Move Pricing to subpage
This commit is contained in:
Matthias
parent
b41078cc46
commit
43986d3f73
@ -448,133 +448,7 @@ The valid values are:
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"BTC", "ETH", "XRP", "LTC", "BCH", "USDT"
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```
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## Prices used for orders
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Prices for regular orders can be controlled via the parameter structures `bid_strategy` for buying and `ask_strategy` for selling.
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Prices are always retrieved right before an order is placed, either by querying the exchange tickers or by using the orderbook data.
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!!! Note
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Orderbook data used by Freqtrade are the data retrieved from exchange by the ccxt's function `fetch_order_book()`, i.e. are usually data from the L2-aggregated orderbook, while the ticker data are the structures returned by the ccxt's `fetch_ticker()`/`fetch_tickers()` functions. Refer to the ccxt library [documentation](https://github.com/ccxt/ccxt/wiki/Manual#market-data) for more details.
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!!! Warning "Using market orders"
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Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
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### Buy price
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#### Check depth of market
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When check depth of market is enabled (`bid_strategy.check_depth_of_market.enabled=True`), the buy signals are filtered based on the orderbook depth (sum of all amounts) for each orderbook side.
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Orderbook `bid` (buy) side depth is then divided by the orderbook `ask` (sell) side depth and the resulting delta is compared to the value of the `bid_strategy.check_depth_of_market.bids_to_ask_delta` parameter. The buy order is only executed if the orderbook delta is greater than or equal to the configured delta value.
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!!! Note
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A delta value below 1 means that `ask` (sell) orderbook side depth is greater than the depth of the `bid` (buy) orderbook side, while a value greater than 1 means opposite (depth of the buy side is higher than the depth of the sell side).
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#### Buy price side
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The configuration setting `bid_strategy.price_side` defines the side of the spread the bot looks for when buying.
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The following displays an orderbook.
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``` explanation
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...
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103
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102
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101 # ask
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-------------Current spread
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99 # bid
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98
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97
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...
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```
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If `bid_strategy.price_side` is set to `"bid"`, then the bot will use 99 as buying price.
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In line with that, if `bid_strategy.price_side` is set to `"ask"`, then the bot will use 101 as buying price.
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Using `ask` price often guarantees quicker filled orders, but the bot can also end up paying more than what would have been necessary.
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Taker fees instead of maker fees will most likely apply even when using limit buy orders.
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Also, prices at the "ask" side of the spread are higher than prices at the "bid" side in the orderbook, so the order behaves similar to a market order (however with a maximum price).
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#### Buy price with Orderbook enabled
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When buying with the orderbook enabled (`bid_strategy.use_order_book=True`), Freqtrade fetches the `bid_strategy.order_book_top` entries from the orderbook and then uses the entry specified as `bid_strategy.order_book_top` on the configured side (`bid_strategy.price_side`) of the orderbook. 1 specifies the topmost entry in the orderbook, while 2 would use the 2nd entry in the orderbook, and so on.
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#### Buy price without Orderbook enabled
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The following section uses `side` as the configured `bid_strategy.price_side`.
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When not using orderbook (`bid_strategy.use_order_book=False`), Freqtrade uses the best `side` price from the ticker if it's below the `last` traded price from the ticker. Otherwise (when the `side` price is above the `last` price), it calculates a rate between `side` and `last` price.
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The `bid_strategy.ask_last_balance` configuration parameter controls this. A value of `0.0` will use `side` price, while `1.0` will use the `last` price and values between those interpolate between ask and last price.
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### Sell price
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#### Sell price side
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The configuration setting `ask_strategy.price_side` defines the side of the spread the bot looks for when selling.
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The following displays an orderbook:
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``` explanation
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...
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103
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102
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101 # ask
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-------------Current spread
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99 # bid
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98
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97
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...
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```
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If `ask_strategy.price_side` is set to `"ask"`, then the bot will use 101 as selling price.
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In line with that, if `ask_strategy.price_side` is set to `"bid"`, then the bot will use 99 as selling price.
