MetaTrader Static data provider
Author: Eugene
Creation Date: 6/20/2010 1:12 PM
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Eugene

#1
MetaTrader static data provider is available for installation from our web site.

This provider allows to read HST files created by MetaTrader 4 - a popular source of free historical data for currencies, CFDs and indices ranging from 1-minute to monthly.

MetaTrader Static provider - installation link
MetaTrader Static provider - home page (online documentation)
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Eugene

#2
MetaTrader static data provider updated to version 2011.09.

Change summary:

* Added: Market Manager support
* Change: possible to install in Wealth-Lab 6.2+ only
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Eugene

#3
MetaTrader static data provider updated to version 2014.04:

NOTE! This is a breaking change, so old data is no longer supported! Do NOT update if still using an older MT4 terminal client build (509 or earlier).

* Fix: HST data format has changed in MT4 Build 574 and later
* Change: possible to install in Wealth-Lab 6.6+
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Eugene

#4
MetaTrader static data provider has been upgraded to version 2015.05:

NOTE! This is a breaking change (compared to version 2011.09), so old data is no longer supported! Do NOT update if still using an older MT4 terminal client build (509 or earlier).

* Fix: adjusted time 1 bar forward because MT4 timestamps dates as start-of-bar
* Change: upgraded to .NET Framework 4.5, Wealth-Lab 6.8+ recommended
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Harapa

#5
Background: Data set created in WL using 5 minutes data from MT4 (most current Build).

When viewing intraday data in WL when 2015-05 is installed (irrespective of it was imported with 2014-04 or 2015-05), I see an extraneous bar at yyyy.mm.dd 16.05. The bar at 16:05 appears at all intraday day time frames. This bar, however, disappears if one reverts to 2014-04.
Of course, such data points don't exist in the original data source.
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Eugene

#6
I don't think it's extraneous. MT4 timestamps data as start-of-bar while WL uses end-of-bar. Starting from v2015.05, the provider shifts each bar's time one interval forward for intraday data (only). Consequently, the 5-min bar timestamped 16.00 in MT4 becomes 16.05 in WL from now on.

On a related note, here's how to filter out any intraday data falling out of some range. This is possible when provider supports Market Manager (it's the case with MT4). To hide the 16.05 bar, add the symbol(s) to the default "US Equity" group (for example) which stops at 16:00.

P.S. The MT4 provider...
1. ...is not able to "create" any data itself.
2. ...the provider does not "import" any data, it just reads it.
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Harapa

#7
QUOTE:
Starting from v2015.05, the provider shifts each bar's time one interval forward for intraday data (only).

Why?
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Eugene

#8
Like I said, MT4 timestamps data as start-of-bar while WL has always been using end-of-bar. As a result, you see the wrong bar time in WL i.e. 1 period earlier. To fix this discrepancy, the provider now shifts each bar's time one interval forward for intraday data.

Similar story with Fidelity ATP which uses start-of-bar time (FAQ). If these data could be imported into WL, they would be displayed with the incorrect time )one interval earlier).
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Harapa

#9
Thanks. I will remain with 2014-04 till it stops to work.
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Eugene

#10
As long as your strategies do not rely on actual timestamps, e.g. "buy if XYZ breaks out between 10:30 am and 11:30 am", it's safe to use the penultimate build then. Otherwise the results obtained with an earlier version of the MT4 provider may be inaccurate and peak into the future.
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Harapa

#11
As I am importing five minute bar, when I move to higher time frame number of additional bars negatively effect any "period based" analysis. e.g in hourly, I have one extra bar each trading day.
You mentioned, Fidelity having same issue, but actually fidelity reported 5 minute bar at the EOD is16:00 and not 16:05. Actually, my data source is mostly Fidelity. I am using MT4 to format the hourly bar (that I am mostly interested in) on the hour (where as Fidelity hourly bar ends at xx:30, except 16:00. Now, you can see the issue I have to deal with.
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Eugene

#12
QUOTE:
Now, you can see the issue I have to deal with.

I know. To handle that extra bar in one data provider's Forex data, I had to go as far as detecting its FX symbols and merging their Saturday data into Friday bar.

QUOTE:
You mentioned, Fidelity having same issue, but actually fidelity reported 5 minute bar at the EOD is16:00 and not 16:05.

The Fidelity static provider in WLP does not have this issue. I was talking about the timestamps in ATP. As U.S. regular trading hours stop at 4:00:00pm, this falls into the 4pm bar completely, and after-/pre-market data aren't supported by the Fidelity static data in WLP.