512 tick, Custom Timeframes and Market Internals Data Available in MQL5 for S&P 500 Futures?

Brian Weber  

Hi everyone,

I'm currently working on developing a trading bot for the S&P 500 futures in MQL5 because of all the tools offered for strategy testing. However, I couldn't find anything regarding if you can access tick information, for example the 512 tick chart, and market depth information (i.e., NYSE TICK, $DJT, BANK, ADD, etc.) that can be used in your trading algo.

Also is it possible to use a custom timeframe such as 39 minutes for an indicator instead of the standard ENUMs offered?

My strategy uses price and custom indicator information from various timeframes in order to determine is there is a bull or sell order to be placed.

Originally I was thinking that I might have to hook up CQG data feed from AMP to get the extra data I need, but just wanted to check to see if anyone could help here first.

Any help would be greatly appreciated.

Thanks so much in advance,

Brian Weber

Brian Weber  

So far I have figured out that the market internals CQG data is available through AMP.

For the tick chart, probably need a plug in or custom code this since MT5 doesn't currently offer this setting. But they might in the near future.

And custom timeframe requires a "Period Converter" to get different timeframes that are not standard. Will update this thread eventually once I have a solution for the last two.


Hi Brian,

I see this post is a couple years old now but are you still working on this? I'm thinking about doing the same thing in MQL5 right now for S&P 500 futures. I would definitely want the robot to be at the tick level.

Let me know if you want to talk about this and bounce ideas around.