ACD

A live market activity gauge in native MQL5: how busy the quote stream is right now, compared with what is normal for this time of day, updated on every quote.

Companion code for the MQL5 article: https://www.mql5.com/en/articles/24742

What it does

Tick volume answers "how many quotes arrived in this bar", which is a different question from "is the market unusually busy right now". Most of its variation is the clock: on EURUSD the quietest half hour of the day waits roughly forty-seven times longer between quotes than the busiest one, every day. It is also complete only when the bar closes, and two bars with the same count look identical whether their quotes arrived evenly or in one burst.

The library works on the waits between consecutive quote changes instead. CAcdEvents turns the tick stream into events, folding ticks that share a millisecond and marking waits longer than five minutes as a closed market. On a retail feed these are quote changes, not trades, and nothing here pretends otherwise. CAcdDiurnal learns the time-of-day profile on the training period only, files each wait under the time it started, interpolates between half-hour bins, and scales the profile so an adjusted wait of 1 means "exactly as long as usual for this hour".

What remains still clusters, and CAcdModel fits the autoregressive conditional duration model of Engle and Russell (1998) to it by maximum likelihood, with exponential or Weibull surprises and omega pinned by mean targeting. Every fit is scored on a held-out period against a rhythm-only baseline that gets its own best Weibull shape, so the recursion receives no credit for dispersion it did not explain. On six symbols the clustering beat that baseline out of sample on every one, and on EURUSD it removed 99.3% of the Ljung-Box statistic of the adjusted waits.

CAcdState runs the fitted model live in constant time per quote, through the same one-step update and the same stored profile as the fit, so a state replayed over the fitting history reproduces the model's expectations exactly. Its main reading is the activity ratio: 1 at the normal pace for the hour, 2 when quotes are expected twice as often, 0.5 when half as often. A silence ratio covers the gap between quotes, when the expectation cannot move.

ACD_Evidence.mq5 asks whether any of this helps forecast the volatility of the next few minutes, with a ladder of regressions scored on a later test period, at the bar close and at a varying second inside each bar. Mid-bar, every live measure beats tick volume from finished bars on all six symbols. Most of that gain, however, is freshness rather than activity: live realised volatility alone, measured up to the same second, beats the ACD gauge alone everywhere. Activity still adds something prices do not. With live volatility already in the forecast, adding the gauge improved it on all six symbols at both horizons, by a small margin that is largest on the indices. Whether the gauge or plain rhythm-adjusted rolling counts add more depends on the market and the horizon: the gauge at five minutes and on the indices, the counts at one minute on currencies and gold.

Layout

Include/ACD/AcdTypes.mqh              parameters, fit report, buffer map, the one-step update and log-density
Include/ACD/AcdEvents.mqh             tick stream to events: same-millisecond folding, session gaps, daily loading
Include/ACD/AcdDiurnal.mqh            time-of-day profile with interpolation and unit-mean scaling
Include/ACD/AcdModel.mqh              maximum-likelihood fit, rhythm-only baseline, residual diagnostics
Include/ACD/AcdState.mqh              live constant-time state: activity ratio, surprise, expected wait, silence
Scripts/ACD/ACD_Calibrate.mq5         fits one symbol: feed check, rhythm, both fits, residuals, live parameters
Scripts/ACD/ACD_Evidence.mq5          multi-symbol volatility-forecast ladder, at the bar close and mid-bar
Indicators/ACD/ACD_Activity.mq5       live activity gauge with a tick volume contrast and buffers for EAs

Run ACD_Calibrate.mq5 first, on the symbol you care about with thirty days of quotes. It stops if the feed looks timer-driven, since a clustering model fitted to a clock describes the broker's server rather than the market. Check that the clustering gain on the test period is positive, then paste the printed alpha and beta into ACD_Activity.mq5. The indicator learns its own rhythm from the trading days before the plot. Recalibrate about once a month and whenever you change symbol or broker.

An Expert Advisor should read buffer 3, the plain activity ratio, through iCustom. Buffer 4 holds the expected wait in milliseconds for the next quote on the forming bar; divide the time since the last tick by it for a silence ratio of your own, since timer events do not reach an indicator created through iCustom.

Disclaimer

Educational code. The gauge measures market conditions and says nothing about direction, and nothing here demonstrates a trading edge. The evidence covers thirty days of quotes from one broker, the gains from activity over live volatility are small, and the ranking between the gauge and simpler counts shifted with horizon and asset class within that window. Test on your own account and broker feed before relying on any of it.