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147 lines
7.0 KiB
Markdown
147 lines
7.0 KiB
Markdown
## Prices used for orders
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Prices for regular orders can be controlled via the parameter structures `entry_pricing` for trade entries and `exit_pricing` 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.
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!!! Note
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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](https://github.com/ccxt/ccxt/wiki/Manual#market-data) for more details.
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!!! Warning "Using market orders"
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Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
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### Entry price
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#### Enter price side
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The configuration setting `entry_pricing.price_side` defines the side of the orderbook the bot looks for when buying.
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The following displays an orderbook.
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``` explanation
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...
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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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```
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If `entry_pricing.price_side` is set to `"bid"`, then the bot will use 99 as entry price.
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In line with that, if `entry_pricing.price_side` is set to `"ask"`, then the bot will use 101 as entry price.
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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.
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This would result in the following pricing matrix:
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| direction | Order | setting | price | crosses spread |
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|------ |--------|-----|-----|-----|
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| long | buy | ask | 101 | yes |
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| long | buy | bid | 99 | no |
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| long | buy | same | 99 | no |
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| long | buy | other | 101 | yes |
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| short | sell | ask | 101 | no |
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| short | sell | bid | 99 | yes |
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| short | sell | same | 101 | no |
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| short | sell | other | 99 | yes |
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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).
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#### Entry price with Orderbook enabled
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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.
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#### Entry price without Orderbook enabled
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The following section uses `side` as the configured `entry_pricing.price_side` (defaults to `"same"`).
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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`.
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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.
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#### Check depth of market
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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.
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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.
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!!! Note
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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).
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### Exit price
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#### Exit price side
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The configuration setting `exit_pricing.price_side` defines the side of the spread the bot looks for when exiting a trade.
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The following displays an orderbook:
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``` explanation
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...
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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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```
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If `exit_pricing.price_side` is set to `"ask"`, then the bot will use 101 as exiting price.
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In line with that, if `exit_pricing.price_side` is set to `"bid"`, then the bot will use 99 as exiting price.
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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.
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This would result in the following pricing matrix:
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| Direction | Order | setting | price | crosses spread |
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|------ |--------|-----|-----|-----|
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| long | sell | ask | 101 | no |
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| long | sell | bid | 99 | yes |
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| long | sell | same | 101 | no |
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| long | sell | other | 99 | yes |
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| short | buy | ask | 101 | yes |
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| short | buy | bid | 99 | no |
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| short | buy | same | 99 | no |
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| short | buy | other | 101 | yes |
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#### Exit price with Orderbook enabled
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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.
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1 specifies the topmost entry in the orderbook, while 2 would use the 2nd entry in the orderbook, and so on.
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#### Exit price without Orderbook enabled
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The following section uses `side` as the configured `exit_pricing.price_side` (defaults to `"ask"`).
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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`.
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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.
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### Market order pricing
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When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection.
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Assuming both entry and exits are using market orders, a configuration similar to the following must be used
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``` jsonc
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"order_types": {
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"entry": "market",
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"exit": "market"
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// ...
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},
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"entry_pricing": {
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"price_side": "other",
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// ...
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},
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"exit_pricing":{
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"price_side": "other",
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// ...
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},
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```
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Obviously, if only one side is using limit orders, different pricing combinations can be used.
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