New article MQL5 Cookbook: Handling BookEvent has been published at mql5.com:
As is well known, the MetaTrader 5
trading terminal is a multi-market platform, that facilitates trading
on Forex, stock markets, Futures and Contracts for Difference. According
to the Freelance section stats, the number of traders trading not only on Forex market is growing.
In this article I would like to introduce novice MQL5 programmers to the BookEvent
handling. This event is connected with Depth of Market—an instrument
for trading stock assets and their derivatives. Forex traders, however,
may find Depth of Market useful too. In ECN accounts, liquidity
providers supply data on the orders, though only within their aggregator
model. These accounts are becoming more popular.
According to the Documentation, this event is generated when Depth of Market status changes. Let us agree that BookEvent is a Depth of Market event.
of Market is an array of orders, which differ in direction (sell and
buy), price and volume. Prices in Depth of Market are close to the
market ones and therefore are considered as the best.
Fig.1 Depth of Market in MetaTrader 5
MetaTrader 5 an "order book" is named as the "Depth of Market" (Fig.1).
Detailed information about Depth of Market can be found in the User
Guide to the Client Terminal.
Author: Dennis Kirichenko