Spread History Store

The naive way to answer "what is the typical spread at 14:00 server time" keeps a growing array of every observed sample and sorts it on every query - workable for a few hundred points, unworkable after weeks of tick-by-tick recording, both in memory and in the cost of sorting. This library trades unbounded sample precision for a bounded, 1-point- resolution histogram: 24 hour-of-day buckets and 4 session buckets, each holding a 300-slot count array (0 to 298 points 1:1, slot 299 catching "299 points or more"). Recording a sample is a single array increment; answering any percentile query is a single walk over 300 cumulative counts, regardless of whether the store has recorded a hundred samples or ten million. Sessions are classified from configurable server-time hour boundaries for London and New York; anything outside both windows falls through to Asian, so the overnight wrap needs no special-case handling. The London/ New York overlap is computed as the genuine intersection of the two configured windows, not a separately hand-tuned range, so changing either session's boundaries automatically keeps the overlap consistent with them. Notes and limitations - The histogram resolution is fixed at 1 point per bucket up to 298 points; a 299th "overflow" bucket absorbs anything at or above that, reported as exactly 299 rather than the true (higher) value. This is more than enough range for ordinary forex spreads but will compress genuinely extreme spread spikes into that one bucket. - Session boundaries are server-time hours the caller supplies (or accepts as the shipped defaults). MQL4 has no built-in way to know a broker's server-time offset from GMT/UTC, so the same input hour can mean a different real-world time on different brokers - the shipped defaults are a reasonable approximation, not a guaranteed-correct session split for every broker. - SpreadHistoryStorePercentileFromBuckets() returns -1 (not 0) when a bucket set has no recorded samples yet, so a caller can distinguish "no data" from a genuine zero-point spread. - SpreadHistoryStore itself uses only fixed-size struct array members (both dimensions of every histogram are compile-time constants), so it copies and assigns safely as an ordinary value type with no manual deep-copy step needed. - This library performs no trading action; SpreadHistoryStoreRecordNow() is the only function that reads live market data, and only the current spread and current time - it opens no chart objects, orders, or files.

Script · MT4 · v1.0 · Free

Tags: Trading Sessions · MT4 Script · MQL4 Source Code

MQL4 & MQL5 scripts · PolyMaria