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imbalance_ratio: use ratio instead of percentage

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Joe Schr
2024-05-17 15:49:53 +02:00
parent 0460ce45ff
commit ab7f8b3a0f
4 changed files with 8 additions and 8 deletions
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docs/advanced-orderflow.md
+1 -1
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@@ -24,7 +24,7 @@ This guide walks you through utilizing public trade data for advanced orderflow
"scale": 0.5, "scale": 0.5,
"stacked_imbalance_range": 3, // needs at least this amount of imbalance next to each other "stacked_imbalance_range": 3, // needs at least this amount of imbalance next to each other
"imbalance_volume": 1, // filters out below "imbalance_volume": 1, // filters out below
"imbalance_ratio": 300 // filters out ratio lower than "imbalance_ratio": 3 // filters out ratio lower than
}, },
``` ```
freqtrade/constants.py
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@@ -531,7 +531,7 @@ CONF_SCHEMA = {
"scale": {"type": "number", "minimum": 0.0}, "scale": {"type": "number", "minimum": 0.0},
"stacked_imbalance_range": {"type": "number"}, "stacked_imbalance_range": {"type": "number"},
"imbalance_volume": {"type": "number"}, "imbalance_volume": {"type": "number"},
"imbalance_ratio": {"type": "number"}, "imbalance_ratio": {"type": "number", "minimum": 0.0},
}, },
}, },
}, },
freqtrade/data/converter/orderflow.py
+4 -4
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@@ -211,16 +211,16 @@ def trades_to_volumeprofile_with_total_delta_bid_ask(trades: pd.DataFrame, scale
def trades_orderflow_to_imbalances(df: pd.DataFrame, imbalance_ratio: int, imbalance_volume: int): def trades_orderflow_to_imbalances(df: pd.DataFrame, imbalance_ratio: int, imbalance_volume: int):
""" """
:param df: dataframes with bid and ask :param df: dataframes with bid and ask
:param imbalance_ratio: imbalance_ratio e.g. 300 :param imbalance_ratio: imbalance_ratio e.g. 3
:param imbalance_volume: imbalance volume e.g. 3) :param imbalance_volume: imbalance volume e.g. 10
:return: dataframe with bid and ask imbalance :return: dataframe with bid and ask imbalance
""" """
bid = df.bid bid = df.bid
ask = df.ask.shift(-1) ask = df.ask.shift(-1)
bid_imbalance = (bid / ask) > (imbalance_ratio / 100) bid_imbalance = (bid / ask) > (imbalance_ratio)
# overwrite bid_imbalance with False if volume is not big enough # overwrite bid_imbalance with False if volume is not big enough
bid_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, bid_imbalance) bid_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, bid_imbalance)
ask_imbalance = (ask / bid) > (imbalance_ratio / 100) ask_imbalance = (ask / bid) > (imbalance_ratio)
# overwrite ask_imbalance with False if volume is not big enough # overwrite ask_imbalance with False if volume is not big enough
ask_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, ask_imbalance) ask_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, ask_imbalance)
dataframe = pd.DataFrame( dataframe = pd.DataFrame(
tests/data/test_converter_public_trades.py
+2 -2
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@@ -92,7 +92,7 @@ def test_public_trades_mock_populate_dataframe_with_trades__check_orderflow(
"orderflow": { "orderflow": {
"scale": 0.005, "scale": 0.005,
"imbalance_volume": 0, "imbalance_volume": 0,
"imbalance_ratio": 300, "imbalance_ratio": 3,
"stacked_imbalance_range": 3, "stacked_imbalance_range": 3,
}, },
} }
@@ -202,7 +202,7 @@ def test_public_trades_trades_mock_populate_dataframe_with_trades__check_trades(
"orderflow": { "orderflow": {
"scale": 0.5, "scale": 0.5,
"imbalance_volume": 0, "imbalance_volume": 0,
"imbalance_ratio": 300, "imbalance_ratio": 3,
"stacked_imbalance_range": 3, "stacked_imbalance_range": 3,
}, },
} }