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✅ Get Market Depth Data (MarketBookGetAsync)

Request: Get current Depth of Market (order book) snapshot for a subscribed symbol on MT5.

API Information:

  • SDK wrapper: MT5Account.MarketBookGetAsync(...) (from NuGet package MetaRPC.MT5)
  • gRPC service: mt5_term_api.MarketInfo
  • Proto definition: MarketBookGet (defined in mt5-term-api-market-info.proto)

RPC

  • Service: mt5_term_api.MarketInfo
  • Method: MarketBookGet(MarketBookGetRequest) → MarketBookGetReply
  • Low‑level client (generated): MarketInfo.MarketInfoClient.MarketBookGet(request, headers, deadline, cancellationToken)
  • SDK wrapper (your class):
namespace mt5_term_api
{
    public class MT5Account
    {
        public async Task<MarketBookGetData> MarketBookGetAsync(
            string symbol,
            DateTime? deadline = null,
            CancellationToken cancellationToken = default);
    }
}

Request message:

MarketBookGetRequest { symbol }

Reply message:

MarketBookGetReply { data: MarketBookGetData }

🔽 Input

Parameter Type Description
symbol string Symbol name (must be subscribed via MarketBookAddAsync)
deadline DateTime? Absolute per‑call UTC deadline → converted to timeout
cancellationToken CancellationToken Cooperative cancel for the call/retry loop

⬆️ Output — MarketBookGetData

Field Type Description
MqlBookInfos List<MrpcMqlBookInfo> Array of DOM entries (price levels)

MrpcMqlBookInfo — DOM entry structure

Field Type Description
Type BookType Order type (Sell, Buy, SellMarket, BuyMarket)
Price double Price level
Volume long Volume at this price (in contracts/lots)
VolumeReal double Real volume at this price

BookType

  • Sell (0) — Sell order (Offer/Ask side)
  • Buy (1) — Buy order (Bid side)
  • SellMarket (2) — Sell market order
  • BuyMarket (3) — Buy market order

💬 Just the essentials

  • What it is. Returns current order book snapshot with bid/ask price levels and volumes.
  • Why you need it. Analyze liquidity, identify support/resistance, implement DOM-based strategies.
  • Sanity check. If MqlBookInfos.Count > 0 → DOM data available. Empty list = no data or not subscribed.

🎯 Purpose

Use it to analyze order book:

  • Get bid/ask price levels.
  • Analyze liquidity distribution.
  • Identify large orders (support/resistance).
  • Implement order flow strategies.

🧩 Notes & Tips

  • Subscription required: Must call MarketBookAddAsync first, otherwise get empty list.
  • Snapshot data: Returns current state at call time. For real-time updates use streaming (SubscribeToBookEvent).
  • Price sorting: Entries typically sorted by price (best bid/ask first). Verify sorting in your code.
  • Empty result: If MqlBookInfos is empty, either not subscribed or broker doesn't provide DOM.
  • Broker limitations: Most Forex brokers don't provide DOM. Available mainly for futures, stocks, crypto.

🔗 Usage Examples

1) Basic DOM retrieval

// acc — connected MT5Account
// Symbol must be subscribed via MarketBookAddAsync first

var domData = await acc.MarketBookGetAsync("BTCUSD");

Console.WriteLine($"DOM entries: {domData.MqlBookInfos.Count}");

foreach (var entry in domData.MqlBookInfos.Take(10))
{
    var side = entry.Type == BookType.BookTypeBuy ? "BID" : "ASK";
    Console.WriteLine($"{side} | Price: {entry.Price:F2} | Volume: {entry.VolumeReal:F4}");
}