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#### Sell price with Orderbook enabled
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When selling with the orderbook enabled (`ask_strategy.use_order_book=True`), Freqtrade fetches the `ask_strategy.order_book_max` entries in the orderbook. Then each of the orderbook steps between `ask_strategy.order_book_min` and `ask_strategy.order_book_max` on the configured orderbook side are validated for a profitable sell-possibility based on the strategy configuration (`minimal_roi` conditions) and the sell order is placed at the first profitable spot.
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!!! Note
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Using `order_book_max` higher than `order_book_min` only makes sense when ask_strategy.price_side is set to `"ask"`.
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The idea here is to place the sell order early, to be ahead in the queue.
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A fixed slot (mirroring `bid_strategy.order_book_top`) can be defined by setting `ask_strategy.order_book_min` and `ask_strategy.order_book_max` to the same number.
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!!! Warning "Order_book_max > 1 - increased risks for stoplosses!"
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Using `ask_strategy.order_book_max` higher than 1 will increase the risk the stoploss on exchange is cancelled too early, since an eventual [stoploss on exchange](#understand-order_types) will be cancelled as soon as the order is placed.
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Also, the sell order will remain on the exchange for `unfilledtimeout.sell` (or until it's filled) - which can lead to missed stoplosses (with or without using stoploss on exchange).
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!!! Warning "Order_book_max > 1 in dry-run"
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Using `ask_strategy.order_book_max` higher than 1 will result in improper dry-run results (significantly better than real orders executed on exchange), since dry-run assumes orders to be filled almost instantly.
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It is therefore advised to not use this setting for dry-runs.
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#### Sell price without Orderbook enabled
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When not using orderbook (`ask_strategy.use_order_book=False`), the price at the `ask_strategy.price_side` side (defaults to `"ask"`) from the ticker will be used as the sell price.
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### Market order pricing
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When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection.
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Assuming both buy and sell are using market orders, a configuration similar to the following might be used
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``` jsonc
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"order_types": {
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"buy": "market",
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"sell": "market"
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// ...
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},
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"bid_strategy": {
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"price_side": "ask",
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// ...
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},
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"ask_strategy":{
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"price_side": "bid",
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// ...
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},
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```
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Obviously, if only one side is using limit orders, different pricing combinations can be used.
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--8<-- "includes/pricing.md"
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## Using Dry-run mode
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127
docs/includes/pricing.md
Normal file
127
docs/includes/pricing.md
Normal file
@ -0,0 +1,127 @@
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## Prices used for orders
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Prices for regular orders can be controlled via the parameter structures `bid_strategy` for buying and `ask_strategy` for selling.
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Prices are always retrieved right before an order is placed, either by querying the exchange tickers or by using the orderbook data.
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!!! Note
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Orderbook data used by Freqtrade are the data retrieved from exchange by the ccxt's function `fetch_order_book()`, i.e. are usually data from the L2-aggregated orderbook, while the ticker data are the structures returned by the ccxt's `fetch_ticker()`/`fetch_tickers()` functions. Refer to the ccxt library [documentation](https://github.com/ccxt/ccxt/wiki/Manual#market-data) for more details.
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!!! Warning "Using market orders"
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Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
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### Buy price
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#### Check depth of market
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When check depth of market is enabled (`bid_strategy.check_depth_of_market.enabled=True`), the buy signals are filtered based on the orderbook depth (sum of all amounts) for each orderbook side.
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Orderbook `bid` (buy) side depth is then divided by the orderbook `ask` (sell) side depth and the resulting delta is compared to the value of the `bid_strategy.check_depth_of_market.bids_to_ask_delta` parameter. The buy order is only executed if the orderbook delta is greater than or equal to the configured delta value.
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!!! Note
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A delta value below 1 means that `ask` (sell) orderbook side depth is greater than the depth of the `bid` (buy) orderbook side, while a value greater than 1 means opposite (depth of the buy side is higher than the depth of the sell side).
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#### Buy price side
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The configuration setting `bid_strategy.price_side` defines the side of the spread the bot looks for when buying.
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The following displays an orderbook.
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``` explanation
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...
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103
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102
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101 # ask
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-------------Current spread
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99 # bid
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98
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97
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...
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```
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If `bid_strategy.price_side` is set to `"bid"`, then the bot will use 99 as buying price.
