mql5/Experts/meanSpreadReversion/meanSpreadReversion.mq5

//--- Inputs (visible in Inputs tab)
input string   InpSymbol1  = "BTCUSD";   // Symbol 1
input string   InpSymbol2  = "ETHUSD";   // Symbol 2
input int      InpMaxLogs  = 100;       // Max logs to keep (mean/std/z-score when reached)

//+------------------------------------------------------------------+
//| Expert initialization function                                    |
//+------------------------------------------------------------------+
int OnInit()
  {
   ENUM_TIMEFRAMES tf = Period();
   int seconds = PeriodSeconds(_Period);
   EventSetTimer(seconds);
   Comment("meanSpreadReversion started. Chart timeframe: ", EnumToString(tf), " (log every ", seconds, " sec)");
   return(INIT_SUCCEEDED);
  }

  
// Parse "ask-spread" and "bid-spread" from a JSON line; return mid spread (average). Returns false if parse fails.
bool ParseSpreadFromLine(const string &line, double &outAskSpread, double &outBidSpread)
{
   int pa = StringFind(line, "\"ask-spread\":");
   int pb = StringFind(line, "\"bid-spread\":");
   if(pa < 0 || pb < 0) return false;
   // Skip "\"ask-spread\":" (13 chars) to start at the number
   int startA = pa + 13;
   int endA   = StringFind(line, ",", startA);
   if(endA < 0) endA = StringLen(line);
   int startB = pb + 13;
   int endB   = StringFind(line, "}", startB);
   if(endB < 0) endB = StringLen(line);
   outAskSpread = StringToDouble(StringSubstr(line, startA, endA - startA));
   outBidSpread = StringToDouble(StringSubstr(line, startB, endB - startB));
   return true;
}

void SavePriceToJSON(string symbol1, string symbol2)
{
   double sbl1_bid = SymbolInfoDouble(symbol1, SYMBOL_BID);
   double sbl1_ask = SymbolInfoDouble(symbol1, SYMBOL_ASK);
   double sbl2_bid = SymbolInfoDouble(symbol2, SYMBOL_BID);
   double sbl2_ask = SymbolInfoDouble(symbol2, SYMBOL_ASK);

   double ask_spread = MathLog(sbl1_ask) - MathLog(sbl2_ask);
   double bid_spread = MathLog(sbl1_bid) - MathLog(sbl2_bid);
   double current_spread = (ask_spread + bid_spread) * 0.5;

   ENUM_TIMEFRAMES tf = Period();
   string tfStr = EnumToString(tf);

   string json = "{";
   json += "\"time\":\"" + TimeToString(TimeCurrent(), TIME_DATE | TIME_MINUTES) + "\",";
   json += "\"timeframe\":\"" + tfStr + "\",";
   json += "\"symbol1\":\"" + symbol1 + "\",";
   json += "\"symbol2\":\"" + symbol2 + "\",";
   json += "\"ask1\":" + DoubleToString(sbl1_ask, 5) + ",";
   json += "\"bid1\":" + DoubleToString(sbl1_bid, 5) + ",";
   json += "\"ask2\":" + DoubleToString(sbl2_ask, 5) + ",";
   json += "\"bid2\":" + DoubleToString(sbl2_bid, 5) + ",";
   json += "\"ask-spread\":" + DoubleToString(ask_spread, 8) + ",";
   json += "\"bid-spread\":" + DoubleToString(bid_spread, 8) + "}";

   string filename = "prices_" + tfStr + ".json";

   // Read existing lines
   string lines[];
   ArrayResize(lines, 0);
   int file = FileOpen(filename, FILE_READ | FILE_TXT | FILE_ANSI | FILE_COMMON);
   if(file != INVALID_HANDLE)
   {
      while(!FileIsEnding(file))
      {
         string ln = FileReadString(file);
         StringTrimRight(ln);
         StringTrimLeft(ln);
         if(ln != "")
         {
            int n = ArraySize(lines);
            ArrayResize(lines, n + 1);
            lines[n] = ln;
         }
      }
      FileClose(file);
   }

   // Cap: if we have >= InpMaxLogs, keep only last (InpMaxLogs-1), then add new -> exactly InpMaxLogs
   if(ArraySize(lines) >= InpMaxLogs)
   {
      int keep = InpMaxLogs - 1;
      int start = ArraySize(lines) - keep;
      string trimmed[];
      ArrayResize(trimmed, keep);
      for(int i = 0; i < keep; i++)
         trimmed[i] = lines[start + i];
      ArrayResize(lines, keep);
      for(int i = 0; i < keep; i++)
         lines[i] = trimmed[i];
   }
   int n = ArraySize(lines);
   ArrayResize(lines, n + 1);
   lines[n] = json;

   // Write file (overwrite with exactly lines[])
   file = FileOpen(filename, FILE_WRITE | FILE_TXT | FILE_ANSI | FILE_COMMON);
   if(file == INVALID_HANDLE)
   {
      Print("FileOpen failed for ", filename, ", error ", GetLastError());
      return;
   }
   for(int i = 0; i < ArraySize(lines); i++)
   {
      if(i > 0) FileWriteString(file, "\n");
      FileWriteString(file, lines[i]);
   }
   FileClose(file);
   Print("Logged prices to Common\\Files\\", filename, " (", ArraySize(lines), " logs)");

   // When we have >= InpMaxLogs, compute mean, standard deviation, z-score
   if(ArraySize(lines) >= InpMaxLogs)
   {
      double spreads[];
      ArrayResize(spreads, ArraySize(lines));
      int count = 0;
      for(int i = 0; i < ArraySize(lines); i++)
      {
         double a = 0, b = 0;
         if(ParseSpreadFromLine(lines[i], a, b))
         {
            spreads[count++] = (a + b) * 0.5;
         }
      }
      if(count < 2) return;

      double sum = 0;
      for(int i = 0; i < count; i++) sum += spreads[i];
      double mean = sum / count;

      double sumSq = 0;
      for(int i = 0; i < count; i++)
         sumSq += (spreads[i] - mean) * (spreads[i] - mean);
      double variance = sumSq / count;
      double std = MathSqrt(variance);

      double zScore = (std > 0) ? (current_spread - mean) / std : 0;

      Print("Spread: mean=", DoubleToString(mean, 8), " std=", DoubleToString(std, 8),
            " current=", DoubleToString(current_spread, 8), " z-score=", DoubleToString(zScore, 4));
   }
}  
  
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
   EventKillTimer();
   Print("meanSpreadReversion stopped. Reason: ", reason);
  }
  
  
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
   // Log to file once per bar — frequency = chart timeframe (e.g. M5 -> every 5 min)
   static datetime lastBar = 0;
   datetime thisBar = iTime(_Symbol, _Period, 0);
   if(thisBar != lastBar)
   {
      lastBar = thisBar;
      SavePriceToJSON(InpSymbol1, InpSymbol2);
   }
  }