mt5-trading

MetaTrader 5 Python Algotrading

Knowledge base for building production-grade algorithmic trading systems with MetaTrader 5 Python API.

When to Use

• Connecting to MT5 terminal via the official Python API
• Building polling-based event systems (on_tick, on_new_candle, on_position)
• Executing orders with correct fill modes (FOK, IOC, Return)
• Downloading historical data (copy_rates, copy_ticks)
• Handling MT5 disconnections and terminal restarts
• Deploying MT5 bots on Windows with process monitoring
• Choosing between official API, aiomql, and ZeroMQ bridge

Quick Start

For 80% of use cases, start with:

1. Library: pip install MetaTrader5 (official) or pip install aiomql (async wrapper)
2. Connection: mt5.initialize(path=..., login=..., server=..., password=...)
3. Event system: polling loop with candle/tick/position change detection
4. Orders: order_check() before order_send(), always detect fill mode dynamically
5. Risk: server-side SL/TP on every position (non-negotiable)
6. Resilience: health check every 30-60s, psutil process monitoring, exponential backoff

Then harden incrementally:

• Silent errors -- wrap every API call with None check + last_error()
• Fill mode rejections (10030) -- dynamic filling_mode detection per symbol
• Terminal crashes -- psutil watchdog + subprocess restart
• Weekend handling -- datetime.weekday() sleep mode

Reference Materials

• api-architecture.md -- MT5 Python API architecture, 32 functions, named pipes IPC, MQL5 EA vs Python, library comparison
• event-system-polling.md -- polling patterns, new candle detection, tick monitoring, position tracking, concurrency rules
• order-execution.md -- order_send, fill modes (FOK/IOC/Return), hedging vs netting, retcodes, risk checks, magic numbers
• data-feed-historical.md -- copy_rates, copy_ticks, depth, timezone caveats, caching, data quality, broker differences
• production-resilience.md -- disconnection handling, reconnection, weekend management, Windows deployment, community resources

Key Decision Points

Decision	Default	Upgrade When
Library	Official MetaTrader5	Need async: aiomql. Need true streaming: ZeroMQ bridge
Event model	Polling (1-5s interval)	Tick-sensitive: poll 100-250ms. True events: ZeroMQ EA bridge
Fill mode	Detect dynamically per symbol	Never hardcode -- changes between brokers/symbols
Account mode	Hedging (most forex brokers)	Check account_info().margin_mode at startup
Data caching	Parquet + Zstandard	Tick data -- partition by day/month
Concurrency	asyncio (single thread)	Multi-account -- separate processes per terminal
Backtesting	Python framework (Backtrader, Backtesting.py)	Need MT5 tester -- MQL5 EA wrapper
SL/TP	Server-side always	Python trailing only as supplement, never as sole protection