Move Pricing to subpage
This commit is contained in:
Matthias
parent
b41078cc46
commit
43986d3f73
|
|
@ -448,133 +448,7 @@ The valid values are:
|
|||
"BTC", "ETH", "XRP", "LTC", "BCH", "USDT"
|
||||
```
|
||||
|
||||
## Prices used for orders
|
||||
|
||||
Prices for regular orders can be controlled via the parameter structures `bid_strategy` for buying and `ask_strategy` for selling.
|
||||
Prices are always retrieved right before an order is placed, either by querying the exchange tickers or by using the orderbook data.
|
||||
|
||||
!!! Note
|
||||
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.
|
||||
|
||||
!!! Warning "Using market orders"
|
||||
Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
|
||||
|
||||
### Buy price
|
||||
|
||||
#### Check depth of market
|
||||
|
||||
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.
|
||||
|
||||
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.
|
||||
|
||||
!!! Note
|
||||
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).
|
||||
|
||||
#### Buy price side
|
||||
|
||||
The configuration setting `bid_strategy.price_side` defines the side of the spread the bot looks for when buying.
|
||||
|
||||
The following displays an orderbook.
|
||||
|
||||
``` explanation
|
||||
...
|
||||
103
|
||||
102
|
||||
101 # ask
|
||||
-------------Current spread
|
||||
99 # bid
|
||||
98
|
||||
97
|
||||
...
|
||||
```
|
||||
|
||||
If `bid_strategy.price_side` is set to `"bid"`, then the bot will use 99 as buying price.
|
||||
In line with that, if `bid_strategy.price_side` is set to `"ask"`, then the bot will use 101 as buying price.
|
||||
|
||||
Using `ask` price often guarantees quicker filled orders, but the bot can also end up paying more than what would have been necessary.
|
||||
Taker fees instead of maker fees will most likely apply even when using limit buy orders.
|
||||
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).
|
||||
|
||||
#### Buy price with Orderbook enabled
|
||||
|
||||
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.
|
||||
|
||||
#### Buy price without Orderbook enabled
|
||||
|
||||
The following section uses `side` as the configured `bid_strategy.price_side`.
|
||||
|
||||
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.
|
||||
|
||||
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.
|
||||
|
||||
### Sell price
|
||||
|
||||
#### Sell price side
|
||||
|
||||
The configuration setting `ask_strategy.price_side` defines the side of the spread the bot looks for when selling.
|
||||
|
||||
The following displays an orderbook:
|
||||
|
||||
``` explanation
|
||||
...
|
||||
103
|
||||
102
|
||||
101 # ask
|
||||
-------------Current spread
|
||||
99 # bid
|
||||
98
|
||||
97
|
||||
...
|
||||
```
|
||||
|
||||
If `ask_strategy.price_side` is set to `"ask"`, then the bot will use 101 as selling price.
|
||||
In line with that, if `ask_strategy.price_side` is set to `"bid"`, then the bot will use 99 as selling price.
|
||||
|
||||
#### Sell price with Orderbook enabled
|
||||
|
||||
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.
|
||||
|
||||
!!! Note
|
||||
Using `order_book_max` higher than `order_book_min` only makes sense when ask_strategy.price_side is set to `"ask"`.
|
||||
|
||||
The idea here is to place the sell order early, to be ahead in the queue.
|
||||
|
||||
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.
|
||||
|
||||
!!! Warning "Order_book_max > 1 - increased risks for stoplosses!"
|
||||
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.
|
||||
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).
|
||||
|
||||
!!! Warning "Order_book_max > 1 in dry-run"
|
||||
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.
|
||||
It is therefore advised to not use this setting for dry-runs.
|
||||
|
||||
#### Sell price without Orderbook enabled
|
||||
|
||||
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.
|
||||
|
||||
### Market order pricing
|
||||
|
||||
When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection.
|
||||
Assuming both buy and sell are using market orders, a configuration similar to the following might be used
|
||||
|
||||
``` jsonc
|
||||
"order_types": {
|
||||
"buy": "market",
|
||||
"sell": "market"
|
||||
// ...
|
||||
},
|
||||
"bid_strategy": {
|
||||
"price_side": "ask",
|
||||
// ...
|
||||
},
|
||||
"ask_strategy":{
|
||||
"price_side": "bid",
|
||||
// ...
|
||||
},
|
||||
```
|
||||
|
||||
Obviously, if only one side is using limit orders, different pricing combinations can be used.
