Market Profile Builder

A market profile needs a price histogram whose range is not known in advance - the session's eventual high and low only exist once the session is over - but "developing" is the entire point of a profile used for live trading: it has to be correct after every bar, not just at the close. Both MQL4 and MQL5 only allow the LEFTMOST dimension of a native array to be dynamic, so a growable 2D price/volume grid cannot be declared directly in either language. This header works around that with a struct-of-dynamic-arrays: SMarketProfile owns its own price-bin volume and touch-count arrays and grows them at either end as new bars arrive, which is exactly the pattern the array rules push toward for any genuinely ragged, size-unknown-in-advance 2D data on either platform. Running several independent profiles side by side - one per session, one per symbol - is just an array of SMarketProfile values, each with its own bin range. Without a tick-by-tick feed, no MT4 or MT5 program can know exactly where inside a bar's range price actually traded most. This header uses the same honestly-labelled approximation every bar-based profile tool uses: each bar's volume is spread evenly across every price bin its high-low range touches. It is an approximation, not a claim of tick-level accuracy, and the .txt says so plainly rather than pretending otherwise. The value area calculation follows the standard algorithm: starting from the point of control, it expands one bin at a time toward whichever side currently holds more volume just outside the band, until the accumulated volume reaches the target percentage (70% by convention). This keeps the value area contiguous around the point of control, rather than picking the highest-volume bins wherever in the range they happen to fall. Both headers are self-contained. No dependencies, no DLLs. Notes and limitations - Intrabar volume distribution is an approximation (even volume spread across the bar's range), not tick-accurate. It is the standard technique for any bar-based profile tool without a full tick history feed, but it should not be presented as replaying exactly where price traded within a bar. - "Volume" here is tick volume (iVolume on MQL4, iTickVolume on MQL5) - on most retail forex feeds this is not real traded contract volume. Read the broker's own documentation before treating profile shape as a genuine order-flow signal rather than an activity proxy. - Bin growth at the low end is an O(bins) shift-and-copy, not O(1). For the bin counts a realistic session produces (dozens to a few hundred) this is not measurable; it would matter for an unreasonably fine bin size run over a very wide range. - The value area algorithm assumes a single, sensible point of control. On a profile with multiple separated volume clusters of similar size, the 70% value area can still span across a thin middle bin - this matches how every standard market profile implementation behaves, not a bug specific to this header. - No money is at risk in either demo. Both read historical bar data only and never send a trade request.

Script · MT5 · v1.0 · Free

Tags: Volume · Trading Sessions · MT5 Script · MQL5 Source Code

MQL4 & MQL5 scripts · PolyMaria