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volume-profile

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Market microstructure analysis library for MQL5 (MT5). Tick/quote/book collectors, liquidity, order flow (CVD, VPIN), price impact (Kyle, Amihud, Hasbrouck, Almgren-Chriss), volatility (Parkinson, GK, YZ), trade classification, ACD duration, book resiliency, volume profile, information share.

  • Updated May 15, 2026
  • MQL5

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