Orderflow

An Orderflow trade aggregator to deploy in the cloud that builds Footprint Candles by aggregating raw trades from Websockets. Supports Binance, Bybit, Okx, and Bitget for now.

Get Started

1. Clone the repository:

   git clone git@github.com:focus1691/orderflow.git
   

2. Set up a PostgreSQL TimescaleDB instance (Required):

   docker run -d --name timescaledb -p 5433:5432 -e POSTGRES_PASSWORD=password timescale/timescaledb-ha:pg14-latest
   

3. Set up a RabbitMQ instance (optional) to listen for candle closes:

   docker run -d --name rabbitmq -p 5672:5672 -p 15672:15672 -e RABBITMQ_DEFAULT_USER=admin -e RABBITMQ_DEFAULT_PASS=admin rabbitmq:4.0-management
   

4. Configure environment variables:

   • DB_URL
   • USE_RABBITMQ
   • RABBITMQ_URL
   • BINANCE_DOCKER_PORT
   • BITGET_DOCKER_PORT
   • BYBIT_DOCKER_PORT
   • GATEIO_DOCKER_PORT
   • OKX_DOCKER_PORT
   • SYMBOLS

5. Build and Run the services:

   yarn binance:docker
   

   yarn bitget:docker
   

   yarn gateio:docker
   

   yarn bybit:docker
   

   yarn okx:docker
   

Binance Backfill

For historical data processing:

1. Set the following environment variables:

   • SYMBOLS: Trading pair(s) to backfill for. Comma-separated values.
   • BACKFILL_START_AT: Start timestamp (ms)
   • BACKFILL_END_AT: End timestamp (ms)

2. Run the Binance Backfill service:

   yarn start:binance-backfill
   

Indicators

The chart-patterns library has indicators to use the FootPrint candles generated from this service. Below are examples of using the stackedImbalances and highVolumeNodes indicators.

Stacked Imbalances

A stacked imbalance occurs when there is a cluster of price levels where the volume difference between the bid and ask exceeds a defined threshold. This indicator helps identify aggressive buying or selling.

import { Orderflow } from 'chart-patterns';

const footprintCandlePrices = {
  '98891': { volSumAsk: 0.002, volSumBid: 0.611 },
  '98892': { volSumAsk: 0.002, volSumBid: 1.49 },
  '98893': { volSumAsk: 0.005, volSumBid: 1.386 },
  '98894': { volSumAsk: 0.022, volSumBid: 2.58 },
  '98895': { volSumAsk: 0.018, volSumBid: 2.18 },
};

const stackedImbalance = Orderflow.detectStackedImbalances(footprintCandlePrices, {
  threshold: 200, // Minimum volume imbalance percentage
  stackCount: 3, // Number of consecutive imbalances
  tickSize: 0.1, // Tick Size (e.g., 0.1 for BTCUSDT)
});

console.log(stackedImbalance);
/*
[
  {
    imbalanceStartAt: 98891,
    imbalanceEndAt: 98895,
    stackedCount: 5,
    imbalanceSide: "buy"
  }
]
*/

High Volume Nodes

A high volume node identifies price levels where significant trading volume occurs, potentially marking areas of interest or support/resistance levels.

const highVolumeNodes = Orderflow.findHighVolumeNodes(footprintCandlePrices, { 
  threshold: 0.3, // Node Volume Percentage 30%
});

console.log(highVolumeNodes);
/*
[
  {
    nodePrice: 98894,
    totalVolume: 8.305,
    sellVolume: 0.022,
    buyVolume: 2.58,
    nodeVolumePercent: 0.31
  }
]
*/