Market Depth, Last prices, and ticks in MetaTrader 5.

MT5 distinguishes three basic prices: Bid, Ask, and Last. Bid and Ask are the executable sides of the market; Last is the price of the most recent trade. A tick can also carry volume and flags describing which fields changed.

That distinction is essential when specifying a feed. “Real-time prices” is too vague for an exchange-traded instrument.

OTC and exchange data are different

For a typical OTC Forex or CFD symbol, Bid and Ask are the core stream and charts are commonly based on Bid.

For an exchange-style instrument, the source may also provide:

• Last trade price;
• trade volume and direction;
• a real order book;
• session open, close, high, and low; and
• reference data such as tick size and contract expiry.

Confirm which source owns each field and how the platform behaves when one field is absent.

Not every depth display is source liquidity

MT5 can display real exchange depth when the broker receives it. An OTC broker can also provide its own volume-based depth. If no real volumes are supplied, a trading interface may show a price ladder derived from Bid, Ask, and the configured price step.

These are three different products. Describe them accurately in client material and tests.

Snapshots and incremental changes

A feed can deliver a complete book snapshot followed by changes. The consumer must not apply incremental changes to an unknown or stale state.

Request a new snapshot after:

• connection loss;
• feed-process restart;
• source switch;
• quote-session opening; or
• a detected sequence or state error.

Measure how long it takes for top-of-book and the complete depth to recover.

Translations affect more than the symbol name

An MT5 translation can rename a source instrument and may shift prices. If it applies to a depth-enabled symbol, review every level—not only the best Bid and Ask—for consistent naming, digits, point size, and adjustment.

Define an acceptance test

For each instrument type, verify:

1. Bid and Ask values and timestamps;
2. Last and volume against a known trade;
3. update flags or changed fields;
4. book side, price, volume, and ordering;
5. recovery from a fresh snapshot;
6. behavior across a session boundary; and
7. the chart basis clients actually see.

The public MetaTrader 5 platform documentation confirms the distinction between OTC and exchange price data and the Bid/Ask/Last tick model. Server-side module behavior still depends on the broker’s build and integration, so validate it in the target environment.