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1887 lines
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HTML
1887 lines
43 KiB
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Freqtrade
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Pricing
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<a href="https://github.com/freqtrade/freqtrade" title="Go to repository" class="md-source" data-md-component="source">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><!--! Font Awesome Free 6.5.2 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2024 Fonticons, Inc.--><path d="M439.55 236.05 244 40.45a28.87 28.87 0 0 0-40.81 0l-40.66 40.63 51.52 51.52c27.06-9.14 52.68 16.77 43.39 43.68l49.66 49.66c34.23-11.8 61.18 31 35.47 56.69-26.49 26.49-70.21-2.87-56-37.34L240.22 199v121.85c25.3 12.54 22.26 41.85 9.08 55a34.34 34.34 0 0 1-48.55 0c-17.57-17.6-11.07-46.91 11.25-56v-123c-20.8-8.51-24.6-30.74-18.64-45L142.57 101 8.45 235.14a28.86 28.86 0 0 0 0 40.81l195.61 195.6a28.86 28.86 0 0 0 40.8 0l194.69-194.69a28.86 28.86 0 0 0 0-40.81z"/></svg>
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<div class="md-source__repository">
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GitHub
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</a>
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<img src="../../images/logo.png" alt="logo">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><!--! Font Awesome Free 6.5.2 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2024 Fonticons, Inc.--><path d="M439.55 236.05 244 40.45a28.87 28.87 0 0 0-40.81 0l-40.66 40.63 51.52 51.52c27.06-9.14 52.68 16.77 43.39 43.68l49.66 49.66c34.23-11.8 61.18 31 35.47 56.69-26.49 26.49-70.21-2.87-56-37.34L240.22 199v121.85c25.3 12.54 22.26 41.85 9.08 55a34.34 34.34 0 0 1-48.55 0c-17.57-17.6-11.07-46.91 11.25-56v-123c-20.8-8.51-24.6-30.74-18.64-45L142.57 101 8.45 235.14a28.86 28.86 0 0 0 0 40.81l195.61 195.6a28.86 28.86 0 0 0 40.8 0l194.69-194.69a28.86 28.86 0 0 0 0-40.81z"/></svg>
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GitHub
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Home
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Quickstart with Docker
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Installation
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<a href="../../installation/" class="md-nav__link">
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<span class="md-ellipsis">
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Linux/MacOS/Raspberry
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</a>
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Windows
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<a href="../../bot-basics/" class="md-nav__link">
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<span class="md-ellipsis">
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Freqtrade Basics
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</span>
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</a>
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<li class="md-nav__item">
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<a href="../../configuration/" class="md-nav__link">
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<span class="md-ellipsis">
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Configuration
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</a>
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<li class="md-nav__item">
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<a href="../../strategy-customization/" class="md-nav__link">
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<span class="md-ellipsis">
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Strategy Customization
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../../strategy-callbacks/" class="md-nav__link">
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<span class="md-ellipsis">
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Strategy Callbacks
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</span>
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</a>
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</li>
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<li class="md-nav__item">
|
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<a href="../../stoploss/" class="md-nav__link">
|
|
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|
|
<span class="md-ellipsis">
|
|
Stoploss
|
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</span>
|
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</a>
|
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</li>
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<li class="md-nav__item">
|
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<a href="../../plugins/" class="md-nav__link">
|
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|
|
|
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<span class="md-ellipsis">
|
|
Plugins
|
|
</span>
|
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|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
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<a href="../../bot-usage/" class="md-nav__link">
|
|
|
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|
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<span class="md-ellipsis">
|
|
Start the bot
|
|
</span>
|
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</a>
|
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</li>
|
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_11" >
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<label class="md-nav__link" for="__nav_11" id="__nav_11_label" tabindex="0">
|
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|
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|
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<span class="md-ellipsis">
|
|
Control the bot
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
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|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_11_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_11">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Control the bot
|
|
</label>
|
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
|
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<a href="../../telegram-usage/" class="md-nav__link">
|
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|
|
<span class="md-ellipsis">
|
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Telegram
|
|
</span>
|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../../freq-ui/" class="md-nav__link">
|
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|
<span class="md-ellipsis">
|
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freqUI
|
|
</span>
|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../../rest-api/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
REST API
|
|
</span>
|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../../webhook-config/" class="md-nav__link">
|
|
|
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|
|
<span class="md-ellipsis">
|
|
Web Hook
|
|
</span>
|
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|
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</a>
|
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</li>
|
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</ul>
|
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</nav>
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</li>
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<li class="md-nav__item">
|
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<a href="../../data-download/" class="md-nav__link">
|
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|
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<span class="md-ellipsis">
|
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Data Downloading
|
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</span>
|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../../backtesting/" class="md-nav__link">
|
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|
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|
|
<span class="md-ellipsis">
|
|
Backtesting
|
|
</span>
|
