diff --git a/docs/advanced-orderflow.md b/docs/advanced-orderflow.md index 75e529383..63c75ddbe 100644 --- a/docs/advanced-orderflow.md +++ b/docs/advanced-orderflow.md @@ -37,16 +37,16 @@ freqtrade download-data -p BTC/USDT:USDT --timerange 20230101- --trading-mode f Several new columns are available when activated. ``` python - dataframe['trades'] - dataframe['orderflow'] - dataframe['bid'] - dataframe['ask'] - dataframe['delta'] - dataframe['min_delta'] - dataframe['max_delta'] - dataframe['total_trades'] - dataframe['stacked_imbalances_bid'] - dataframe['stacked_imbalances_ask'] + dataframe['trades'] # every single trade + dataframe['orderflow'] # footprint chart: see below + dataframe['bid'] # bid sum + dataframe['ask'] # ask sum + dataframe['delta'] # ask - bid + dataframe['min_delta'] # minimum delta reached within candle + dataframe['max_delta'] # maximum delta reached within candle + dataframe['total_trades'] # amount of trades + dataframe['stacked_imbalances_bid'] # price level stacked imbalance bid occurred + dataframe['stacked_imbalances_ask'] # price level stacked imbalance ask occurred ``` These can be accessed like this: @@ -60,3 +60,22 @@ def cumulative_delta(delta: Series): return cumdelta ``` +### dataframe['orderflow'] + +This includes a dataframe that represents a Footprint chart of the Bid vs Ask type. Footprint charts are a type of candlestick chart that provides additional information, such as trade volume and order flow, in addition to price. +The scale of the price is set by `orderflow.scale` (see above) and thus binned per price level. + +Following columns are available: +```python + +orderflow_df['bid_amount'] # how much bids were traded +orderflow_df['ask_amount'] # how much asks were traded +orderflow_df['bid'] # how many bids trades +orderflow_df['ask'] # how many asks trades +orderflow_df['delta'] # ask amount - bid amount +orderflow_df['total_volume'] # ask amount + bid amount +orderflow_df['total_trades'] # ask + bid trades +``` + + +