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orderflow: clean code

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This commit is contained in:
Joe Schr
2024-06-24 18:07:17 +02:00
parent 5379400ab3
commit 323274ecee
1 changed files with 5 additions and 5 deletions
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freqtrade/data/converter/orderflow.py
+5 -5
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@@ -110,7 +110,7 @@ def populate_dataframe_with_trades(config, dataframe, trades):
indices = dataframe.index[is_between].tolist() indices = dataframe.index[is_between].tolist()
# Add trades to each candle # Add trades to each candle
trades_series.loc[indices] = [trades_grouped_df] * len(indices) trades_series.loc[indices] = [trades_grouped_df]
# Use caching mechanism # Use caching mechanism
if (candle_start, candle_next) in cached_grouped_trades: if (candle_start, candle_next) in cached_grouped_trades:
cache_entry = cached_grouped_trades[(candle_start, candle_next)] cache_entry = cached_grouped_trades[(candle_start, candle_next)]
@@ -127,26 +127,26 @@ def populate_dataframe_with_trades(config, dataframe, trades):
orderflow = trades_to_volumeprofile_with_total_delta_bid_ask( orderflow = trades_to_volumeprofile_with_total_delta_bid_ask(
trades_grouped_df, scale=config_orderflow["scale"] trades_grouped_df, scale=config_orderflow["scale"]
) )
orderflow_series.loc[indices] = [orderflow] * len(indices) orderflow_series.loc[indices] = [orderflow]
# Calculate imbalances for each candle's orderflow # Calculate imbalances for each candle's orderflow
imbalances = trades_orderflow_to_imbalances( imbalances = trades_orderflow_to_imbalances(
orderflow, orderflow,
imbalance_ratio=config_orderflow["imbalance_ratio"], imbalance_ratio=config_orderflow["imbalance_ratio"],
imbalance_volume=config_orderflow["imbalance_volume"], imbalance_volume=config_orderflow["imbalance_volume"],
) )
imbalances_series.loc[indices] = [imbalances] * len(indices) imbalances_series.loc[indices] = [imbalances]
stacked_imbalance_range = config_orderflow["stacked_imbalance_range"] stacked_imbalance_range = config_orderflow["stacked_imbalance_range"]
stacked_imbalances_bid_series.loc[indices] = [ stacked_imbalances_bid_series.loc[indices] = [
stacked_imbalance_bid( stacked_imbalance_bid(
imbalances, stacked_imbalance_range=stacked_imbalance_range imbalances, stacked_imbalance_range=stacked_imbalance_range
) )
] * len(indices) ]
stacked_imbalances_ask_series.loc[indices] = [ stacked_imbalances_ask_series.loc[indices] = [
stacked_imbalance_ask( stacked_imbalance_ask(
imbalances, stacked_imbalance_range=stacked_imbalance_range imbalances, stacked_imbalance_range=stacked_imbalance_range
) )
] * len(indices) ]
bid = np.where( bid = np.where(
trades_grouped_df["side"].str.contains("sell"), trades_grouped_df["amount"], 0 trades_grouped_df["side"].str.contains("sell"), trades_grouped_df["amount"], 0