2) Analyze best bid/ask

var domData = await acc.MarketBookGetAsync("ETHUSD");

if (domData.MqlBookInfos.Count > 0)
{
    var bids = domData.MqlBookInfos
        .Where(e => e.Type == BookType.BookTypeBuy)
        .OrderByDescending(e => e.Price);

    var asks = domData.MqlBookInfos
        .Where(e => e.Type == BookType.BookTypeSell)
        .OrderBy(e => e.Price);

    var bestBid = bids.FirstOrDefault();
    var bestAsk = asks.FirstOrDefault();

    if (bestBid != null && bestAsk != null)
    {
        var spread = bestAsk.Price - bestBid.Price;
        Console.WriteLine($"Best Bid: {bestBid.Price} | Best Ask: {bestAsk.Price} | Spread: {spread}");
    }
}

3) Find large orders (liquidity analysis)

var domData = await acc.MarketBookGetAsync("ES"); // E-mini S&P 500

// Find orders with volume > 100 contracts
var largeOrders = domData.MqlBookInfos
    .Where(e => e.Volume > 100)
    .OrderByDescending(e => e.Volume);

Console.WriteLine("Large orders (potential support/resistance):");
foreach (var order in largeOrders.Take(5))
{
    var side = order.Type == BookType.BookTypeBuy ? "BID" : "ASK";
    Console.WriteLine($"{side} | Price: {order.Price} | Volume: {order.Volume}");
}

4) Calculate total liquidity by side

var domData = await acc.MarketBookGetAsync("XAUUSD");

var totalBidVolume = domData.MqlBookInfos
    .Where(e => e.Type == BookType.BookTypeBuy)
    .Sum(e => e.VolumeReal);

var totalAskVolume = domData.MqlBookInfos
    .Where(e => e.Type == BookType.BookTypeSell)
    .Sum(e => e.VolumeReal);

var bidAskRatio = totalBidVolume / (totalAskVolume > 0 ? totalAskVolume : 1);

Console.WriteLine($"Total Bid Liquidity: {totalBidVolume:F2}");
Console.WriteLine($"Total Ask Liquidity: {totalAskVolume:F2}");
Console.WriteLine($"Bid/Ask Ratio: {bidAskRatio:F2}");

5) Continuous DOM monitoring (polling)

var symbol = "BTCUSD";

// Subscribe first
var subResult = await acc.MarketBookAddAsync(symbol);
if (!subResult.OpenedSuccessfully)
{
    Console.WriteLine("DOM not available");
    return;
}

// Poll DOM every second for 10 iterations
for (int i = 0; i < 10; i++)
{
    var domData = await acc.MarketBookGetAsync(symbol);

    if (domData.MqlBookInfos.Count > 0)
    {
        var bestBid = domData.MqlBookInfos
            .Where(e => e.Type == BookType.BookTypeBuy)
            .MaxBy(e => e.Price);

        var bestAsk = domData.MqlBookInfos
            .Where(e => e.Type == BookType.BookTypeSell)
            .MinBy(e => e.Price);

        Console.WriteLine($"[{DateTime.Now:HH:mm:ss}] Bid: {bestBid?.Price} | Ask: {bestAsk?.Price}");
    }

    await Task.Delay(1000); // Wait 1 second
}

// Unsubscribe when done
await acc.MarketBookReleaseAsync(symbol);

6) DOM-based entry strategy (example)

// Simple strategy: Enter when large order appears near current price
var domData = await acc.MarketBookGetAsync("ES");
var currentPrice = (await acc.SymbolInfoTickAsync("ES")).Bid;

var nearbyLargeOrders = domData.MqlBookInfos
    .Where(e => Math.Abs(e.Price - currentPrice) < 5.0) // Within 5 points
    .Where(e => e.Volume > 200) // Large order
    .ToList();

if (nearbyLargeOrders.Any())
{
    Console.WriteLine($"⚠ {nearbyLargeOrders.Count} large order(s) near price {currentPrice}");

    foreach (var order in nearbyLargeOrders)
    {
        var side = order.Type == BookType.BookTypeBuy ? "Support" : "Resistance";
        Console.WriteLine($"{side} at {order.Price} with volume {order.Volume}");
    }

    // Implement your entry logic here
}