Pricing
Prices used for orders¶
Prices for regular orders can be controlled via the parameter structures bid_strategy for buying and ask_strategy for selling.
Prices are always retrieved right before an order is placed, either by querying the exchange tickers or by using the orderbook data.
Note
Orderbook data used by Freqtrade are the data retrieved from exchange by the ccxt's function fetch_order_book(), i.e. are usually data from the L2-aggregated orderbook, while the ticker data are the structures returned by the ccxt's fetch_ticker()/fetch_tickers() functions. Refer to the ccxt library documentation for more details.
Using market orders
Please read the section Market order pricing section when using market orders.
Buy price¶
Check depth of market¶
When check depth of market is enabled (bid_strategy.check_depth_of_market.enabled=True), the buy signals are filtered based on the orderbook depth (sum of all amounts) for each orderbook side.
Orderbook bid (buy) side depth is then divided by the orderbook ask (sell) side depth and the resulting delta is compared to the value of the bid_strategy.check_depth_of_market.bids_to_ask_delta parameter. The buy order is only executed if the orderbook delta is greater than or equal to the configured delta value.
Note
A delta value below 1 means that ask (sell) orderbook side depth is greater than the depth of the bid (buy) orderbook side, while a value greater than 1 means opposite (depth of the buy side is higher than the depth of the sell side).
Buy price side¶
The configuration setting bid_strategy.price_side defines the side of the spread the bot looks for when buying.
The following displays an orderbook.
...
103
102
101 # ask
-------------Current spread
99 # bid
98
97
...
If bid_strategy.price_side is set to "bid", then the bot will use 99 as buying price.
In line with that, if bid_strategy.price_side is set to "ask", then the bot will use 101 as buying price.
Using ask price often guarantees quicker filled orders, but the bot can also end up paying more than what would have been necessary.
Taker fees instead of maker fees will most likely apply even when using limit buy orders.
Also, prices at the "ask" side of the spread are higher than prices at the "bid" side in the orderbook, so the order behaves similar to a market order (however with a maximum price).
Buy price with Orderbook enabled¶
When buying with the orderbook enabled (bid_strategy.use_order_book=True), Freqtrade fetches the bid_strategy.order_book_top entries from the orderbook and then uses the entry specified as bid_strategy.order_book_top on the configured side (bid_strategy.price_side) of the orderbook. 1 specifies the topmost entry in the orderbook, while 2 would use the 2nd entry in the orderbook, and so on.
Buy price without Orderbook enabled¶
The following section uses side as the configured bid_strategy.price_side.
When not using orderbook (bid_strategy.use_order_book=False), Freqtrade uses the best side price from the ticker if it's below the last traded price from the ticker. Otherwise (when the side price is above the last price), it calculates a rate between side and last price.
The bid_strategy.ask_last_balance configuration parameter controls this. A value of 0.0 will use side price, while 1.0 will use the last price and values between those interpolate between ask and last price.
Sell price¶
Sell price side¶
The configuration setting ask_strategy.price_side defines the side of the spread the bot looks for when selling.
The following displays an orderbook:
...
103
102
101 # ask
-------------Current spread
99 # bid
98
97
...
If ask_strategy.price_side is set to "ask", then the bot will use 101 as selling price.
In line with that, if ask_strategy.price_side is set to "bid", then the bot will use 99 as selling price.
Sell price with Orderbook enabled¶
When selling with the orderbook enabled (ask_strategy.use_order_book=True), Freqtrade fetches the ask_strategy.order_book_max entries in the orderbook. Then each of the orderbook steps between ask_strategy.order_book_min and ask_strategy.order_book_max on the configured orderbook side are validated for a profitable sell-possibility based on the strategy configuration (minimal_roi conditions) and the sell order is placed at the first profitable spot.
Note
Using order_book_max higher than order_book_min only makes sense when ask_strategy.price_side is set to "ask".
The idea here is to place the sell order early, to be ahead in the queue.
A fixed slot (mirroring bid_strategy.order_book_top) can be defined by setting ask_strategy.order_book_min and ask_strategy.order_book_max to the same number.
Order_book_max > 1 - increased risks for stoplosses!
Using ask_strategy.order_book_max higher than 1 will increase the risk the stoploss on exchange is cancelled too early, since an eventual stoploss on exchange will be cancelled as soon as the order is placed.
Also, the sell order will remain on the exchange for unfilledtimeout.sell (or until it's filled) - which can lead to missed stoplosses (with or without using stoploss on exchange).
Order_book_max > 1 in dry-run
Using ask_strategy.order_book_max higher than 1 will result in improper dry-run results (significantly better than real orders executed on exchange), since dry-run assumes orders to be filled almost instantly.
It is therefore advised to not use this setting for dry-runs.
Sell price without Orderbook enabled¶
When not using orderbook (ask_strategy.use_order_book=False), the price at the ask_strategy.price_side side (defaults to "ask") from the ticker will be used as the sell price.
Market order pricing¶
When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection. Assuming both buy and sell are using market orders, a configuration similar to the following might be used
"order_types": {
"buy": "market",
"sell": "market"
// ...
},
"bid_strategy": {
"price_side": "ask",
// ...
},
"ask_strategy":{
"price_side": "bid",
// ...
},
Obviously, if only one side is using limit orders, different pricing combinations can be used.