From ab7f8b3a0fb2da6379b4af1d7dfc9cf7fecb037e Mon Sep 17 00:00:00 2001
From: Joe Schr <8218910+TheJoeSchr@users.noreply.github.com>
Date: Fri, 17 May 2024 15:49:53 +0200
Subject: [PATCH] `imbalance_ratio`: use ratio instead of percentage

---
 docs/advanced-orderflow.md                 | 2 +-
 freqtrade/constants.py                     | 2 +-
 freqtrade/data/converter/orderflow.py      | 8 ++++----
 tests/data/test_converter_public_trades.py | 4 ++--
 4 files changed, 8 insertions(+), 8 deletions(-)

diff --git a/docs/advanced-orderflow.md b/docs/advanced-orderflow.md
index edbde1ec7..d2e76d134 100644
--- a/docs/advanced-orderflow.md
+++ b/docs/advanced-orderflow.md
@@ -24,7 +24,7 @@ This guide walks you through utilizing public trade data for advanced orderflow
     "scale": 0.5, 
     "stacked_imbalance_range": 3, //  needs at least this amount of imbalance next to each other
     "imbalance_volume": 1, //  filters out below
-    "imbalance_ratio": 300 //  filters out ratio lower than
+    "imbalance_ratio": 3 //  filters out ratio lower than
   },
 ```
 
diff --git a/freqtrade/constants.py b/freqtrade/constants.py
index 24caa624a..919a991bb 100644
--- a/freqtrade/constants.py
+++ b/freqtrade/constants.py
@@ -531,7 +531,7 @@ CONF_SCHEMA = {
                 "scale": {"type": "number", "minimum": 0.0},
                 "stacked_imbalance_range": {"type": "number"},
                 "imbalance_volume": {"type": "number"},
-                "imbalance_ratio": {"type": "number"},
+                "imbalance_ratio": {"type": "number", "minimum": 0.0},
             },
         },
     },
diff --git a/freqtrade/data/converter/orderflow.py b/freqtrade/data/converter/orderflow.py
index 793e43875..c48e95354 100644
--- a/freqtrade/data/converter/orderflow.py
+++ b/freqtrade/data/converter/orderflow.py
@@ -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):
     """
     :param df: dataframes with bid and ask
-    :param imbalance_ratio: imbalance_ratio e.g. 300
-    :param imbalance_volume: imbalance volume e.g. 3)
+    :param imbalance_ratio: imbalance_ratio e.g. 3
+    :param imbalance_volume: imbalance volume e.g. 10
     :return: dataframe with bid and ask imbalance
     """
     bid = df.bid
     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
     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
     ask_imbalance_filtered = np.where(df.total_volume < imbalance_volume, False, ask_imbalance)
     dataframe = pd.DataFrame(
diff --git a/tests/data/test_converter_public_trades.py b/tests/data/test_converter_public_trades.py
index 96ba5e7a5..07e17b1b7 100644
--- a/tests/data/test_converter_public_trades.py
+++ b/tests/data/test_converter_public_trades.py
@@ -92,7 +92,7 @@ def test_public_trades_mock_populate_dataframe_with_trades__check_orderflow(
         "orderflow": {
             "scale": 0.005,
             "imbalance_volume": 0,
-            "imbalance_ratio": 300,
+            "imbalance_ratio": 3,
             "stacked_imbalance_range": 3,
         },
     }
@@ -202,7 +202,7 @@ def test_public_trades_trades_mock_populate_dataframe_with_trades__check_trades(
         "orderflow": {
             "scale": 0.5,
             "imbalance_volume": 0,
-            "imbalance_ratio": 300,
+            "imbalance_ratio": 3,
             "stacked_imbalance_range": 3,
         },
     }