Clients[i].SendTick(symbol, tick);
                    }
                    catch (CommunicationException)
                    {
                        // it seems that connection with client has lost - we just remove the client
                        _Clients.RemoveAt(i);
                        i--;
                    }
        }

Let's summarize the list of main server functions (only those that we need):

3. Client implementation

We have considered the server, I think its clear, so it's time to consider the client. Let's build the Qexport.Client.dll. The client contract will be implemented there. First, it should be marked with CallbackBehavior attrubute, that defines its behaviour. It has the following modifiers:

It was interesting to me to measure the transfer speed between two .NET applications, in fact, it's throughput, which is measured in ticks per second. I wrote several console applications to measure the service performance: the first on is for the server, the second one is for the client. I wrote the following code in the Main() function of the server:

            ExportService host = new ExportService("mt5");
            host.Open();

            Console.WriteLine("Press any key to begin tick export");
            Console.ReadKey();

            int total = 0;

            Stopwatch sw = new Stopwatch();

            for (int c = 0; c < 10; c++)
            {
                int counter = 0;
                sw.Reset();
                sw.Start();

                while (sw.ElapsedMilliseconds < 1000)
                {
                    for (int i = 0; i < 100; i++)
                    {
                        MqlTick tick = new MqlTick { Time = 640000, Bid = 1.2345 };
                        host.SendTick("GBPUSD", tick);
                    }
                    counter++;
                }

                sw.Stop();
                total += counter * 100;

                Console.WriteLine("{0} ticks per second", counter * 100);
            }

            Console.WriteLine("Average {0:F2} ticks per second", total / 10);
            
            host.Close();

5. Creating a "stratum"

Now it's time to think how to connect it with the client terminal. Let's see what we have at the first call of the function in MetaTrader 5: the .NET runtime environment (CLR) is loaded to the process and application domain is created by default. It's interesting, that it is not unloaded after the code execution.

The only way to unload CLR from the process is to terminate it (close the client terminal), that will force Windows to clear all the process resources. So, we can create our objects and they will exist until the application domain is unoaded, or until it is destroyed by Garbage Collector.

You can say that it seems good, but even if we prevent the object destroying by Garbage Collector, we can't be able to access the objects from MQL5. Fortunately, such access can be organized easily. The trick is the following: for each application domain there is a table of Garbage Collector handles (GC handle table), which is used by application to track the object lifetime and allows to manage it manually.

The application adds and deletes elements from the table by using the type System.Runtime.InteropServices.GCHandle. All we need is to wrap our object with such a descriptor and we have an access to it throughout the property GCHandle.Target. Thus we can get the reference to the object GCHandle, which is in the table of handles and it's guaranteed that it will not be moved or deleted by Garbage Collector. The wrapped object will also aviod recycling, because of the reference by descriptor.

Now it's time to test the theory in practice. To do it, let's create a new win32 dll with name QExpertWrapper.dll and add the CLR support, System.dll, QExport.dll, Qexport.Service.dll to the build reference. Also we create an auxiliary class ServiceManaged for management purposes – to carry out marshalling, to receive objects by handles, etc.

ref class ServiceManaged
{
        public:
                static IntPtr CreateExportService(String^);
                static void DestroyExportService(IntPtr);
                static void RegisterSymbol(IntPtr, String^);
                static void UnregisterSymbol(IntPtr, String^);
                static void SendTick(IntPtr, String^, IntPtr);
};

Let's consider the implementation of these methods. The CreateExportService method creates the service, wraps it into GCHandle by using GCHandle.Alloc and returns its reference. If something goes wrong, it shows a MessageBox with an error. I have used it for the debug purpose, so I am not sure that it's really necessary, but I've left it here just in case.

IntPtr ServiceManaged::CreateExportService(String^ serverName)
{
        try
        {
                ExportService^ service = gcnew ExportService(serverName);
                service->Open();
        
                GCHandle handle = GCHandle::Alloc(service);
                return GCHandle::ToIntPtr(handle);
        }
        catch (Exception^ ex)
        {
                MessageBox::Show(ex->Message, "CreateExportService");
        }
}

The DestroyExportService method gets the pointer to the GCHandle of service, gets the service from the Target property and calls its method Close(). It's important to release the service object by calling its method Free(). Overwise it will remain in memory, the Garbage Collector doesn't remove it.

void ServiceManaged::DestroyExportService(IntPtr hService)
{
        try
        {
                GCHandle handle = GCHandle::FromIntPtr(hService);

                ExportService^ service = (ExportService^)handle.Target;
                service->Close();

                handle.Free();
        }
        catch (Exception^ ex)
        {
                MessageBox::Show(ex->Message, "DestroyExportService");
        }
}

The RegisterSymbol method adds a symbol to the list of exported symbols:

void ServiceManaged::RegisterSymbol(IntPtr hService, String^ symbol)
{
        try
        {
                GCHandle handle = GCHandle::FromIntPtr(hService);
                ExportService^ service = (ExportService^)handle.Target;

                service->RegisterSymbol(symbol);
        }
        catch (Exception^ ex)
        {
                MessageBox::Show(ex->Message, "RegisterSymbol");
        }
}

