Collecting Millisecond Ask-Bid Tick Data for Microstructure Analysis
Summary
The document describes a MetaTrader 5 utility for recording real-time ask and bid ticks to a CSV file. Users can choose the output filename, column delimiter, and timestamp format. The timestamp records local computer time when each tick arrives, with millisecond precision provided through a Windows system library. The output file is saved in the terminal’s data directory, and the full path is shown in the platform’s Experts log.
The tool is intended to support high-resolution market microstructure analysis, but the document cautions that some ticks may be missing. It attributes missing observations partly to market activity and hardware speed, explaining that new tick events are not queued while the handler is busy. As a result, timestamp precision and tick completeness involve a practical tradeoff, and the notes provide no measurements of data loss or comparison against an independent feed.
Key ideas
- The utility exports incoming ask and bid ticks with millisecond arrival timestamps.
- Output format settings include the filename, delimiter, and timestamp style.
- Ticks may be missed when event handling cannot keep up, with hardware speed cited as a factor.
- The document gives no quantified assessment of tick completeness or timestamp accuracy.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.