Articles on data analysis and statistics in MQL5
Articles on mathematical models and laws of probability are interesting for many traders. Mathematics is the basis of technical indicators, and statistics is required to analyze trading results and develop strategies.
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Market Microstructure in MQL5 (Part 5): Microstructure Noise
The article extends MicroStructure_Foundation.mqh with a MicrostructureAnalysis struct and five functions that decompose M1 price variation into a quoted spread proxy, Roll-implied spread, OHLC-based noise ratio, order imbalance, and an adverse selection component. A wrapper populates these fields and links them to the volatility suite from Part 4. Empirical thresholds come from 602 NQ E-mini NY sessions (Jan 2024–Jun 2026), helping you gate volatility signals, size risk, and recognize spread-driven frictions.