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Slightly update docs with warnings

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Matthias
2024-06-06 17:37:54 +02:00
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docs/advanced-orderflow.md
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This guide walks you through utilizing public trade data for advanced orderflow analysis in Freqtrade. This guide walks you through utilizing public trade data for advanced orderflow analysis in Freqtrade.
!!! Warning "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](https://github.com/freqtrade/freqtrade/issues).
!!! Warning "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. It can also cause increased memory usage. Please ensure you have sufficient resources available.
## Getting Started ## Getting Started
1. **Enable Public Trades:** in your `config.json` file, set the `use_public_trades` option to true under the `exchange` section. 1. **Enable Public Trades:** in your `config.json` file, set the `use_public_trades` option to true under the `exchange` section.
```json ```json
"exchange": { "exchange": {
... ...
"use_public_trades": true, "use_public_trades": true,
} }
``` ```
2. **Configure Orderflow Processing:** Define your desired settings for orderflow processing within the orderflow section of config.json. Here, you can adjust factors like: 2. **Configure Orderflow Processing:** Define your desired settings for orderflow processing within the orderflow section of config.json. Here, you can adjust factors like:
- `scale`: This controls the price bin size for the footprint chart. - `scale`: This controls the price bin size for the footprint chart.
@@ -36,31 +43,31 @@ To download historical trade data for backtesting, use the --dl-trades flag with
freqtrade download-data -p BTC/USDT:USDT --timerange 20230101- --trading-mode futures --timeframes 5m --dl-trades freqtrade download-data -p BTC/USDT:USDT --timerange 20230101- --trading-mode futures --timeframes 5m --dl-trades
``` ```
## Accessing Orderflow Data ## Accessing Orderflow Data
Once activated, several new columns become available in your dataframe: Once activated, several new columns become available in your dataframe:
``` python ``` python
dataframe['trades'] # Contains information about each individual trade. dataframe["trades"] # Contains information about each individual trade.
dataframe['orderflow'] # Represents a footprint chart dataframe (see below) dataframe["orderflow"] # Represents a footprint chart dataframe (see below)
dataframe['bid'] # Total bid volume dataframe["bid"] # Total bid volume
dataframe['ask'] # Total ask volume dataframe["ask"] # Total ask volume
dataframe['delta'] # Difference between ask and bid volume. dataframe["delta"] # Difference between ask and bid volume.
dataframe['min_delta'] # Minimum delta within the candle dataframe["min_delta"] # Minimum delta within the candle
dataframe['max_delta'] # Maximum delta within the candle dataframe["max_delta"] # Maximum delta within the candle
dataframe['total_trades'] # Total number of trades dataframe["total_trades"] # Total number of trades
dataframe['stacked_imbalances_bid'] # Price level of stacked bid imbalance dataframe["stacked_imbalances_bid"] # Price level of stacked bid imbalance
dataframe['stacked_imbalances_ask'] # Price level of stacked ask 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: You can access these columns in your strategy code for further analysis. Here's an example:
``` python ``` python
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# Calculating cumulative delta # Calculating cumulative delta
dataframe['cum_delta'] = cumulative_delta(dataframe['delta']) dataframe["cum_delta"] = cumulative_delta(dataframe["delta"])
# Accessing total trades # Accessing total trades
total_trades = dataframe['total_trades'] total_trades = dataframe["total_trades"]
... ...
def cumulative_delta(delta: Series): def cumulative_delta(delta: Series):
@@ -68,7 +75,8 @@ def cumulative_delta(delta: Series):
return cumdelta return cumdelta
``` ```
### Footprint chart (dataframe['orderflow'])
### 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 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