experimental depth of market check prior to buying

freqtrade/analyze.py

@@ -11,7 +11,7 @@ import pandas as pd
 from pandas import DataFrame, to_datetime
 
 from freqtrade import constants
-from freqtrade.exchange import get_fee, get_ticker_history
+from freqtrade.exchange import get_fee, get_ticker_history, get_order_book
 from freqtrade.persistence import Trade
 from freqtrade.strategy.resolver import StrategyResolver, IStrategy
 
@@ -108,7 +108,7 @@ class Analyze(object):
         dataframe = self.parse_ticker_dataframe(ticker_history)
         # eliminate partials for known exchanges that sends partial candles
         if self.config['exchange']['name'] in ['binance']:
-            logger.info('eliminating partial candle')
+            logger.debug('eliminating partial candle')
             dataframe.drop(dataframe.tail(1).index, inplace=True)  # eliminate partial candle
         dataframe = self.populate_indicators(dataframe, pair)
         dataframe = self.populate_buy_trend(dataframe, pair)
@@ -122,6 +122,7 @@ class Analyze(object):
         :param interval: Interval to use (in min)
         :return: (Buy, Sell) A bool-tuple indicating buy/sell signal
         """
+        logger.info('Checking signal for %s', pair)
         ticker_hist = get_ticker_history(pair, interval)
         if not ticker_hist:
             logger.warning('Empty ticker history for pair %s', pair)
@@ -271,7 +272,7 @@ class Analyze(object):
                 break
         return sell_rate
 
-    def order_book_to_dataframe(data: list) -> DataFrame:
+    def order_book_to_dataframe(self, data: list) -> DataFrame:
         """
         Gets order book list, returns dataframe with below format
         -------------------------------------------------------------------
@@ -292,8 +293,3 @@ class Analyze(object):
             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/constants.py

@@ -93,7 +93,9 @@ CONF_SCHEMA = {
             'properties': {
                 'use_sell_signal': {'type': 'boolean'},
                 'sell_profit_only': {'type': 'boolean'},
-                'sell_fullfilled_at_roi': {'type': 'boolean'}
+                'sell_fullfilled_at_roi': {'type': 'boolean'},
+                'check_depth_of_market': {'type': 'boolean'},
+                'dom_bids_asks_delta': {'type': 'number', 'minimum': 0}
             }
         },
         'telegram': {

freqtrade/freqtradebot.py

@@ -195,7 +195,6 @@ class FreqtradeBot(object):
         :param key: sort key (defaults to 'quoteVolume')
         :return: List of pairs
         """
-
         if not exchange.exchange_has('fetchTickers'):
             raise OperationalException(
                 'Exchange does not support dynamic whitelist.'
@@ -264,7 +263,7 @@ 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
@@ -327,6 +326,19 @@ class FreqtradeBot(object):
                 break
         else:
             return False
+
+        # order book depth of market
+        if self.config.get('experimental', {}).get('check_depth_of_market', False) \
+        and (self.config.get('experimental', {}).get('dom_bids_asks_delta', 0) > 0):
+            logger.info('depth of market check for %s', pair)
+            orderBook = exchange.get_order_book(pair, 1000)
+            orderBook_df = self.analyze.order_book_to_dataframe(orderBook)
+            orderBook_bids = orderBook_df['b_size'].sum()
+            orderBook_asks = orderBook_df['a_size'].sum()
+            logger.info('bids: %s, asks: %s, delta: %s', orderBook_bids, orderBook_asks, orderBook_bids / orderBook_asks)
+            if (orderBook_bids / orderBook_asks) < self.config.get('experimental', {}).get('dom_bids_asks_delta', 0):
+                return False
+
         pair_s = pair.replace('_', '/')
         pair_url = exchange.get_pair_detail_url(pair)
         # Calculate amount