The UnregisterSymbol method deletes a symbol from the list:

void ServiceManaged::UnregisterSymbol(IntPtr hService, String^ symbol)
{
        try
        {
                GCHandle handle = GCHandle::FromIntPtr(hService);
                ExportService^ service = (ExportService^)handle.Target;

                service->UnregisterSymbol(symbol);
        }
        catch (Exception^ ex)
        {
                MessageBox::Show(ex->Message, "UnregisterSymbol");
        }
}

And now the SendTick method. As we see, the pointer is transformed to the MqlTick structure using the Marshal class. Another point: there isn't any code in catch block - it is done to avoid the lags of the general tick queue in the case of error.

void ServiceManaged::SendTick(IntPtr hService, String^ symbol, IntPtr hTick)
{
        try
        {
                GCHandle handle = GCHandle::FromIntPtr(hService);
                ExportService^ service = (ExportService^)handle.Target;
        
                MqlTick tick = (MqlTick)Marshal::PtrToStructure(hTick, MqlTick::typeid);

                service->SendTick(symbol, tick);
        }
        catch (...)
        {
        }
}

Let's consider the implementation of functions, which will be called from our ex5 programs:

#define _DLLAPI extern "C" __declspec(dllexport)

// ---------------------------------------------------------------
// Creates and opens service 
// Returns its pointer
// ---------------------------------------------------------------
_DLLAPI long long __stdcall CreateExportService(const wchar_t* serverName)
{
        IntPtr hService = ServiceManaged::CreateExportService(gcnew String(serverName));
        
        return (long long)hService.ToPointer(); 
}

// ----------------------------------------- ----------------------
// Closes service
// ---------------------------------------------------------------
_DLLAPI void __stdcall DestroyExportService(const long long hService)
{
        ServiceManaged::DestroyExportService(IntPtr((HANDLE)hService));
}

// ---------------------------------------------------------------
// Sends tick
// ---------------------------------------------------------------
_DLLAPI void __stdcall SendTick(const long long hService, const wchar_t* symbol, const HANDLE hTick)
{
        ServiceManaged::SendTick(IntPtr((HANDLE)hService), gcnew String(symbol), IntPtr((HANDLE)hTick));
}

// ---------------------------------------------------------------
// Registers symbol to export
// ---------------------------------------------------------------
_DLLAPI void __stdcall RegisterSymbol(const long long hService, const wchar_t* symbol)
{
        ServiceManaged::RegisterSymbol(IntPtr((HANDLE)hService), gcnew String(symbol));
}

// ---------------------------------------------------------------
// Removes symbol from list of exported symbols
// ---------------------------------------------------------------
_DLLAPI void __stdcall UnregisterSymbol(const long long hService, const wchar_t* symbol)
{
        ServiceManaged::UnregisterSymbol(IntPtr((HANDLE)hService), gcnew String(symbol));
}

The code is ready, now we need to compile and build it. Let's specify the output directory as "C:\Program Files\MetaTrader 5\MQL5\Libraries" in the project options. After the compilation three libraries will appear in the specified folder.

The mql5 program uses only one of them, namely QExportWrapper.dll, two other libraries are used by it. Because of this reason we need to put the libraries Qexport.dll and Qexport.Service.dll into root folder of MetaTrader. It isn't convenient.

The solution is to create configuration file and specify the path for the libraries there. Let's create the file with name terminal.exe.config in the root folder of MetaTrader and write the following strings there:

<?xml version="1.0" encoding="UTF-8" ?>
<configuration>
   <runtime>
      <assemblyBinding xmlns="urn:schemas-microsoft-com:asm.v1">
         <probing privatePath="mql5\libraries" />
      </assemblyBinding>
   </runtime>
</configuration>

It's ready. Now CLR will search for the libraries in the folder we have specified.

 6. Server part implementation in MQL5

Finally, we have reached the programming of server part in mql5. Let's create a new file QService.mqh and define the imported functions of QExpertWrapper.dll:

#import "QExportWrapper.dll"
   long  CreateExportService(string);
   void DestroyExportService(long);
   void RegisterSymbol(long, string);
   void UnregisterSymbol(long, string);
   void SendTick(long, string, MqlTick&);
#import
 

//+------------------------------------------------------------------+
//|                                                    QExporter.mq5 |
//|                                             Copyright GF1D, 2010 |
//|                                             garf1eldhome@mail.ru |
//+------------------------------------------------------------------+
#property copyright "GF1D, 2010"
#property link      "garf1eldhome@mail.ru"
#property version   "1.00"

#include "QService.mqh"
//--- input parameters
input string  ServerName = "mt5";

QService* service;

//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
{
   service = new QService();
   service.Create(ServerName);
   return(0);
}

//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
   service.Close();
   delete service;
   service = NULL;
}

//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
{
   MqlTick tick;
   SymbolInfoTick(Symbol(), tick);
   
   service.SendTick(Symbol(), tick);
}
//+------------------------------------------------------------------+