MQT Microstructure Analysis: Free MT5 Expert Advisor

Overview

MQT Microstructure Analysis transforms raw tick, quote, and Depth of Market events into structured measurements for order flow, liquidity depth, and price impact. The system includes specialized modules for calculating cumulative volume delta, VPIN, and realized volatility using several mathematical models. It is intended for developers building custom expert advisors or research tools that require granular insights into market dynamics and execution costs.

Order flow and liquidity depth analysis

Volume profile and cumulative volume delta

Tick and Depth of Market collectors

Price impact and volatility modeling

Details

Author

gregorian-09 on GitHub

Type

Framework & template

Platform

MetaTrader 5 (MQL5)

Markets

Any symbol

Timeframes

Any timeframe

Risk profile

No grid, martingale or hedging logic was found in its code or README. That says nothing about how it performs: backtest it first.

EA files

test_compile.mq5

Topics

algorithmic-tradingliquiditymarket-microstructuremetatrader5mql5order-flowprice-impacttradingvolatilityvolume-profile

Source

github.com/gregorian-09/mqt-microstructure

How to install it

1Download the sourceUse "Download source (.zip)" above, or clone gregorian-09/mqt-microstructure from GitHub, and unzip it.

2Open the data folderIn MetaTrader choose File, then Open Data Folder, and go to MQL5/Experts.

3Copy the filesCopy the .mq5 file into Experts, and any .mqh files into the Include folder the code expects.

4Compile in MetaEditorOpen the file in MetaEditor and press Compile. Fix any missing includes the compiler reports.

5Test before you tradeRun it in the Strategy Tester, then attach it to a demo chart and allow algorithmic trading.

Third-party code. ForexR did not write, test or endorse this EA, and the summary above was generated automatically from its README and code. ForexR lists only repositories with readable source code and never hosts files. Read the code, backtest it and use a demo account first; automated trading can lose money quickly.

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