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|
|
|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../../hyperopt/" class="md-nav__link">
|
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|
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|
|
<span class="md-ellipsis">
|
|
Hyperopt
|
|
</span>
|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item md-nav__item--nested">
|
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_15" >
|
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<label class="md-nav__link" for="__nav_15" id="__nav_15_label" tabindex="0">
|
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|
|
|
|
<span class="md-ellipsis">
|
|
FreqAI
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_15_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_15">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
FreqAI
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
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|
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<li class="md-nav__item">
|
|
<a href="../../freqai/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Introduction
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
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<li class="md-nav__item">
|
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<a href="../../freqai-configuration/" class="md-nav__link">
|
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|
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<span class="md-ellipsis">
|
|
Configuration
|
|
</span>
|
|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../../freqai-parameter-table/" class="md-nav__link">
|
|
|
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|
|
<span class="md-ellipsis">
|
|
Parameter table
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
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<li class="md-nav__item">
|
|
<a href="../../freqai-feature-engineering/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Feature engineering
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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<li class="md-nav__item">
|
|
<a href="../../freqai-running/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Running FreqAI
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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<li class="md-nav__item">
|
|
<a href="../../freqai-reinforcement-learning/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Reinforcement Learning
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
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<li class="md-nav__item">
|
|
<a href="../../freqai-developers/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Developer guide
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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</ul>
|
|
</nav>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../../leverage/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Short / Leverage
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
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|
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<li class="md-nav__item">
|
|
<a href="../../utils/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Utility Sub-commands
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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<li class="md-nav__item">
|
|
<a href="../../plotting/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Plotting
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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|
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<li class="md-nav__item">
|
|
<a href="../../exchanges/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Exchange-specific Notes
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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<li class="md-nav__item md-nav__item--nested">
|
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_20" >
|
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|
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<label class="md-nav__link" for="__nav_20" id="__nav_20_label" tabindex="0">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Data Analysis
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_20_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_20">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Data Analysis
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../../data-analysis/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Jupyter Notebooks
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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|
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<li class="md-nav__item">
|
|
<a href="../../strategy_analysis_example/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Strategy analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../../advanced-backtesting/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Backtest analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
</ul>
|
|
</nav>
|
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</li>
|
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|
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<li class="md-nav__item md-nav__item--nested">
|
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_21" >
|
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|
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<label class="md-nav__link" for="__nav_21" id="__nav_21_label" tabindex="0">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Topics
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_21_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_21">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Advanced Topics
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<li class="md-nav__item">
|
|
<a href="../../advanced-setup/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Post-installation Tasks
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../../trade-object/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Trade Object
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../../lookahead-analysis/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Lookahead analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../../recursive-analysis/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Recursive analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
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|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../../strategy-advanced/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Strategy
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../../advanced-hyperopt/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Hyperopt
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../../producer-consumer/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Producer/Consumer mode
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../../sql_cheatsheet/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
SQL Cheat-sheet
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
<li class="md-nav__item">
|
|
<a href="../../edge/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Edge Positioning
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
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|
|
|
|
</ul>
|
|
</nav>
|
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|
|
</li>
|
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<!-- Table of contents -->
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<div class="md-content" data-md-component="content">
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<article class="md-content__inner md-typeset">
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<h1>Pricing</h1>
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<h2 id="prices-used-for-orders">Prices used for orders<a class="headerlink" href="#prices-used-for-orders" title="Permanent link">¶</a></h2>
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<p>Prices for regular orders can be controlled via the parameter structures <code>entry_pricing</code> for trade entries and <code>exit_pricing</code> for trade exits.
