95 lines
5.3 KiB
Markdown
95 lines
5.3 KiB
Markdown
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# Subscribing to order book changes
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The Python API includes three functions for working with the [order book](/en/book/automation/marketbook).
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bool market_book_add(symbol)
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The market_book_add function subscribes to receive events about order book changes for the specified symbol. The name of the required financial instrument is indicated in a single unnamed parameter.
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The function returns a boolean success indication.
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The function is an analog of [MarketBookAdd](/en/book/automation/marketbook/marketbook_add_release). After completing work with the order book, the subscription should be canceled by calling market_book_release (see further).
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tuple[] market_book_get(symbol)
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The market_book_get function requests the current contents of the order book for the specified symbol. The result is returned as a tuple (array) of BookInfo records. Each entry is an analog of the MqlBookInfo structure, and from the Python point of view, this is a named tuple with the fields "type", "price", "volume", "volume_real". In case of an error, the None value is returned.
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Note that for some reason in Python, the field is called volume_dbl, although in MQL5 the corresponding field is called volume_real.
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To work with this function, you must first subscribe to receive order book events using the market_book_add function.
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The function is an analog of [MarketBookGet](/en/book/automation/marketbook/marketbook_get). Please note that a Python script cannot receive OnBookEvent events directly and should poll the contents of the glass in a loop.
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bool market_book_release(symbol)
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The market_book_release function cancels the subscription for order book change events for the specified symbol. On success, the function returns True. The function is an analog of [MarketBookRelease](/en/book/automation/marketbook/marketbook_add_release).
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Let's take a simple example (see MQL5/Scripts/MQL5Book/Python/eurusdbook.py).
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```
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import MetaTrader5 as mt5
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import time # connect a pack for the pause
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# let's establish a connection to the MetaTrader 5 terminal
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if not mt5.initialize():
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print("initialize() failed, error code =", mt5.last_error())
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mt5.shutdown()
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quit()
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# subscribe to receive DOM updates for the EURUSD symbol
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if mt5.market_book_add('EURUSD'):
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# run 10 times a loop to read data from the order book
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for i in range(10):
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# get the contents of the order book
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items = mt5.market_book_get('EURUSD')
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# display the entire order book in one line as is
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print(items)
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# now display each price level separately in the form of a dictionary, for clarity
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for it in items or []:
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print(it._asdict())
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# let's pause for 5 seconds before the next request for data from the order book
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time.sleep(5)
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# unsubscribe to order book changes
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mt5.market_book_release('EURUSD')
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else:
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print("mt5.market_book_add('EURUSD') failed, error code =", mt5.last_error())
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# complete the connection to the MetaTrader 5 terminal
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mt5.shutdown()
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```
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An example of the result:
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```
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(BookInfo(type=1, price=1.20036, volume=250, volume_dbl=250.0), BookInfo(type=1, price=1.20029, volume=100, volume...
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{'type': 1, 'price': 1.20036, 'volume': 250, 'volume_dbl': 250.0}
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{'type': 1, 'price': 1.20029, 'volume': 100, 'volume_dbl': 100.0}
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{'type': 1, 'price': 1.20028, 'volume': 50, 'volume_dbl': 50.0}
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{'type': 1, 'price': 1.20026, 'volume': 36, 'volume_dbl': 36.0}
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{'type': 2, 'price': 1.20023, 'volume': 36, 'volume_dbl': 36.0}
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{'type': 2, 'price': 1.20022, 'volume': 50, 'volume_dbl': 50.0}
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{'type': 2, 'price': 1.20021, 'volume': 100, 'volume_dbl': 100.0}
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{'type': 2, 'price': 1.20014, 'volume': 250, 'volume_dbl': 250.0}
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(BookInfo(type=1, price=1.20035, volume=250, volume_dbl=250.0), BookInfo(type=1, price=1.20029, volume=100, volume...
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{'type': 1, 'price': 1.20035, 'volume': 250, 'volume_dbl': 250.0}
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{'type': 1, 'price': 1.20029, 'volume': 100, 'volume_dbl': 100.0}
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{'type': 1, 'price': 1.20027, 'volume': 50, 'volume_dbl': 50.0}
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{'type': 1, 'price': 1.20025, 'volume': 36, 'volume_dbl': 36.0}
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{'type': 2, 'price': 1.20023, 'volume': 36, 'volume_dbl': 36.0}
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{'type': 2, 'price': 1.20022, 'volume': 50, 'volume_dbl': 50.0}
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{'type': 2, 'price': 1.20021, 'volume': 100, 'volume_dbl': 100.0}
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{'type': 2, 'price': 1.20014, 'volume': 250, 'volume_dbl': 250.0}
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(BookInfo(type=1, price=1.20037, volume=250, volume_dbl=250.0), BookInfo(type=1, price=1.20031, volume=100, volume...
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{'type': 1, 'price': 1.20037, 'volume': 250, 'volume_dbl': 250.0}
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{'type': 1, 'price': 1.20031, 'volume': 100, 'volume_dbl': 100.0}
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{'type': 1, 'price': 1.2003, 'volume': 50, 'volume_dbl': 50.0}
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{'type': 1, 'price': 1.20028, 'volume': 36, 'volume_dbl': 36.0}
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{'type': 2, 'price': 1.20025, 'volume': 36, 'volume_dbl': 36.0}
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{'type': 2, 'price': 1.20023, 'volume': 50, 'volume_dbl': 50.0}
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{'type': 2, 'price': 1.20022, 'volume': 100, 'volume_dbl': 100.0}
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{'type': 2, 'price': 1.20016, 'volume': 250, 'volume_dbl': 250.0}
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...
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```
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