book order preparation for strategy use

freqtrade/analyze.py

@@ -7,6 +7,7 @@ from enum import Enum
 from typing import Dict, List, Tuple
 
 import arrow
+import pandas as pd
 from pandas import DataFrame, to_datetime
 
 from freqtrade import constants
@@ -269,3 +270,30 @@ class Analyze(object):
                 return roi_rate
                 break
         return sell_rate
+
+    def order_book_to_dataframe(data: list) -> DataFrame:
+        """
+        Gets order book list, returns dataframe with below format
+        -------------------------------------------------------------------
+         bids       b_size       a_sum       asks       a_size       a_sum
+        -------------------------------------------------------------------
+        """
+        cols = ['bids', 'b_size']
+        bids_frame = DataFrame(data['bids'], columns=cols)
+        # add cumulative sum column
+        bids_frame['b_sum'] = bids_frame['b_size'].cumsum()
+        cols2 = ['asks', 'a_size']
+        asks_frame = DataFrame(data['asks'], columns=cols2)
+        # add cumulative sum column
+        asks_frame['a_sum'] = asks_frame['a_size'].cumsum()
+
+        frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'], \
+            asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1, \
+            keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum'])
+
+        return frame
+
+    def order_book_dom() -> DataFrame:
+        # https://stackoverflow.com/questions/36835793/pandas-group-by-consecutive-ranges
+        return DataFrame
+

freqtrade/exchange/__init__.py

@@ -254,7 +254,7 @@ def get_order_book(pair: str, limit: Optional[int] = 100) -> dict:
                     limit = limitx
                     break
 
-        return _API.fetch_order_book(pair, limit)
+        return _API.fetch_l2_order_book(pair, limit)
     except ccxt.NotSupported as e:
         raise OperationalException(
             f'Exchange {_API.name} does not support fetching order book.'

freqtrade/freqtradebot.py

@@ -264,7 +264,7 @@ class FreqtradeBot(object):
         if 'use_book_order' in self.config['bid_strategy'] and self.config['bid_strategy'].get('use_book_order', False):
             logger.info('Getting price from Order Book')
             orderBook_top = self.config.get('bid_strategy', {}).get('book_order_top', 1)
-            orderBook = exchange.get_order_book(pair, orderBook_top)
+            orderBook = exchange.get_order_book(pair, orderBook_top)            
             # top 1 = index 0
             orderBook_rate = orderBook['bids'][orderBook_top - 1][0]
             orderBook_rate = orderBook_rate + 0.00000001
@@ -476,10 +476,9 @@ with limit `{buy_limit:.8f} ({stake_amount:.6f} \
 
         if 'ask_strategy' in self.config and self.config['ask_strategy'].get('use_book_order', False):
             logger.info('Using order book for selling...')
-
             # logger.debug('Order book %s',orderBook)
-            orderBook_min = self.config['ask_strategy']['book_order_min']
+            orderBook_min = self.config['ask_strategy'].get('book_order_min', 1)
-            orderBook_max = self.config['ask_strategy']['book_order_max']
+            orderBook_max = self.config['ask_strategy'].get('book_order_max', 1)
 
             orderBook = exchange.get_order_book(trade.pair, orderBook_max)