Exporting MQL5 Tick History to a Fixed-Width Binary Format
Summary
The article explains how to export MetaTrader 5 tick history for offline analysis using a compact binary file instead of CSV. It specifies a 64-byte header and fixed 48-byte tick records containing millisecond timestamps, bid and ask prices, last price, volume, and change flags. Fixed-width records support direct indexing by tick number, while preserving the exact binary representation of prices and avoiding text parsing.
The proposed MQL5 pipeline retrieves all tick types over a chosen date range with CopyTicksRange(), then writes the header and tick records using binary file functions. A companion Python reader interprets the header and loads the records into a NumPy structured array for analysis such as spread statistics. The article reports substantially smaller files and faster loading than CSV, but those performance claims are tied to its described setup. The approach depends on the terminal having the requested history, does not fetch huge ranges in chunks, omits real volume, and uses a little-endian layout that requires conversion on big-endian systems.
Key ideas
- A fixed-width binary record makes tick data compact and allows direct access to any record by offset.
- Millisecond timestamps retain event ordering that second-resolution time values can obscure.
- The header records format identity, symbol metadata, time range, and the number of tick records.
- CopyTicksRange() can retrieve all available tick event types across a specified millisecond time range.
- The format is designed for fast NumPy loading but assumes little-endian byte order and available terminal history.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.