ticks missing in EA

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I would like to add the volume of deals. Separated by market buy and market sell.

The problem: Apparently OnTick() is often not called!

Test: I placed a chart with this EA right next to the MT5 T&S.  In the T&S you can see deals coming in that are not seen by the EA.
I did this during a time with low turnaround. 2 to 4 ticks a sek. for sure no performance problem.  

What is going on here?

void OnTick()
  {
   static int tickCalls = 0;
   static int tickCount = 0;
   static int tickDeal = 0;

   tickCalls += 1;
   if(SymbolInfoTick(Symbol(),tick))
     {
      tickCount += 1;
      if((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL || (tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY)
         tickDeal  += 1;
     }
   Comment("  Calls: " + IntegerToString(tickCalls)+
           "  Count: " + IntegerToString(tickCount)+
           "  Deals: " + IntegerToString(tickDeal));
  };
Documentation on MQL5: Constants, Enumerations and Structures / Trade Constants / Order Properties
Documentation on MQL5: Constants, Enumerations and Structures / Trade Constants / Order Properties
  • www.mql5.com
Order Properties - Trade Constants - Constants, Enumerations and Structures - MQL5 Reference - Reference on algorithmic/automated trading language for MetaTrader 5
 
Interesting, waiting for answers! 
 
Willbur:

I would like to add the volume of deals. Separated by market buy and market sell.

The problem: Apparently OnTick() is often not called!

Test: I placed a chart with this EA right next to the MT5 T&S.  In the T&S you can see deals coming in that are not seen by the EA.
I did this during a time with low turnaround. 2 to 4 ticks a sek. for sure no performance problem.  

What is going on here?

void OnTick()
  {
   static int tickCalls = 0;
   static int tickCount = 0;
   static int tickDeal = 0;

   tickCalls += 1;
   if(SymbolInfoTick(Symbol(),tick))
     {
      tickCount += 1;
      if((tick.flags&TICK_FLAG_SELL)==TICK_FLAG_SELL || (tick.flags&TICK_FLAG_BUY)==TICK_FLAG_BUY)
         tickDeal  += 1;
     }
   Comment("  Calls: " + IntegerToString(tickCalls)+
           "  Count: " + IntegerToString(tickCount)+
           "  Deals: " + IntegerToString(tickDeal));
  };

I haven't worked with this yet but try MqlBookInfo because the T&S data looks exactly like the Market Book Data.

If your Metatrader can show Time & Sales, the data must somehow be getting to your computer.

It would be great to hear if you tried this already and what came of it.
 
pennyhunter #:
I haven't worked with this yet but try MqlBookInfo because the T&S data looks exactly like the Market Book Data.

If your Metatrader can show Time & Sales, the data must somehow be getting to your computer.

It would be great to hear if you tried this already and what came of it.

Time and sales has nothing to do with the "book data".

You need to use CopyTicks() or CopyTicksRange().

 
Thanks Alain,

a good hint and a place where i found the confirmation for my measurements.  OnTick is not called for each incoming tick.

Docu for CopyTicks:
CopyTicks

'CopyTicks() can wait for the result for 45 seconds in Expert Advisors and scripts: as distinct from indicators, every Expert Advisor and script operate in a separate thread, and therefore can wait 45 seconds till the completion of synchronization. If the required amount of ticks fails to be synchronized during this time, CopyTicks() will return available ticks by timeout and will continue synchronization. OnTick() in Expert Advisor is not a handler of every tick, it only notifies an Expert Advisor about changes in the market. It can be a batch of changes: the terminal can simultaneously make a few ticks, but OnTick() will be called only once to notify the EA of the latest market state.'

Now I have to think of something else to get all the deals. One idea is to read in OnTick a batch of ticks and fetchthe new ones or to sit in an OnTimmer in the millisecond range and look again and again until there is a new tick. 

Should I use CopyTicks() or SymbolInfoTick()  for this?

 
 
Alain Verleyen #:

Time and sales has nothing to do with the "book data".

You need to use CopyTicks() or CopyTicksRange().

