lychiyu/freqtrade_origin
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2024-09-20 09:31:12 +00:00
Code Issues Actions 1 Packages Projects Releases Wiki Activity

imbalance_ratio: use ratio instead of percentage

Browse Source
This commit is contained in:
Joe Schr 2024-05-17 15:49:53 +02:00
parent 0460ce45ff
commit ab7f8b3a0f
4 changed files with 8 additions and 8 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
docs/advanced-orderflow.md
View File

@ -24,7 +24,7 @@ This guide walks you through utilizing public trade data for advanced orderflow
"scale": 0.5,
"stacked_imbalance_range": 3, // needs at least this amount of imbalance next to each other
"imbalance_volume": 1, // filters out below
"imbalance_ratio": 300 // filters out ratio lower than
"imbalance_ratio": 3 // filters out ratio lower than
},
```

2
freqtrade/constants.py
View File

@ -531,7 +531,7 @@ CONF_SCHEMA = {
"scale": {"type": "number", "minimum": 0.0},
"stacked_imbalance_range": {"type": "number"},
"imbalance_volume": {"type": "number"},
"imbalance_ratio": {"type": "number"},
"imbalance_ratio": {"type": "number", "minimum": 0.0},
},
},
},

8
freqtrade/data/converter/orderflow.py
View File

@ -211,16 +211,16 @@ def trades_to_volumeprofile_with_total_delta_bid_ask(trades: pd.DataFrame, scale
def trades_orderflow_to_imbalances(df: pd.DataFrame, imbalance_ratio: int, imbalance_volume: int):
"""
:param df: dataframes with bid and ask
:param imbalance_ratio: imbalance_ratio e.g. 300
:param imbalance_volume: imbalance volume e.g. 3)
:param imbalance_ratio: imbalance_ratio e.g. 3
:param imbalance_volume: imbalance volume e.g. 10
:return: dataframe with bid and ask imbalance
"""
bid = df.bid
ask = df.ask.shift(-1)
bid_imbalance = (bid / ask) > (imbalance_ratio / 100)
bid_imbalance = (bid / ask) > (imbalance_ratio)
# overwrite bid_imbalance with False if volume is not big enough
bid_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, bid_imbalance)
ask_imbalance = (ask / bid) > (imbalance_ratio / 100)
ask_imbalance = (ask / bid) > (imbalance_ratio)
# overwrite ask_imbalance with False if volume is not big enough
ask_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, ask_imbalance)
dataframe = pd.DataFrame(

4
tests/data/test_converter_public_trades.py
View File

@ -92,7 +92,7 @@ def test_public_trades_mock_populate_dataframe_with_trades__check_orderflow(
"orderflow": {
"scale": 0.005,
"imbalance_volume": 0,
"imbalance_ratio": 300,
"imbalance_ratio": 3,
"stacked_imbalance_range": 3,
},
}
@ -202,7 +202,7 @@ def test_public_trades_trades_mock_populate_dataframe_with_trades__check_trades(
"orderflow": {
"scale": 0.5,
"imbalance_volume": 0,
"imbalance_ratio": 300,
"imbalance_ratio": 3,
"stacked_imbalance_range": 3,
},
}