I offer you an expert utility for saving data on open interest( OI), the ratio of the number of orders of sellers/buyers and the ratio of the volume of orders of sellers/buyers in the Russian futures market FORTS. This is the first product in this series. Now it is possible to maintain a history of the specified data in real time in the MT5 terminal. This will allow you to develop qualitatively new trading strategies or significantly improve existing ones.

The data received from the FORTS market is stored in the form of a database (text CSV or binary-at the user’s choice). Thus, when the trading session ends and the terminal (or computer) is turned off, the data is saved and can be used in operation when the terminal is started again. For example, they are displayed as a graph.

The data is stored in files in the following format – in the form of M1-candles species DateTime;Open;High;Low;Close where DateTime start time of M1 bar, Open value at the beginning of M1 bar, High/Low – the maximum/minimum value and Close value at the close of M1 bar (open new). Thus, you can see the change in the open interest inside the bar and its dynamics in comparison with neighboring bars. Separate fields are separated by semicolons.

Example of an entry in a CSV file:

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• Use CSV-file: Yes-the history is saved in a CSV text file; No-the history is saved in a binary file. In binary format, data takes up less disk space and is accessed faster. This only matters for large amounts of data (over several months).

• Use Common Directory: Yes – to use a shared directory for all terminals to store the database history; No – each set in the system MT5 terminal stores the data in its own directory: “MQL5/Files/OpenInterest” – for the public interest, “MQL5/Files/TotalOrders” – for the number of orders, “MQL5/Files/OrdersVolume” – for volume orders.

• Save Open Interest History: Yes-enable; No – disable saving the history of an open interest in a file. The timeframe of the chart does not matter – the history is always saved in the form of minute bars.

• Open Interest File Name Prefix – a prefix for forming the name of the history file based on the open interest. The file name is formed from the prefix, the tool name, and the extension (CSV or BIN). For example: “OpenInterest-GAZR-6.14. CSV“. If an empty string is specified as the prefix, the default prefix ‘OpenInterest’is used.

• Save Total Orders History: Yes-enable; No – disable saving history by the ratio of the number of orders of sellers/buyers in the file. The timeframe of the chart does not matter – the history is always saved in the form of minute bars. The data is stored in two separate files – for sellers and buyers.

• Total Orders File Name Prefix-a prefix for forming the name of the history file based on the ratio of the number of orders of sellers/buyers. The file name is formed from the prefix, the seller/buyer attribute, the tool name, and the extension (CSV or BIN). For example: “TotalOrdersBUY-GAZR-6.14. CSV“. If an empty string is specified as a prefix, the default prefix ‘TotalOrders’is used.

• Save Orders Volume History: Yes-enable; No – disable saving the history by the ratio of the volume of orders of sellers/buyers in the file. The timeframe of the chart does not matter – the history is always saved in the form of minute bars. The data is stored in two separate files – for sellers and buyers.

• Orders Volume File Name Prefix-a prefix for forming the name of the history file based on the ratio of the volume of orders of sellers/buyers. The file name is formed from the prefix, the seller/buyer attribute, the tool name, and the extension (CSV or BIN). For example: “OrdersVolumeSELL-GAZR-6.14. CSV“. If an empty string is specified as a prefix, the default prefix ‘OrdersVolume’is used.

Use CSV-file: Yes-the history is saved in a CSV text file; No-the history is saved in a binary file. In binary format, data takes up less disk space and is accessed faster. This only matters for large amounts of data (over several months).

Use Common Directory: Yes – to use a shared directory for all terminals to store the database history; No – each set in the system MT5 terminal stores the data in its own directory: “MQL5/Files/OpenInterest” – for the public interest, “MQL5/Files/TotalOrders” – for the number of orders, “MQL5/Files/OrdersVolume” – for volume orders.

Save Open Interest History: Yes-enable; No – disable saving the history of an open interest in a file. The timeframe of the chart does not matter – the history is always saved in the form of minute bars.

Open Interest File Name Prefix – a prefix for forming the name of the history file based on the open interest. The file name is formed from the prefix, the tool name, and the extension (CSV or BIN). For example: “OpenInterest-GAZR-6.14. CSV“. If an empty string is specified as the prefix, the default prefix ‘OpenInterest’is used.

Save Total Orders History: Yes-enable; No – disable saving history by the ratio of the number of orders of sellers/buyers in the file. The timeframe of the chart does not matter – the history is always saved in the form of minute bars. The data is stored in two separate files – for sellers and buyers.

Total Orders File Name Prefix-a prefix for forming the name of the history file based on the ratio of the number of orders of sellers/buyers. The file name is formed from the prefix, the seller/buyer attribute, the tool name, and the extension (CSV or BIN). For example: “TotalOrdersBUY-GAZR-6.14. CSV“. If an empty string is specified as a prefix, the default prefix ‘TotalOrders’is used.

Save Orders Volume History: Yes-enable; No – disable saving the history by the ratio of the volume of orders of sellers/buyers in the file. The timeframe of the chart does not matter – the history is always saved in the form of minute bars. The data is stored in two separate files – for sellers and buyers.

Orders Volume File Name Prefix-a prefix for forming the name of the history file based on the ratio of the volume of orders of sellers/buyers. The file name is formed from the prefix, the seller/buyer attribute, the tool name, and the extension (CSV or BIN). For example: “OrdersVolumeSELL-GAZR-6.14. CSV“. If an empty string is specified as a prefix, the default prefix ‘OrdersVolume’is used.

Offer for interested users:

If you have any ideas for improving this product or any of the others I offer, then write about them. If the idea is implemented, its author will receive a significant discount on any of the products I offer.

Please write all the suggestions in the “Discussion” section of this page – this will allow you to document the primacy and authorship of the idea.

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