New free code from MQL5: indicators, EAs, and scripts for traders.
Overview
Research Basis
The model follows:
- Robert F. Engle and Jeffrey R. Russell, Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, 1998, available on JSTOR.
This program is intended for educational and research purposes only. Always test any use of it thoroughly on a demo account before risking real capital.
A companion article explains the feed checks, the rhythm and the model step by step, and reports the full volatility study across six symbols: Beyond Tick Volume: Measuring Market Activity from the Waits Between Quotes.
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Complement community code with advanced automation from RobotFX.
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