Market Book¶

Subscribe to and read Level 2 (Depth of Market) order book data.

# 1. Subscribe
add = mt5.market_book_add("EURUSD")
if not add.success or not add.data:
    print("Market book not available for this symbol")
else:
    # 2. Read the current snapshot
    res = mt5.market_book_get("EURUSD")
    if res.success:
        print(f"Book entries: {len(res.data)}")
        for entry in res.data:
            side = "BUY " if entry.is_buy else "SELL"
            kind = "market" if entry.is_market else "limit "
            print(f"  {side} {kind}  {entry.price:.5f}  {entry.volume_real} lots")

    # 3. Release when done
    mt5.market_book_release("EURUSD")

Book entries: 10
  SELL limit   1.08480  2.50 lots
  SELL limit   1.08475  1.00 lots
  SELL limit   1.08470  3.00 lots
  BUY  limit   1.08455  1.50 lots
  BUY  limit   1.08450  2.00 lots

BookEntry fields¶

Field	Type	Description
`type`	`BookType`	`SELL`, `BUY`, `SELL_MARKET`, `BUY_MARKET`
`price`	`float`	Price level
`volume`	`int`	Volume at this level (integer lots)
`volume_real`	`float`	Volume at this level (fractional lots)
`is_buy`	`bool`	`True` for buy-side entries
`is_sell`	`bool`	`True` for sell-side entries
`is_market`	`bool`	`True` for market orders (vs limit orders)

Separate bids and asks¶

res = mt5.market_book_get("EURUSD")

if res.success:
    bids = [e for e in res.data if e.is_buy]
    asks = [e for e in res.data if e.is_sell]

    best_bid = max(bids, key=lambda e: e.price, default=None)
    best_ask = min(asks, key=lambda e: e.price, default=None)

    if best_bid and best_ask:
        print(f"Best bid: {best_bid.price}  Best ask: {best_ask.price}")

Note

Market book data is not available for all symbols or brokers. market_book_add() returns data=False when the symbol does not support DOM. Always check add.data before calling market_book_get().

Failure examples¶

Example 1: Market book not supported¶

add = mt5.market_book_add("EURUSD")

if not add.success:
    print(f"Error: {add.error_message}")
elif not add.data:
    print("Market book not available for this symbol")

Output:

Market book not available for this symbol

Why: Most Forex brokers don't provide Level 2 data. Market book is typically available only for exchange-traded instruments (stocks, futures).

Example 2: Symbol not in Market Watch¶

add = mt5.market_book_add("BTCUSD")

if not add.success:
    print(f"Failed: {add.error_message}")

    # Enable symbol first
    mt5.symbol_select("BTCUSD", True)

    # Retry
    add = mt5.market_book_add("BTCUSD")

Example 3: Empty book¶

add = mt5.market_book_add("EURUSD")

if add.success and add.data:
    res = mt5.market_book_get("EURUSD")

    if res.success:
        if not res.data:
            print("Book is empty (no orders at this moment)")
        else:
            print(f"Book has {len(res.data)} entries")

Note: Even when market book is supported, it can be temporarily empty.

Practical notes¶

Always release subscriptions

try:
    add = mt5.market_book_add("EURUSD")
    if add.success and add.data:
        # Use the book
        res = mt5.market_book_get("EURUSD")
finally:
    # Always release, even on error
    mt5.market_book_release("EURUSD")

Check broker support first

Most retail Forex brokers don't provide DOM data. Check with your broker's documentation before relying on market book functionality.

Real-time updates

market_book_get() returns a snapshot. For real-time updates, you need to poll it repeatedly or use MT5's event system (not exposed in this SDK).

Volume interpretation

volume: Integer lots (legacy field)
volume_real: Fractional lots (use this for accurate volume)

Always use volume_real for calculations.