Codes
Institutional Kyle's Lambda Market Impact Engine for MetaTrader 4
An institutional market microstructure indicator for MT4 that computes Kyle's Lambda and Amihud Illiquidity ratios to identify institutional order absorption and toxic liquidity vacuums
Institutional Ornstein-Uhlenbeck Equilibrium Matrix for MetaTrader 5
An econometric price-space indicator that utilizes the Ornstein-Uhlenbeck stochastic process to mathematically estimate the asset's true driftless equilibrium and its speed of mean reversion
Institutional Markov Chain Transition Matrix for MetaTrader 5
A quantitative stochastic probability engine that utilizes Markov Chain transition matrices to mathematically forecast the percentage chance of bullish or bearish continuation on the next algorithmic execution cycle
Institutional Harmonic Volumetric Gravity Center for MetaTrader 5
A quantitative volume density engine utilizing weighted Harmonic Mean mathematics to eliminate arithmetic outliers and map the true institutional liquidity center of gravity
Institutional Kinematic Price Physics (Velocity and Acceleration) for MetaTrader 5
A quantitative physics engine that applies differential calculus to price action, extracting true Market Velocity (1st Derivative) and Market Acceleration (2nd Derivative) to predict trend exhaustion before it happens
Institutional Kalman Filter (Dynamic True Price Estimator) for MetaTrader 5
An aerospace-grade state estimation algorithm that dynamically filters out market noise and manipulation wicks to reveal the true underlying execution price with zero static phase-lag
Institutional Shannon Entropy (Predictability Index) for MetaTrader 5
A quantitative Information Theory engine that calculates the Shannon Entropy of price distribution to mathematically measure market randomness and algorithmic predictability
Institutional Fourier Transform (DFT) Dominant Cycle Language: MQL5 for MetaTrader 5
A digital signal processing (DSP) engine that applies the Discrete Fourier Transform (DFT) to market data, isolating the dominant cyclical frequency to project turning points and eliminate phase-lag
Institutional GARCH(1,1) Volatility Forecaster for MetaTrader 5
A predictive quantitative engine that replaces lagging retail ATR, it utilizes the Nobel-prize-winning GARCH(1,1) econometric model to mathematically forecast future market volatility and variance
Institutional StatArb and Cointegration Spread Z-Score for MetaTrader 5
A quantitative multi-asset oscillator designed for Statistical Arbitrage (Pairs Trading), it calculates the logarithmic spread between two correlated assets and measures its Z-Score to identify risk-neutral mean-reverting opportunities
Articles
Building an Object-Oriented Session VWAP Engine in MQL5 for MetaTrader 5
This article shows how to implement a session vwap in MQL5 as a reusable include class with a strict daily reset at broker midnight. The engine computes VWAP and volume‑weighted deviation bands only on closed bars and anchors accumulation with MqlDateTime to avoid distortions from missing candles. A
Building an Object-Oriented Z-Score Statistical Arbitrage Engine in MQL5 for MetaTrader 5
This article shows how to implement a production Z-Score engine in MQL5 using an object-oriented include file, the library computes a rolling mean and population standard deviation, exposes a shift parameter for historical queries, and avoids redundant tick work by running on bar close. An Expert
Building an Object-Oriented ONNX Inference Engine in MQL5 for MetaTrader 5
This article shows how to run Python-trained models natively in MetaTrader 5 via the terminal's ONNX functions. We build an MQL5 class that encapsulates session creation, fixes input/output tensor shapes, applies min-max feature normalization to mirror training, and executes OnnxRun once per bar to
Building an Object-Oriented FVG Scanner in MQL5 for MetaTrader 5
Create an object-oriented fair value gap (FVG) scanner in MQL5 and display liquidity gaps directly on a MetaTrader 5 chart, this article formalizes the imbalance geometry based on three candlesticks, synchronizes OHLC arrays with CopyRates, manages rectangles without leaks, and monitors mitigation
From Simple Close Buttons to a Rule-Based Risk Dashboard in MQL5 for MetaTrader 5
Build a rule-based on-chart risk management panel in MetaTrader 5 using the MQL5 Standard Library. The guide covers a CAppDialog-based GUI, manual event routing, and an automated update loop. You will bind UI events to CTrade to execute conditional closures, show net floating P/L, and read automated