✅ Market Book Get

Request: fetch a snapshot of the Level II order book (bids/asks ladder) for a symbol.

Source files:

• MetaRpcMT5/mt5_account.py — method market_book_get(...)
• MetaRpcMT5/mt5_term_api_market_info_pb2.py — MarketBookGet* messages (MarketBookGetRequest, MarketBookGetReply, MarketBookGetData, MrpcMqlBookInfo, enum BookType)
• MetaRpcMT5/mt5_term_api_market_info_pb2_grpc.py — service stub MarketInfoStub

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RPC

• Service: mt5_term_api.MarketInfo
• Method: MarketBookGet(MarketBookGetRequest) → MarketBookGetReply
• Low-level client: MarketInfoStub.MarketBookGet(request, metadata, timeout)
• SDK wrapper: MT5Account.market_book_get(symbol, deadline=None, cancellation_event=None)

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🔗 Code Example

# Fetch DOM snapshot and print top-of-book using mql_book_infos
from MetaRpcMT5 import mt5_term_api_market_info_pb2 as mi_pb2

book = await acct.market_book_get("EURUSD")
rows = list(getattr(book, "mql_book_infos", []))

# Split by side (limit levels)
bids = [r for r in rows if r.type == mi_pb2.BookType.BOOK_TYPE_BUY]
asks = [r for r in rows if r.type == mi_pb2.BookType.BOOK_TYPE_SELL]

# Sort: bids desc, asks asc
bids.sort(key=lambda r: float(r.price), reverse=True)
asks.sort(key=lambda r: float(r.price))

if bids and asks:
    best_bid, best_ask = bids[0], asks[0]
    spread = float(best_ask.price) - float(best_bid.price)
    print(best_bid.price, best_ask.price, spread)
else:
    print("Empty book (no depth for this symbol/broker).")

---

Method Signature

async def market_book_get(
    self,
    symbol: str,
    deadline: datetime | None = None,
    cancellation_event: asyncio.Event | None = None,
) -> market_info_pb2.MarketBookGetData

---

💬 Plain English

• What it is. A one-shot depth snapshot: aggregated price/volume levels tagged as BID/ASK (and optional *_MARKET).
• Why you care. Power depth widgets, slippage models, and liquidity checks before order placement.

• Mind the traps.

• Some brokers expose limited depth (e.g., 5 levels) or none → the list can be empty.

• Calling market_book_add(symbol) enables streaming; snapshots can work without it but won’t auto‑update.
• Price order convention: BIDs descending, ASKs ascending; sort client‑side as needed.

---

🔽 Input

Parameter	Type	Description
symbol	str (required)	Symbol name (maps to symbol in request).
deadline	`datetime	None`	Absolute per‑call deadline → timeout.
cancellation_event	`asyncio.Event	None`	Cooperative cancel for the retry wrapper.

Request message: MarketBookGetRequest { symbol: string }

---

⬆️ Output

Payload: MarketBookGetData

Field	Proto Type	Description
mql_book_infos[]	MrpcMqlBookInfo	Unified list of depth levels.

MrpcMqlBookInfo

Field	Proto Type	Description
type	BookType	Side/type: BOOK_TYPE_BUY (= BID), BOOK_TYPE_SELL (= ASK), plus *_MARKET.
price	double	Price for this level.
volume	int64	Size/volume at this price level (integer).
volume_real	double	Real volume (if provided by the broker; otherwise 0).

Wire reply: MarketBookGetReply { data: MarketBookGetData, error: Error? } — SDK returns reply.data.

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🎯 Purpose

• Render a DOM view and compute top‑of‑book spread.
• Feed execution logic (iceberg detection, slippage estimates, partial fill planning).
• Monitor liquidity changes for alerts.

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🧩 Notes & Tips

• Pair with market_book_add and market_book_release to manage subscription lifecycle.
• If you need to treat market prints separately, filter BOOK_TYPE_*_MARKET types into distinct lists.

See also: MarketBookAdd · MarketBookRelease · SymbolSelect · SymbolExist

Usage Examples

1) Render a compact depth table

book = await acct.market_book_get("XAUUSD")
rows = list(getattr(book, "mql_book_infos", []))

bids = sorted((r for r in rows if r.type == mi_pb2.BookType.BOOK_TYPE_BUY), key=lambda r: r.price, reverse=True)
asks = sorted((r for r in rows if r.type == mi_pb2.BookType.BOOK_TYPE_SELL), key=lambda r: r.price)

print("BID       VOL   |   ASK       VOL")
for i in range(max(len(bids), len(asks))):
    b = bids[i] if i < len(bids) else None
    a = asks[i] if i < len(asks) else None
    print(f"{getattr(b,'price',None):>8} {getattr(b,'volume',None):>6} | {getattr(a,'price',None):>8} {getattr(a,'volume',None):>6}")

2) With deadline & cancel

import asyncio
from datetime import datetime, timedelta, timezone
from MetaRpcMT5 import mt5_term_api_market_info_pb2 as mi_pb2

cancel_event = asyncio.Event()
res = await acct.market_book_get(
    "EURUSD",
    deadline=datetime.now(timezone.utc) + timedelta(seconds=2),
    cancellation_event=cancel_event,
)
rows = list(getattr(res, "mql_book_infos", []))
print(len(rows))

3) Compute VWAP of top N bids/asks

N = 5
book = await acct.market_book_get("BTCUSD")
rows = list(getattr(book, "mql_book_infos", []))

bids = sorted((r for r in rows if r.type == mi_pb2.BookType.BOOK_TYPE_BUY), key=lambda r: r.price, reverse=True)[:N]
asks = sorted((r for r in rows if r.type == mi_pb2.BookType.BOOK_TYPE_SELL), key=lambda r: r.price)[:N]

def vwap(rs):
    vol = sum(r.volume for r in rs)
    return sum(r.price * r.volume for r in rs) / vol if vol else None

print("vwap bid:", vwap(bids))
print("vwap ask:", vwap(asks))