Pricing
Prices used for orders¶
Prices for regular orders can be controlled via the parameter structures entry_pricing for trade entries and exit_pricing for trade exits.
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.
Entry price¶
Enter price side¶
The configuration setting entry_pricing.price_side defines the side of the orderbook the bot looks for when buying.
The following displays an orderbook.
...
103
102
101 # ask
-------------Current spread
99 # bid
98
97
...
If entry_pricing.price_side is set to "bid", then the bot will use 99 as entry price.
In line with that, if entry_pricing.price_side is set to "ask", then the bot will use 101 as entry price.
Depending on the order direction (long/short), this will lead to different results. Therefore we recommend to use "same" or "other" for this configuration instead.
This would result in the following pricing matrix:
| direction | Order | setting | price | crosses spread |
|---|---|---|---|---|
| long | buy | ask | 101 | yes |
| long | buy | bid | 99 | no |
| long | buy | same | 99 | no |
| long | buy | other | 101 | yes |
| short | sell | ask | 101 | no |
| short | sell | bid | 99 | yes |
| short | sell | same | 101 | no |
| short | sell | other | 99 | yes |
Using the other side of the orderbook 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 "other" 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).
Entry price with Orderbook enabled¶
When entering a trade with the orderbook enabled (entry_pricing.use_order_book=True), Freqtrade fetches the entry_pricing.order_book_top entries from the orderbook and uses the entry specified as entry_pricing.order_book_top on the configured side (entry_pricing.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.
Entry price without Orderbook enabled¶
The following section uses side as the configured entry_pricing.price_side (defaults to "same").
When not using orderbook (entry_pricing.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 based on entry_pricing.price_last_balance.
The entry_pricing.price_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.
Check depth of market¶
When check depth of market is enabled (entry_pricing.check_depth_of_market.enabled=True), the entry 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 entry_pricing.check_depth_of_market.bids_to_ask_delta parameter. The entry 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).
Exit price¶
Exit price side¶
The configuration setting exit_pricing.price_side defines the side of the spread the bot looks for when exiting a trade.
The following displays an orderbook:
...
103
102
101 # ask
-------------Current spread
99 # bid
98
97
...
If exit_pricing.price_side is set to "ask", then the bot will use 101 as exiting price.
In line with that, if exit_pricing.price_side is set to "bid", then the bot will use 99 as exiting price.
Depending on the order direction (long/short), this will lead to different results. Therefore we recommend to use "same" or "other" for this configuration instead.
This would result in the following pricing matrix:
| Direction | Order | setting | price | crosses spread |
|---|---|---|---|---|
| long | sell | ask | 101 | no |
| long | sell | bid | 99 | yes |
| long | sell | same | 101 | no |
| long | sell | other | 99 | yes |
| short | buy | ask | 101 | yes |
| short | buy | bid | 99 | no |
| short | buy | same | 99 | no |
| short | buy | other | 101 | yes |
Exit price with Orderbook enabled¶
When exiting with the orderbook enabled (exit_pricing.use_order_book=True), Freqtrade fetches the exit_pricing.order_book_top entries in the orderbook and uses the entry specified as exit_pricing.order_book_top from the configured side (exit_pricing.price_side) as trade exit price.
1 specifies the topmost entry in the orderbook, while 2 would use the 2nd entry in the orderbook, and so on.
Exit price without Orderbook enabled¶
The following section uses side as the configured exit_pricing.price_side (defaults to "ask").
When not using orderbook (exit_pricing.use_order_book=False), Freqtrade uses the best side price from the ticker if it's above the last traded price from the ticker. Otherwise (when the side price is below the last price), it calculates a rate between side and last price based on exit_pricing.price_last_balance.
The exit_pricing.price_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 side and last 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 entry and exits are using market orders, a configuration similar to the following must be used
"order_types": {
"entry": "market",
"exit": "market"
// ...
},
"entry_pricing": {
"price_side": "other",
// ...
},
"exit_pricing":{
"price_side": "other",
// ...
},
Obviously, if only one side is using limit orders, different pricing combinations can be used.