|
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Prices are always retrieved right before an order is placed, either by querying the exchange tickers or by using the orderbook data.</p>
|
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<div class="admonition note">
|
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<p class="admonition-title">Note</p>
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<p>Orderbook data used by Freqtrade are the data retrieved from exchange by the ccxt's function <code>fetch_order_book()</code>, i.e. are usually data from the L2-aggregated orderbook, while the ticker data are the structures returned by the ccxt's <code>fetch_ticker()</code>/<code>fetch_tickers()</code> functions. Refer to the ccxt library <a href="https://github.com/ccxt/ccxt/wiki/Manual#market-data">documentation</a> for more details.</p>
|
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</div>
|
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<div class="admonition warning">
|
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<p class="admonition-title">Using market orders</p>
|
|
<p>Please read the section <a href="#market-order-pricing">Market order pricing</a> section when using market orders.</p>
|
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</div>
|
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<h3 id="entry-price">Entry price<a class="headerlink" href="#entry-price" title="Permanent link">¶</a></h3>
|
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<h4 id="enter-price-side">Enter price side<a class="headerlink" href="#enter-price-side" title="Permanent link">¶</a></h4>
|
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<p>The configuration setting <code>entry_pricing.price_side</code> defines the side of the orderbook the bot looks for when buying.</p>
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<p>The following displays an orderbook.</p>
|
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<div class="highlight"><pre><span></span><code>...
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103
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102
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101 # ask
|
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-------------Current spread
|
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99 # bid
|
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98
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97
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...
|
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</code></pre></div>
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<p>If <code>entry_pricing.price_side</code> is set to <code>"bid"</code>, then the bot will use 99 as entry price.<br />
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In line with that, if <code>entry_pricing.price_side</code> is set to <code>"ask"</code>, then the bot will use 101 as entry price.</p>
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<p>Depending on the order direction (<em>long</em>/<em>short</em>), this will lead to different results. Therefore we recommend to use <code>"same"</code> or <code>"other"</code> for this configuration instead.
|
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This would result in the following pricing matrix:</p>
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<table>
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<thead>
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<tr>
|
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<th>direction</th>
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<th>Order</th>
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<th>setting</th>
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<th>price</th>
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<th>crosses spread</th>
|
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</tr>
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</thead>
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<tbody>
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<tr>
|
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<td>long</td>
|
|
<td>buy</td>
|
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<td>ask</td>
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<td>101</td>
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<td>yes</td>
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</tr>
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<tr>
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<td>long</td>
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<td>buy</td>
|
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<td>bid</td>
|
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<td>99</td>
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<td>no</td>
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</tr>
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<tr>
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<td>long</td>
|
|
<td>buy</td>
|
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<td>same</td>
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<td>99</td>
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<td>no</td>
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</tr>
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<tr>
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<td>long</td>
|
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<td>buy</td>
|
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<td>other</td>
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<td>101</td>
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<td>yes</td>
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</tr>
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<tr>
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<td>short</td>
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<td>sell</td>
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<td>ask</td>
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<td>101</td>
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<td>no</td>
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</tr>
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<tr>
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<td>short</td>
|
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<td>sell</td>
|
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<td>bid</td>
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<td>99</td>
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<td>yes</td>
|
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</tr>
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<tr>
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<td>short</td>
|
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<td>sell</td>
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<td>same</td>
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<td>101</td>
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<td>no</td>
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</tr>
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<tr>
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<td>short</td>
|
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<td>sell</td>
|
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<td>other</td>
|
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<td>99</td>
|
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<td>yes</td>
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</tr>
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</tbody>
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</table>
|
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<p>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.
|
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Taker fees instead of maker fees will most likely apply even when using limit buy orders.
