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Scripts/MyScripts/Market_Scanner_Pro.md
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## 1. Summary (Introduction)
The `Market_Scanner_Pro` is a high-performance quantitative analysis tool designed to bridge the gap between technical charting and AI-assisted trading. It is an "Institutional Market X-Ray" that performs a multi-timeframe, multi-indicator scan across a portfolio of assets and exports the market state into a structured CSV format.
**Market Scanner Pro** is an "Ultra-High Frequency" quantitative analysis tool designed to bridge the gap between technical charting and AI-assisted trading. It generates the **"QuantScan 9.0"** dataset, a dense CSV report containing over 30 institutional-grade metrics for every asset in your watchlist.
This dataset ("QuantScan 3.0") is optimized for Large Language Models (LLMs) or statistical analysis tools. Instead of raw price data, it provides normalized scores (Z-Score, Efficiency Ratio, Relative Strength), offering deep insights into Trend Quality, Institutional Footprints, and Statistical Reversion risks.
Unlike standard screeners, this tool analyzes the **structure, stability, and statistical anomalies** of the price action, not just simple indicator crossovers.
## 2. Methodology and Logic
## 2. The 3-Layer Fractal Model
The script employs a **Hybrid Analysis Model** with three core layers:
To provide a complete market X-Ray, metrics are calculated across three synchronized timeframes:
1. **Context Layer (H1):** Determines the "Big Picture". It identifies the dominant trend direction, the structural quality of that trend, and correlation with the broader market (Relative Strength).
2. **Trigger Layer (M15):** Analyzes "Execution Timing". It monitors momentum shifts, volatility regimes, and statistical extremes.
3. **Institutional Layer (New):** Detects hidden market mechanics, specifically "Absorption" (high volume vs. low range) and extreme probability of mean reversion.
1. **Layer 1: Context (H1):** Determines the Strategic Direction. Is the market trending or ranging? Is the move efficient?
2. **Layer 2: Flow (M15):** Determines the Tactical State. Is price cheap or expensive (Value)? Is momentum sustaining?
3. **Layer 3: Trigger (M5):** Determines the Execution Timing. Is there immediate velocity and volume support?
### Key Metrics Defined
## 3. The "QuantScan 9.0" Dataset (Column Dictionary)
* **Trend Score (Z-Score & Deviation):** Measures how far the price is from the trend baseline in units of volatility (ATR).
* **Relative Strength (RS):** Compares the asset's performance against a Benchmark (e.g., US500) over the last 24 hours. A positive RS indicates the asset is outperforming the market.
* **Institutional Absorption:** A logical check based on Wyckoff principles. If Volume is extreme (RVOL > 2.0) but Price Movement is small, it indicates passive limit orders absorbing aggressive market orders—often a sign of a reversal.
* **Reversion Probability:** A composite score (0-100%) that combines Z-Score extremes, Murrey Levels, and Momentum Exhaustion to predict a potential pullback.
The CSV output contains the following metrics. Use this legend to interpret the data or guide your LLM.
## 3. MQL5 Implementation Details
### A. Global Sentiment (Header)
The script is built upon the **"Professional Indicator Suite"** architecture, ensuring mathematical precision and performance.
* **Format:** `RISK-ON (US:+0.5% DX:-0.3%)`.
* **Logic:** Compares S&P 500 vs Dollar Index.
* **Risk-On:** Stocks Up, Dollar Down (Bullish for Crypto/EURUSD).
* **Risk-Off:** Stocks Down, Dollar Up (Bearish).
* **Calculation Engines (`.mqh`):** It directly instantiates optimized Calculation Classes (e.g., `CDSMACalculator`, `CVWAPCalculator`) rather than using slow `iCustom` calls.
* **Defensive Programming:** Includes rigorous safety checks (e.g., array bounds checking in ATR) to prevent runtime crashes during large-scale scanning.
* **Smart Data Fetching:** Utilizes efficient `FetchData` wrappers to retrieve and sync OHLCV data for multiple timeframes instantaneously.