|
||||
--8<-- "includes/pricing.md"
|
||||
|
||||
## Using Dry-run mode
|
||||
|
||||
|
|
|
|||
|
|
@ -0,0 +1,127 @@
|
|||
## Prices used for orders
|
||||
|
||||
Prices for regular orders can be controlled via the parameter structures `bid_strategy` for buying and `ask_strategy` for selling.
|
||||
Prices are always retrieved right before an order is placed, either by querying the exchange tickers or by using the orderbook data.
|
||||
|
||||
!!! Note
|
||||
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.
|
||||
|
||||
!!! Warning "Using market orders"
|
||||
Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
|
||||
|
||||
### Buy price
|
||||
|
||||
#### Check depth of market
|
||||
|
||||
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.
|
||||
|
||||
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.
|
||||
|
||||
!!! Note
|
||||
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).
|
||||
|
||||
#### Buy price side
|
||||
|
||||
The configuration setting `bid_strategy.price_side` defines the side of the spread the bot looks for when buying.
|
||||
|
||||
The following displays an orderbook.
|
||||
|
||||
``` explanation
|
||||
...
|
||||
103
|
||||
102
|
||||
101 # ask
|
||||
-------------Current spread
|
||||
99 # bid
|
||||
98
|
||||
97
|
||||
...
|
||||
```
|
||||
|
||||
If `bid_strategy.price_side` is set to `"bid"`, then the bot will use 99 as buying price.
|
||||
In line with that, if `bid_strategy.price_side` is set to `"ask"`, then the bot will use 101 as buying price.
|
||||
|
||||
Using `ask` price often guarantees quicker filled orders, but the bot can also end up paying more than what would have been necessary.
|
||||
Taker fees instead of maker fees will most likely apply even when using limit buy orders.
|
||||
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).
|
||||
|
||||
#### Buy price with Orderbook enabled
|
||||
|
||||
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.
|
||||
|
||||
#### Buy price without Orderbook enabled
|
||||
|
||||
The following section uses `side` as the configured `bid_strategy.price_side`.
|
||||
|
||||
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.
|
||||
|
||||
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.
|
||||
|
||||
### Sell price
|
||||
|
||||
#### Sell price side
|
||||
|
||||
The configuration setting `ask_strategy.price_side` defines the side of the spread the bot looks for when selling.
|
||||
|
||||
The following displays an orderbook:
|
||||
|
||||
``` explanation
|
||||
...
|
||||
103
|
||||
102
|
||||
101 # ask
|
||||
-------------Current spread
|
||||
99 # bid
|
||||
98
|
||||
97
|
||||
...
|
||||
```
|
||||
|
||||
If `ask_strategy.price_side` is set to `"ask"`, then the bot will use 101 as selling price.
|
||||
In line with that, if `ask_strategy.price_side` is set to `"bid"`, then the bot will use 99 as selling price.
|
||||
|
||||
#### Sell price with Orderbook enabled
|
||||
|
||||
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.
|
||||
|
||||
!!! Note
|
||||
Using `order_book_max` higher than `order_book_min` only makes sense when ask_strategy.price_side is set to `"ask"`.
|
||||
|
||||
The idea here is to place the sell order early, to be ahead in the queue.
|
||||
|
||||
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.
|
||||
|
||||
!!! Warning "Order_book_max > 1 - increased risks for stoplosses!"
|
||||
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.
|
||||
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).
|
||||
|
||||
!!! Warning "Order_book_max > 1 in dry-run"
|
||||
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.
|
||||
It is therefore advised to not use this setting for dry-runs.
|
||||
|
||||
#### Sell price without Orderbook enabled
|
||||
|
||||
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.
|
||||
|
||||
### Market order pricing
|
||||
|
||||
When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection.
|
||||
Assuming both buy and sell are using market orders, a configuration similar to the following might be used
|
||||
|
||||
``` jsonc
|
||||
"order_types": {
|
||||
"buy": "market",
|
||||
"sell": "market"
|
||||
// ...
|
||||
},
|
||||
"bid_strategy": {
|
||||
"price_side": "ask",
|
||||
// ...
|
||||
},
|
||||
"ask_strategy":{
|
||||
"price_side": "bid",
|
||||
// ...
|
||||
},
|
||||
```
|
||||
|
||||
Obviously, if only one side is using limit orders, different pricing combinations can be used.
|
||||
Loading…
Reference in New Issue