|
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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).</p>
|
|
<h4 id="entry-price-with-orderbook-enabled">Entry price with Orderbook enabled<a class="headerlink" href="#entry-price-with-orderbook-enabled" title="Permanent link">¶</a></h4>
|
|
<p>When entering a trade with the orderbook enabled (<code>entry_pricing.use_order_book=True</code>), Freqtrade fetches the <code>entry_pricing.order_book_top</code> entries from the orderbook and uses the entry specified as <code>entry_pricing.order_book_top</code> on the configured side (<code>entry_pricing.price_side</code>) of the orderbook. 1 specifies the topmost entry in the orderbook, while 2 would use the 2<sup>nd</sup> entry in the orderbook, and so on.</p>
|
|
<h4 id="entry-price-without-orderbook-enabled">Entry price without Orderbook enabled<a class="headerlink" href="#entry-price-without-orderbook-enabled" title="Permanent link">¶</a></h4>
|
|
<p>The following section uses <code>side</code> as the configured <code>entry_pricing.price_side</code> (defaults to <code>"same"</code>).</p>
|
|
<p>When not using orderbook (<code>entry_pricing.use_order_book=False</code>), Freqtrade uses the best <code>side</code> price from the ticker if it's below the <code>last</code> traded price from the ticker. Otherwise (when the <code>side</code> price is above the <code>last</code> price), it calculates a rate between <code>side</code> and <code>last</code> price based on <code>entry_pricing.price_last_balance</code>.</p>
|
|
<p>The <code>entry_pricing.price_last_balance</code> configuration parameter controls this. A value of <code>0.0</code> will use <code>side</code> price, while <code>1.0</code> will use the <code>last</code> price and values between those interpolate between ask and last price.</p>
|
|
<h4 id="check-depth-of-market">Check depth of market<a class="headerlink" href="#check-depth-of-market" title="Permanent link">¶</a></h4>
|
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<p>When check depth of market is enabled (<code>entry_pricing.check_depth_of_market.enabled=True</code>), the entry signals are filtered based on the orderbook depth (sum of all amounts) for each orderbook side.</p>
|
|
<p>Orderbook <code>bid</code> (buy) side depth is then divided by the orderbook <code>ask</code> (sell) side depth and the resulting delta is compared to the value of the <code>entry_pricing.check_depth_of_market.bids_to_ask_delta</code> parameter. The entry order is only executed if the orderbook delta is greater than or equal to the configured delta value.</p>
|
|
<div class="admonition note">
|
|
<p class="admonition-title">Note</p>
|
|
<p>A delta value below 1 means that <code>ask</code> (sell) orderbook side depth is greater than the depth of the <code>bid</code> (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).</p>
|
|
</div>
|
|
<h3 id="exit-price">Exit price<a class="headerlink" href="#exit-price" title="Permanent link">¶</a></h3>
|
|
<h4 id="exit-price-side">Exit price side<a class="headerlink" href="#exit-price-side" title="Permanent link">¶</a></h4>
|
|
<p>The configuration setting <code>exit_pricing.price_side</code> defines the side of the spread the bot looks for when exiting a trade.</p>
|
|
<p>The following displays an orderbook:</p>
|
|
<div class="highlight"><pre><span></span><code>...
|
|
103
|
|
102
|
|
101 # ask
|
|
-------------Current spread
|
|
99 # bid
|
|
98
|
|
97
|
|
...
|
|
</code></pre></div>
|
|
<p>If <code>exit_pricing.price_side</code> is set to <code>"ask"</code>, then the bot will use 101 as exiting price.<br />
|
|
In line with that, if <code>exit_pricing.price_side</code> is set to <code>"bid"</code>, then the bot will use 99 as exiting price.</p>
|
|
<p>Depending on the order direction (<em>long</em>/<em>short</em>), this will lead to different results. Therefore we recommend to use <code>"same"</code> or <code>"other"</code> for this configuration instead.