### B. Layer 1: H1 Context (Strategy)
## 4. Parameters
* **Scanner Config:**
* `InpUseMarketWatch`: If `true`, scans all active symbols.
* `InpSymbolList`: Custom symbol list (if using manual selection).
* `InpBenchmark`: The symbol for Relative Strength comparison (Default: `US500`).
* **`InpBrokerTimeZone`**: **NEW!** Your broker's timezone name (e.g. `EET`, `UTC+3`). This string is added to the CSV header so the AI knows the context of the timestamp (crucial for detecting Session Opens/Closes).
* **`InpScanHistory`**: **NEW!** Number of bars to download for analysis (Default: `500`). Increase this if using slow moving averages (200 SMA).
* **Timeframes:**
* `InpTFFast` (Trigger): Default `M15`.
* `InpTFSlow` (Context): Default `H1`.
* **Metric Settings:**
* **`InpRSBars`**: **NEW!** Lookback period for Relative Strength calculation.
* `24 (Default on H1)` = 24 Hours performance.
* `120` = Weekly performance.
* Indicators fine-tuning (DSMA, Gamma, etc).
* **Squeeze Settings:**
* Allows fine-tuning of the Volatility Squeeze sensitivity (`BB Multiplier`, `KC Multiplier`).
* **TSI Settings:**
* Customizable periods for the True Strength Index (Cycle).
## 5. Output Data Structure (CSV - QuantScan 3.0)
The script generates a file named `QuantScan_YYYY.MM.DD_HHMM.csv` in the `MQL5\Files` folder.
| Header | Description | Interpretation / ranges |
| Metric | Full Name | Interpretation |
| :--- | :--- | :--- |
| **`TIME`** | Timestamp | `YYYY.MM.DD HH:MM` format. |
| **`SYMBOL`** | Asset Name | e.g., `EURUSD`. |
| **`PRICE`** | Current Bid | The snapshot price at scan time. |
| **`TREND_SCORE`** | **H1 Trend Strength** | Normalized deviation. <br>• `> +1.0`: Strong Bull<br>• `< -1.0`: Strong Bear |
| **`TREND_QUAL`** | **H1 Efficiency** | Trend noise filter (Kaufman ER). <br>• `> 0.6`: Clean Trend (Safe to trade) |
| **`ZONE`** | **H1 Structure** | Murrey Math Level. <br>• `Extreme`: Reversal zone.<br>• `Range`: Trading zone. |
| **`REL_STRENGTH`** | **Relative Perf.** | Performance vs Benchmark (24h). <br>• `> 0%`: Leader (Stronger than market)<br>• `< 0%`: Laggard (Weaker than market) |
| **`MOMENTUM`** | **M15 Laguerre** | Fast momentum (0.0 - 1.0). <br>• `> 0.85`: Bullish Pressure (Gamma lag) |
| **`VOL_QUAL`** | **M15 RVOL** | Relative Volume. <br>• `> 1.5`: High Activity<br>• `< 0.7`: Low Low Interest |
| **`SQUEEZE`** | **M15 Vola State** | TTM Squeeze status. <br>• `ON`: Energy building (Prepare for breakout). |
| **`Z_SCORE`** | **M15 Statistics** | Standard Deviations from mean. <br>• `> 2.5`: Statistically Extreme. |
| **`VOL_REGIME`** | **M15 Vola Trend** | Ratio of Short/Long ATR. <br>• `> 1.0`: Volatility is expanding. |
| **`TSI_DIR`** | **M15 Cycle** | Cycle direction (`BULL` / `BEAR`). |
| **`REVERSION_PROB`** | **Reversion %** | Composite probability of a pullback. <br>• `> 80%`: High risk of reversal. |
| **`ABSORPTION`** | **Inst. Volume** | Wyckoff Absorption signal. <br>• `YES`: High Vol + Small Body (Hidden activity). |
| **ALPHA** | Alpha Excess Return | True performance adjusted for market risk. |
| **BETA** | Beta Sensitivity | `>1.5`: Aggressive/Volatile. `<0.5`: Defensive. |
| **VHF** | **Vertical Horizontal Filter** | Trend Intensity. `>0.40`: Trending. `<0.30`: Ranging. |
| **R2** | **R-Squared** | Trend Linearity. `>0.7`: Perfect straight line. `<0.3`: Random mess. |
| **ZONE** | Market Structure | Murrey Math Level. `Extreme` areas imply reversal risk. |
## 6. Usage Workflow
### C. Layer 2: M15 Flow (Tactics)
1. **Run the Script:** Drag `Market_Scanner_Pro` onto any chart.
