MetaTrader 5 Python package

Every trading system developer sooner or later faces a fundamental question: how to properly slice and dice market data for analysis? The conventional fixed-interval approach is like trying to measure an athlete's heart rate every 5 minutes, whether they are sprinting or resting. During periods of high activity, critical information is lost within a single bar, while during quiet hours we get dozens of empty bars, creating information noise.

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My experience: initialize a single MT5 terminal instance and fetch data via copy_rates_*; multiple terminals can collide at the IPC layer. If you really need multiples, use portable installs and isolate processes—there are known hiccups with MT5’s Python module handling concurrent terminals