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OrderBook Cumulative Indicator


Order Book, also known as Market Book, market depth, price glass, Level 2 , is a dynamically updated table provided by the broker with data on the current volumes of trading orders for buying and selling for various price levels near the Bid and Ask of a particular financial instrument.

MetaTrader 5 provides the ability to broadcast the price glass, but only in real time. This indicator OrderBook Cumulative Indicator allows you to accumulate the data of the glass online and visualize them on the chart of quotations. In addition, the indicator can show the state of the glass in the past, reading data from archives created with OrderBook Recorder. The indicator is based on the OrderBook History Library, which can be integrated into any of your Expert Advisors or indicators.

  • ShowHistory-flag to enable viewing the glass in the past, based on data from archived files; by default, false-the mode is disabled, and the indicator collects and shows data online;
  • ShowHistoryFrom – the date from which archives are searched when ShowHistory is enabled;
  • charCode – the symbol code used to display the indicator; it can be any of the characters in the Wingdings font; by default, -1, which means displaying numeric codes from 1 to 10 corresponding to the relative size of the volumes;
  • AveragingPeriod – the period of averaging the events of the glass using exponential smoothing, continuously; by default, 0, which means the accumulation and averaging of the events of the glass separately on each bar; at the end of the bar, the statistics collected are not taken into account further, and the volumes begin to average again;
  • OrderBook_FileFolder – the name of the root folder where the subfolders with the glass files are located; by default, “Books” is used; each subfolder is named by the symbol name;
  • OrderBook_UseCommonFiles – option to read files from the current terminal folder (false, default) or from the shared folder of all terminals (true); use the shared folder to check in the local tester;
  • OrderBook_TimeZoneCorrection-date and time correction for cases when the glass archives are read in the terminal, where the server time zone is different from the one used for recording the archives; set in seconds; for example, if the glass was saved with the server time GMT 3 and then played back on the server quotes with GMT 2, the correction should be equal to 1 hour (-3600 seconds), since at GMT 2 the times are 1 hour behind (i.e. they are less) from GMT 3;
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