I am just going to put this here:

struct MqlBookInfo
  {
   ENUM_BOOK_TYPE   type;            // Order type from ENUM_BOOK_TYPE enumeration
   double           price;           // Price
   long             volume;          // Volume
   double           volume_real;     // Volume with greater accuracy
  };

And maybe he can combine it with CopyTicks somehow.

Documentation on MQL5: Constants, Enumerations and Structures / Trade Constants / Trade Orders in DOM
Documentation on MQL5: Constants, Enumerations and Structures / Trade Constants / Trade Orders in DOM
  • www.mql5.com
Trade Orders in DOM - Trade Constants - Constants, Enumerations and Structures - MQL5 Reference - Reference on algorithmic/automated trading language for MetaTrader 5
 

Code to get every Deal   (Time & Sale) 


The question remains how to determine the number of ticks to be copied.  While all FDAX traders were at lunch, I got max 4 deals on one OnTick call. Maybe I just take the number of deals found during the latest OnTick    + 10    for the next call.

//+------------------------------------------------------------------+
//| Tick function                                                    |
//+------------------------------------------------------------------+
void OnTick()
  {
   static int numDeals = 0;
   static long firstTimeMsc = 0;
   static long lastTimeMsc = 0;
   Print("------------------------------------ OnTick");
   int tickCount = CopyTicks(Symbol(),tick,COPY_TICKS_TRADE,lastTimeMsc,10);  // 10 = Number of ticks to be copied
   if(tickCount > 0)
     {
      for(int idx = 0; idx < tickCount; idx++)
        {
         if(firstTimeMsc == 0)  firstTimeMsc = tick[idx].time_msc;  // init
         if(tick[idx].time_msc > lastTimeMsc)
           {
            numDeals++;
            lastTimeMsc = tick[idx].time_msc;
            PrintFormat("%d. Deal after %d ms at %.1f Vol: %.0f",numDeals,tick[idx].time_msc-firstTimeMsc,tick[idx].last,tick[idx].volume);
           }
        } // Loop
     }
  };

 Which gives you:

PJ    0    12:26:21.733    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
CM    0    12:26:21.739    DumpTicksOne (DDH22,M1)    1. Deal after 0 ms at 15238.0 Vol: 1
LD    0    12:26:21.739    DumpTicksOne (DDH22,M1)    2. Deal after 2711 ms at 15237.0 Vol: 1
RJ    0    12:26:21.739    DumpTicksOne (DDH22,M1)    3. Deal after 163161 ms at 15231.0 Vol: 1
GQ    0    12:26:21.739    DumpTicksOne (DDH22,M1)    4. Deal after 164853 ms at 15232.0 Vol: 7
PD    0    12:26:21.739    DumpTicksOne (DDH22,M1)    5. Deal after 164856 ms at 15233.0 Vol: 1
RJ    0    12:26:21.739    DumpTicksOne (DDH22,M1)    6. Deal after 164859 ms at 15233.0 Vol: 1
DP    0    12:26:21.744    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HD    0    12:26:22.100    DumpTicksOne (DDH22,M1)    7. Deal after 164866 ms at 15233.0 Vol: 1
CJ    0    12:26:22.101    DumpTicksOne (DDH22,M1)    8. Deal after 164947 ms at 15232.0 Vol: 3
NP    0    12:26:22.101    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
OE    0    12:26:22.768    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
GJ    0    12:26:26.610    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
IO    0    12:26:26.928    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
DE    0    12:26:26.928    DumpTicksOne (DDH22,M1)    9. Deal after 170051 ms at 15232.0 Vol: 1
MJ    0    12:26:29.800    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
KO    0    12:26:30.145    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
PF    0    12:26:30.145    DumpTicksOne (DDH22,M1)    10. Deal after 173264 ms at 15233.0 Vol: 1
HI    0    12:26:33.127    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HN    0    12:26:33.336    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
ND    0    12:26:33.754    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HI    0    12:26:39.123    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
EL    0    12:26:39.123    DumpTicksOne (DDH22,M1)    11. Deal after 182244 ms at 15234.0 Vol: 1
DS    0    12:26:40.437    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
RJ    0    12:26:40.438    DumpTicksOne (DDH22,M1)    12. Deal after 183560 ms at 15235.0 Vol: 1
FM    0    12:26:40.455    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
JS    0    12:26:41.681    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
OH    0    12:26:41.701    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
PM    0    12:26:41.760    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
KR    0    12:26:42.757    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
FG    0    12:26:47.041    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HL    0    12:26:47.054    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
CQ    0    12:26:49.095    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HF    0    12:26:50.614    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
LN    0    12:26:50.614    DumpTicksOne (DDH22,M1)    13. Deal after 193735 ms at 15233.0 Vol: 4
. . .