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In line with that, if `bid_strategy.price_side` is set to `"ask"`, then the bot will use 101 as buying price.
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Using `ask` price often guarantees quicker filled orders, but the bot can also end up paying more than what would have been necessary.
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Taker fees instead of maker fees will most likely apply even when using limit buy orders.
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Also, prices at the "ask" side of the spread are higher than prices at the "bid" side in the orderbook, so the order behaves similar to a market order (however with a maximum price).
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#### Buy price with Orderbook enabled
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When buying with the orderbook enabled (`bid_strategy.use_order_book=True`), Freqtrade fetches the `bid_strategy.order_book_top` entries from the orderbook and then uses the entry specified as `bid_strategy.order_book_top` on the configured side (`bid_strategy.price_side`) of the orderbook. 1 specifies the topmost entry in the orderbook, while 2 would use the 2nd entry in the orderbook, and so on.
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#### Buy price without Orderbook enabled
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The following section uses `side` as the configured `bid_strategy.price_side`.
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When not using orderbook (`bid_strategy.use_order_book=False`), Freqtrade uses the best `side` price from the ticker if it's below the `last` traded price from the ticker. Otherwise (when the `side` price is above the `last` price), it calculates a rate between `side` and `last` price.
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The `bid_strategy.ask_last_balance` configuration parameter controls this. A value of `0.0` will use `side` price, while `1.0` will use the `last` price and values between those interpolate between ask and last price.
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### Sell price
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#### Sell price side
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The configuration setting `ask_strategy.price_side` defines the side of the spread the bot looks for when selling.
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The following displays an orderbook:
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``` explanation
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...
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103
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102
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101 # ask
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-------------Current spread
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99 # bid
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98
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97
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...
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```
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If `ask_strategy.price_side` is set to `"ask"`, then the bot will use 101 as selling price.
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In line with that, if `ask_strategy.price_side` is set to `"bid"`, then the bot will use 99 as selling price.
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#### Sell price with Orderbook enabled
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When selling with the orderbook enabled (`ask_strategy.use_order_book=True`), Freqtrade fetches the `ask_strategy.order_book_max` entries in the orderbook. Then each of the orderbook steps between `ask_strategy.order_book_min` and `ask_strategy.order_book_max` on the configured orderbook side are validated for a profitable sell-possibility based on the strategy configuration (`minimal_roi` conditions) and the sell order is placed at the first profitable spot.
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!!! Note
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Using `order_book_max` higher than `order_book_min` only makes sense when ask_strategy.price_side is set to `"ask"`.
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The idea here is to place the sell order early, to be ahead in the queue.
|
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A fixed slot (mirroring `bid_strategy.order_book_top`) can be defined by setting `ask_strategy.order_book_min` and `ask_strategy.order_book_max` to the same number.
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!!! Warning "Order_book_max > 1 - increased risks for stoplosses!"
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Using `ask_strategy.order_book_max` higher than 1 will increase the risk the stoploss on exchange is cancelled too early, since an eventual [stoploss on exchange](#understand-order_types) will be cancelled as soon as the order is placed.
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Also, the sell order will remain on the exchange for `unfilledtimeout.sell` (or until it's filled) - which can lead to missed stoplosses (with or without using stoploss on exchange).
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!!! Warning "Order_book_max > 1 in dry-run"
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Using `ask_strategy.order_book_max` higher than 1 will result in improper dry-run results (significantly better than real orders executed on exchange), since dry-run assumes orders to be filled almost instantly.
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It is therefore advised to not use this setting for dry-runs.
|
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#### Sell price without Orderbook enabled
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When not using orderbook (`ask_strategy.use_order_book=False`), the price at the `ask_strategy.price_side` side (defaults to `"ask"`) from the ticker will be used as the sell price.
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### Market order pricing
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|
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When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection.
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Assuming both buy and sell are using market orders, a configuration similar to the following might be used
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``` jsonc
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"order_types": {
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"buy": "market",
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"sell": "market"
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// ...
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},
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"bid_strategy": {
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"price_side": "ask",
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// ...
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},
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"ask_strategy":{
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"price_side": "bid",
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// ...
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},
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```
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Obviously, if only one side is using limit orders, different pricing combinations can be used.
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