|
|
This would result in the following pricing matrix:</p>
|
|
<table>
|
|
<thead>
|
|
<tr>
|
|
<th>Direction</th>
|
|
<th>Order</th>
|
|
<th>setting</th>
|
|
<th>price</th>
|
|
<th>crosses spread</th>
|
|
</tr>
|
|
</thead>
|
|
<tbody>
|
|
<tr>
|
|
<td>long</td>
|
|
<td>sell</td>
|
|
<td>ask</td>
|
|
<td>101</td>
|
|
<td>no</td>
|
|
</tr>
|
|
<tr>
|
|
<td>long</td>
|
|
<td>sell</td>
|
|
<td>bid</td>
|
|
<td>99</td>
|
|
<td>yes</td>
|
|
</tr>
|
|
<tr>
|
|
<td>long</td>
|
|
<td>sell</td>
|
|
<td>same</td>
|
|
<td>101</td>
|
|
<td>no</td>
|
|
</tr>
|
|
<tr>
|
|
<td>long</td>
|
|
<td>sell</td>
|
|
<td>other</td>
|
|
<td>99</td>
|
|
<td>yes</td>
|
|
</tr>
|
|
<tr>
|
|
<td>short</td>
|
|
<td>buy</td>
|
|
<td>ask</td>
|
|
<td>101</td>
|
|
<td>yes</td>
|
|
</tr>
|
|
<tr>
|
|
<td>short</td>
|
|
<td>buy</td>
|
|
<td>bid</td>
|
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<td>99</td>
|
|
<td>no</td>
|
|
</tr>
|
|
<tr>
|
|
<td>short</td>
|
|
<td>buy</td>
|
|
<td>same</td>
|
|
<td>99</td>
|
|
<td>no</td>
|
|
</tr>
|
|
<tr>
|
|
<td>short</td>
|
|
<td>buy</td>
|
|
<td>other</td>
|
|
<td>101</td>
|
|
<td>yes</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
<h4 id="exit-price-with-orderbook-enabled">Exit price with Orderbook enabled<a class="headerlink" href="#exit-price-with-orderbook-enabled" title="Permanent link">¶</a></h4>
|
|
<p>When exiting with the orderbook enabled (<code>exit_pricing.use_order_book=True</code>), Freqtrade fetches the <code>exit_pricing.order_book_top</code> entries in the orderbook and uses the entry specified as <code>exit_pricing.order_book_top</code> from the configured side (<code>exit_pricing.price_side</code>) as trade exit price.</p>
|
|
<p>1 specifies the topmost entry in the orderbook, while 2 would use the 2<sup>nd</sup> entry in the orderbook, and so on.</p>
|
|
<h4 id="exit-price-without-orderbook-enabled">Exit price without Orderbook enabled<a class="headerlink" href="#exit-price-without-orderbook-enabled" title="Permanent link">¶</a></h4>
|
|
<p>The following section uses <code>side</code> as the configured <code>exit_pricing.price_side</code> (defaults to <code>"ask"</code>).</p>
|
|
<p>When not using orderbook (<code>exit_pricing.use_order_book=False</code>), Freqtrade uses the best <code>side</code> price from the ticker if it's above the <code>last</code> traded price from the ticker. Otherwise (when the <code>side</code> price is below the <code>last</code> price), it calculates a rate between <code>side</code> and <code>last</code> price based on <code>exit_pricing.price_last_balance</code>.</p>
|
|
<p>The <code>exit_pricing.price_last_balance</code> configuration parameter controls this. A value of <code>0.0</code> will use <code>side</code> price, while <code>1.0</code> will use the last price and values between those interpolate between <code>side</code> and last price.</p>
|
|
<h3 id="market-order-pricing">Market order pricing<a class="headerlink" href="#market-order-pricing" title="Permanent link">¶</a></h3>
|
|
<p>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</p>
|
|
<div class="highlight"><pre><span></span><code> "order_types": {
|
|
"entry": "market",
|
|
"exit": "market"
|
|
// ...
|
|
},
|
|
"entry_pricing": {
|
|
"price_side": "other",
|
|
// ...
|
|
},
|
|
"exit_pricing":{
|
|
"price_side": "other",
|
|
// ...
|
|
},
|
|
</code></pre></div>
|
|
<p>Obviously, if only one side is using limit orders, different pricing combinations can be used.</p>
|
|
|
|
|
|
|
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