 
Willbur #:

Code to get every Deal   (Time & Sale) 


The question remains how to determine the number of ticks to be copied.  While all FDAX traders were at lunch, I got max 4 deals on one OnTick call. Maybe I just take the number of deals found during the latest OnTick    + 10    for the next call.

 Which gives you:

PJ    0    12:26:21.733    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
CM    0    12:26:21.739    DumpTicksOne (DDH22,M1)    1. Deal after 0 ms at 15238.0 Vol: 1
LD    0    12:26:21.739    DumpTicksOne (DDH22,M1)    2. Deal after 2711 ms at 15237.0 Vol: 1
RJ    0    12:26:21.739    DumpTicksOne (DDH22,M1)    3. Deal after 163161 ms at 15231.0 Vol: 1
GQ    0    12:26:21.739    DumpTicksOne (DDH22,M1)    4. Deal after 164853 ms at 15232.0 Vol: 7
PD    0    12:26:21.739    DumpTicksOne (DDH22,M1)    5. Deal after 164856 ms at 15233.0 Vol: 1
RJ    0    12:26:21.739    DumpTicksOne (DDH22,M1)    6. Deal after 164859 ms at 15233.0 Vol: 1
DP    0    12:26:21.744    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HD    0    12:26:22.100    DumpTicksOne (DDH22,M1)    7. Deal after 164866 ms at 15233.0 Vol: 1
CJ    0    12:26:22.101    DumpTicksOne (DDH22,M1)    8. Deal after 164947 ms at 15232.0 Vol: 3
NP    0    12:26:22.101    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
OE    0    12:26:22.768    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
GJ    0    12:26:26.610    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
IO    0    12:26:26.928    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
DE    0    12:26:26.928    DumpTicksOne (DDH22,M1)    9. Deal after 170051 ms at 15232.0 Vol: 1
MJ    0    12:26:29.800    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
KO    0    12:26:30.145    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
PF    0    12:26:30.145    DumpTicksOne (DDH22,M1)    10. Deal after 173264 ms at 15233.0 Vol: 1
HI    0    12:26:33.127    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HN    0    12:26:33.336    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
ND    0    12:26:33.754    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HI    0    12:26:39.123    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
EL    0    12:26:39.123    DumpTicksOne (DDH22,M1)    11. Deal after 182244 ms at 15234.0 Vol: 1
DS    0    12:26:40.437    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
RJ    0    12:26:40.438    DumpTicksOne (DDH22,M1)    12. Deal after 183560 ms at 15235.0 Vol: 1
FM    0    12:26:40.455    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
JS    0    12:26:41.681    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
OH    0    12:26:41.701    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
PM    0    12:26:41.760    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
KR    0    12:26:42.757    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
FG    0    12:26:47.041    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HL    0    12:26:47.054    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
CQ    0    12:26:49.095    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
HF    0    12:26:50.614    DumpTicksOne (DDH22,M1)    ------------------------------------ OnTick
LN    0    12:26:50.614    DumpTicksOne (DDH22,M1)    13. Deal after 193735 ms at 15233.0 Vol: 4
. . .

Use CopyTicksRange() and get the ticks since the last one using the time in msc. You still need to check for double though, there is no other solution.
 
Alain Verleyen #:
Use CopyTicksRange() and get the ticks since the last one using the time in msc. You still need to check for double though, there is no other solution.
Perfect!!!    Alain, thank you very much!
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