2. **Wait for Completion:** Check the "Experts" tab.
3. **Locate File:** Open "File -> Open Data Folder -> MQL5 -> Files".
4. **Process with AI:** Upload the `QuantScan_....csv` file to your LLM with a prompt like:
| Metric | Full Name | Interpretation |
| :--- | :--- | :--- |
| **V_SCORE** | **VWAP Z-Score** | Deviation from VWAP. `>2.0`: Expensive. `< -2.0`: Cheap (Value). |
| **AUTOCORR** | **Lag-1 Autocorrelation** | Regime filter. `>0`: Momentum. `<0`: Mean Reversion (Ping-pong). |
| **VOL_REGIME** | Volatility Regime | `>1.0`: Expansion (Impulse). `<1.0`: Contraction (Rest). |
| **SQZ** | Volatility Squeeze | `ON`: Potential explosive move building up. |
| **SQZ_MOM** | Squeeze Momentum | Direction and strength of the potential breakout. |
| **VHF** | **Vertical Horizontal Filter** | Trend Intensity. `>0.40`: Trending. `<0.30`: Ranging. |
| **R2** | **R-Squared** | Trend Linearity. `>0.7`: Perfect straight line. `<0.3`: Random mess. |
| **DIST_PDH/L** | Distance Prev High/Low | Space to key daily levels (ATR units). |
> *"Analyze this market data. Look for two specific setups:*
>
> 1. ***The Whale Utility:** Strong Trend (`TREND_SCORE > 0.5`) + Strong Relative Strength (`REL_STRENGTH > 0`) + Squeeze is `ON`.
> 2. ***The Reversion Trap:** High Reversion Probability (`> 80%`) AND Absorption is `YES`.
>
> *List the top 3 candidates for each."*
### D. Layer 3: M5 Trigger (Execution)
| Metric | Full Name | Interpretation |
| :--- | :--- | :--- |
| **VEL** | **velocity** | Signed Speed. `>1.0`: Fast Rally. `<-1.0`: Fast Drop. |
| **VOL_THRUST** | Volume Thrust | Ratio of M5/M15 RVOL. `>1.5`: Accelerating volume. |
| **COST_ATR** | Spread Cost | `>0.3`: Expensive spread (Low liquidity). |
### E. Composites (Decision Support)
| Metric | Full Name | Interpretation |
| :--- | :--- | :--- |
| **ABSORPTION** | Institutional Absorption | `YES`: High Volume + Small Candle = Hidden Reversal. |
| **MTF_ALIGN** | Timeframe Alignment | `FULL_BULL` = H1, M15, and M5 cycles agree. High probability. |
## 4. How to Analyze (LLM Prompts)
### **Scenario 1: The "Unstoppable Trend"**
>
> *"Find assets where `R2_H1 > 0.7` AND `VHF_H1 > 0.4` (Strong Linear Trend). Ensure `MTF_ALIGN` is FULL_BULL and `M15_AUTOCORR` is positive (Momentum regime)."*
### **Scenario 2: The "Value Reversal"**
>
> *"Find assets where `V_SCORE_M15 < -2.0` (Cheap vs VWAP) AND `REV_PROB > 70%`. Check if `ABSORPTION` is YES."*
### **Scenario 3: The "Squeeze Breakout"**
>
> *"Find assets where `SQZ_M15` is ON (or recently broke out) AND `VEL_M5` is spiking (>1.0) with High `RVOL`."*