Andy Salke

Starting with MQL5: An Introductory Guide to Building Trading Algorithms


As time progresses, financial trading continues to gain more popularity. With the leaps and bounds in technology, automation has become an essential cog in the wheel for many traders' strategies. MQL5 programming serves as a stellar example of this tech advancement, making trading automation not just a concept, but a reality.

Definition of MQL5 programming

The programming language MQL5, which stands for MetaQuotes Language 5, is used to create Expert Advisors (EAs), customized indicators, and trading strategies for MetaTrader 5 (MT5). It is a high-level, simple to learn language that can be used to build intricate financial market algorithms.

Importance of MQL5 programming in trading

MQL5 programming plays a crucial role in financial trading by enabling traders to automate their trading strategies. With automation, traders can reduce the impact of emotions on decision-making and react faster to market changes.

Additionally, automated systems can monitor multiple markets simultaneously, which would be impossible for human traders. MQL5 also makes it easier for traders to develop custom indicators and EAs that fit their specific needs or preferences.

This gives them an edge over other traders who rely only on standard indicators or EAs provided by their platforms. Furthermore, MQL5 provides access to historical market data, which can be used for backtesting and optimizing trading strategies before applying them in live markets.

Event-Driven Programming in MQL5

Event-driven programming is a popular approach to programming where programs are designed around events or user actions. In this approach, programs respond to events such as mouse clicks or key presses by executing a set of predefined actions associated with those events. MQL5 supports event-driven programming through its built-in event handling system.

One advantage of event-driven programming in MQL5 is that it allows for efficient use of system resources since only events that require attention are processed at any given time. This can result in faster program execution and lower memory usage.

Handling Errors and Exceptions in MQL5 Programs

Even the best-written programs occasionally fall victim to mistakes or unanticipated circumstances that cause them to malfunction or crash. MQL5 offers a strong error handling system to address these circumstances, enabling programmers to find errors in their code, analyze them, and take appropriate action.

Try-catch blocks are one method for handling errors in MQL5. These blocks enable programmers to enclose code inside a try block that might otherwise result in an error.

If an error occurs during execution of the try block, control is transferred to the catch block, where the error can be handled appropriately. MQL5 also provides a set of built-in functions for debugging and diagnosing errors.

These functions include Print(), Alert(), and Comment() which allow developers to output information about program execution at various stages. Overall, by incorporating advanced concepts such as OOP, event-driven programming, and robust error handling mechanisms into your MQL5 programs, you can create more efficient and reliable financial trading strategies.

Creating Custom Indicators using MQL5 Programming Language

Understanding the Structure of an Indicator Program

An indicator program is a piece of code that, using price or volume data, runs a specific mathematical calculation to give traders additional market knowledge. An indicator program's structure is essentially the same as any other MQL5 program's, with the addition of some unique functions and variables.

The main function of an indicator program is `OnInit()`, which initializes the indicator by defining its parameters and chart window properties. Other functions used in indicators include `OnCalculate()`, which performs the actual calculation, and `OnChartEvent()`, which handles user events on the chart.

Defining Custom Variables for an Indicator

Creating personalized indicators calls for the careful identification of distinct variables to be utilized in computations. This is an essential step in the development process. We can classify these variables in two ways: either as fixed, internal variables, that remain unalterable by the users, or as adjustable inputs that grant users the flexibility to make changes as per their preferences within the settings of the indicator.

When you want to create a personalized input variable, start with the 'input' keyword, followed by the variable's name and type. Let's say you want to establish an input variable named "Period," which is an integer type. You would do it this way: input int Period;.

To define an internal variable, simply declare it within your code using its name and type. For example: `double myVariable;`

Creating a Custom Function for an Indicator

Tailored functions can be crafted within the indicator programs to facilitate specific calculations or operations. However, these functions need to be announced in your code before you start using them.

To create a custom function, first declare it using its return type, name and parameter list (if there are any). Then define its body within curly braces `{}`.

