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Orderflow data

This guide walks you through utilizing public trade data for advanced orderflow analysis in Freqtrade.

Experimental Feature

The orderflow feature is currently in beta and may be subject to changes in future releases. Please report any issues or feedback on the Freqtrade GitHub repository.

Performance

Orderflow requires raw trades data. This data is rather large, and can cause a slow initial startup, when freqtrade needs to download the trades data for the last X candles. Additionally, enabling this feature will cause increased memory usage. Please ensure to have sufficient resources available.

Getting Started

Enable Public Trades

In your config.json file, set the use_public_trades option to true under the exchange section.

"exchange": {
   ...
   "use_public_trades": true,
}

Configure Orderflow Processing

Define your desired settings for orderflow processing within the orderflow section of config.json. Here, you can adjust factors like:

  • cache_size: How many previous orderflow candles are saved into cache instead of calculated every new candle
  • max_candles: Filter how many candles would you like to get trades data for.
  • scale: This controls the price bin size for the footprint chart.
  • stacked_imbalance_range: Defines the minimum consecutive imbalanced price levels required for consideration.
  • imbalance_volume: Filters out imbalances with volume below this threshold.
  • imbalance_ratio: Filters out imbalances with a ratio (difference between ask and bid volume) lower than this value.
"orderflow": {
    "cache_size": 1000, 
    "max_candles": 1500, 
    "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": 3 //  filters out ratio lower than
  },

Downloading Trade Data for Backtesting

To download historical trade data for backtesting, use the --dl-trades flag with the freqtrade download-data command.

freqtrade download-data -p BTC/USDT:USDT --timerange 20230101- --trading-mode futures --timeframes 5m --dl-trades

Data availability

Not all exchanges provide public trade data. For supported exchanges, freqtrade will warn you if public trade data is not available if you start downloading data with the --dl-trades flag.

Accessing Orderflow Data

Once activated, several new columns become available in your dataframe:

dataframe["trades"] # Contains information about each individual trade.
dataframe["orderflow"] # Represents a footprint chart dict (see below)
dataframe["imbalances"] # Contains information about imbalances in the order flow.
dataframe["bid"] # Total bid volume 
dataframe["ask"] # Total ask volume
dataframe["delta"] # Difference between ask and bid volume.
dataframe["min_delta"] # Minimum delta within the candle
dataframe["max_delta"] # Maximum delta within the candle
dataframe["total_trades"] # Total number of trades
dataframe["stacked_imbalances_bid"] # Price level of stacked bid imbalance 
dataframe["stacked_imbalances_ask"] # Price level of stacked ask imbalance

You can access these columns in your strategy code for further analysis. Here's an example:

def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
    # Calculating cumulative delta
    dataframe["cum_delta"] = cumulative_delta(dataframe["delta"])
    # Accessing total trades
    total_trades = dataframe["total_trades"]
    ...

def cumulative_delta(delta: Series):
    cumdelta = delta.cumsum()
    return cumdelta

Footprint chart (dataframe["orderflow"])

This column provides a detailed breakdown of buy and sell orders at different price levels, offering valuable insights into order flow dynamics. The scale parameter in your configuration determines the price bin size for this representation

The orderflow column contains a dict with the following structure:

{
    "price": {
        "bid_amount": 0.0,
        "ask_amount": 0.0,
        "bid": 0,
        "ask": 0,
        "delta": 0.0,
        "total_volume": 0.0,
        "total_trades": 0
    }
}

Orderflow column explanation

  • key: Price bin - binned at scale intervals
  • bid_amount: Total volume bought at each price level.
  • ask_amount: Total volume sold at each price level.
  • bid: Number of buy orders at each price level.
  • ask: Number of sell orders at each price level.
  • delta: Difference between ask and bid volume at each price level.
  • total_volume: Total volume (ask amount + bid amount) at each price level.
  • total_trades: Total number of trades (ask + bid) at each price level.

By leveraging these features, you can gain valuable insights into market sentiment and potential trading opportunities based on order flow analysis.

Raw trades data (dataframe["trades"])

List with the individual trades that occurred during the candle. This data can be used for more granular analysis of order flow dynamics.

Each individual entry contains a dict with the following keys:

  • timestamp: Timestamp of the trade.
  • date: Date of the trade.
  • price: Price of the trade.
  • amount: Volume of the trade.
  • side: Buy or sell.
  • id: Unique identifier for the trade.
  • cost: Total cost of the trade (price * amount).

Imbalances (dataframe["imbalances"])

This column provides a dict with information about imbalances in the order flow. An imbalance occurs when there is a significant difference between the ask and bid volume at a given price level.

Each row looks as follows - with price as index, and the corresponding bid and ask imbalance values as columns

{
    "price": {
        "bid_imbalance": False,
        "ask_imbalance": False
    }
}