For example: ``` double myFunction(double x){

double result = x * 2; return result; } ```

This function takes a double parameter named 'x', doubles its value, and then presents the outcome as a double figure. By understanding the architecture of an indicator program, defining bespoke variables, and creating personalized functions within an indicator, you can develop powerful tools to refine your trading strategies using MQL5 programming.

Creating Expert Advisors using MQL5 Programming Language

The creation of an Expert Advisor (EA) is one of the most important elements in the financial trading industry. An EA is software that automatically executes trades on behalf of a trader following predefined rules and algorithms.

Understanding the structure of an Expert Advisor Program

The structure of an EA program consists of three main parts: initialization, deinitialization, and processing function. The initialization function is called once when the EA is attached to a chart; it allows traders to set up variables and perform other tasks before processing starts. The deinitialization function runs once when the EA is removed from the chart; it performs any cleanup tasks necessary.

The processing function runs continuously while the EA is running; it contains all the logic for making trade decisions. Additionally, there are built-in functions within MQL5 that make working with EAs easier.

For example, OrderSend() can be used to send orders from an EA to a broker for execution. OrderClose() closes open positions within an EA while OrderModify() modifies existing orders.

Trading functions available to Expert Advisors

MQL5 programming language also provides access to various trading functions that allow traders to interact with their account through the platform’s API (application programming interface). These functions include getting current account information (AccountInfoDouble(), AccountInfoInteger(), etc.), accessing market data (iHigh(), iLow(), etc.), and manipulating orders (OrderSend(), OrderClose(), etc.). Traders can also use more advanced functions such as CopyRates() and CopyTicks().

These functions allow traders to retrieve historical price data and ticks from the platform, respectively. This data can be used to backtest strategies or build custom indicators.

Creating custom functions for Expert Advisors

In addition to the built-in functions, traders can create their own custom functions in MQL5 programming language. Custom functions can be useful for situations where a trader needs to perform a specific task repeatedly throughout an EA program. To create a custom function, the function must first be defined with its input and output parameters.

For example:

//Custom Function Example

int calculateMovingAverage(int period, double[] price) { int i;

double sum = 0; for(i = 0; i < period; i++)

sum += price[i]; return(sum/period); }

The above function calculates the moving average of a given price array over a specified number of periods. This is just one example of how custom functions can be used within an EA program.

Overall, creating EAs using MQL5 programming language is not only an excellent way to automate trading strategies but provides traders with levels of control over their trading that would not otherwise be possible.

Making Use of Libraries in your Programs with MQL5 Programming Language

What is a Library?

A collection of previously defined functions that can be utilized in future projects is referred to as a library in MQL5. It is simple for developers to import these libraries into new projects because they are saved as files with the.mqh extension.

How to Use Existing Libraries

Basic mathematical operations to more complex trading algorithms are all covered by the wide range of standard libraries that come with MQL5. Simply import these libraries using the #include directive at the beginning of your code to start using them. The MQL5 programming language can be used in conjunction with a wide variety of third-party libraries in addition to these standard libraries, which are readily available online.

These libraries cover everything from charting tools and technical indicators to more complex trading strategies. One important thing to remember when using third-party libraries is that they may not always be fully compatible with the latest version of MQL5 or may not work as intended due to changes made by brokers or other factors outside your control.


To sum it up, mastering the structure of an indicator program and Expert Advisor (EA) through the use of MQL5 programming is pivotal for refining trading methodologies in the world of finance. Indicator programs empower traders with enriched market insights via the implementation of distinct functions and variables. These trading tools can be personalized by defining custom variables and functions.

Similarly, developing an EA is indispensable for executing automated trades. An EA consists of three key components: initialization, deinitialization, and a processing function, each having a significant impact on automated trading tasks.

Additionally, MQL5 comes loaded with various integral and sophisticated trading functions, providing traders the keys to access both account information and market data. The integration of these resources with well-crafted programming strategies presents a potent, flexible, and effective blueprint for navigating financial markets successfully.