Quantitative investment learning -- Introduction to orderflow

What is? orderflow Well ：
According to the analysis of the leaders of Zhihu ：orderflow Order flow , Main footprint , Can identify the imbalance between supply and demand in the market ,order flow We can see the micro changes of the market , Can make us order more confident , More accurate . and iceberg It can be used as an auxiliary signal to confirm market entry .
yan louis Bosses said , jigsaw trading There is a relatively complete set of introductory materials on it , It feels great
There is a book on this , There are not many pages , Name is 《 Order flow transactions 》, The download address of this book is provided here , Let's take it from ourselves ：
link ：https://pan.baidu.com/s/1mqw04l80L8DUnicT0An7Bw
Extraction code ：14bh
Besides ,Order Flow Also often with Prop Trader, Come together

Common application methods of order flow ：1） Transaction trace （ Order track ） The four dimensions of —— Can be integrated into short-term 、 center line 、 Long term strategy ;2） Market depth DOM—— Open unsettled data , For example, there are five files visible in domestic trading software 、 Ten data , Show some future prices and corresponding potential trading volume （ The reason for using the word potential , Because the trading volume of these hanging orders is often cancelled , There are also some inducements and deceptions ）,DOM Often used for high-frequency trading , I think this usage is only suitable for some high-frequency institutions , Individual traders have no ultra-low transaction costs 、 In the case of super smooth trading network, it is not recommended ;3） Volume distribution VP—— Volume distribution based on price , It is usually used to assist in the analysis of short-term within the day , The principle is to find high volume according to the distribution degree of trading volume at different prices 、 Low volume 、 The value area that concentrates most of the transaction volume , Consider these points or areas of points as support pressure , Some conditions for making trading decisions .

Introduction to some nouns ：
Delta Is defined as in a root K The difference between the total trading volume of active buying and active selling orders in the line , It is from Tick Calculated from level data , We can see who dominates the market through it . If the market is dominated by bulls ,Delta Usually positive ; If it's a short lead market ,Delta It's negative .
We usually define the strength of a trend in terms of its usage , this also yes Delta Important original because . When the trend is up , We usually want to see positive Delta value , This means a rush of people The buyers in the market are frantically eating the hanging sales orders . conversely , It indicates that a large number of sales orders are being thrown to market .

Delta: — root K The difference between the total trading volume of active buying and active selling within the line ;
Max. Delta： One root K Within the time of the line Delta The maximum value that appears ;
Min. Delta: — root K Within the time of the line Delta The minimum value that appears ;
Cum. Delta：—' Days. Delta The cumulative amount of , display 7K Below the image ;
Cum. Delta/Volume：—' Days. D elta The ratio of the cumulative quantity of to the cumulative assembly parent quantity of the day ;
Volume: The K Total trading volume within the line ;
Cum. Volume: Cumulative trading volume of the day .

As for the specific implementation , At present, we still haven't found a good tool that can directly use open source , Purring , But the inventors provided some tools for drawing quantitatively , If here ：https://www.fmz.cn/strategy/189965
You can still have a look , I feel pretty good

Ah , At present, I really , I feel that the biggest problem is the lack of a good open source orderflow Tools , I hope there will be
Reference code ：
https://github.com/FutTrader/footprint-system
https://github.com/tradingview/lightweight-charts
https://www.fxsty.com/zixun/2021-03-04/4030.html
https://juejin.cn/post/7010598157599899662
https://www.fmz.cn/strategy/291843

Commercial software ：
https://www.marketcalls.in/ninjatrader-8 （ This feeling seems to be widely used ）
https://www.jumpstarttrading.com/footprint-chart/
https://community.optimusfutures.com/t/marketdelta-platform-alternatives-footprint-charts-volume-profile-order-flow-analysis-software/2955
reference ：
https://gist.github.com/sebjai/efbf9a8bad51e2ba4a91f1c9361ded08
https://futures.io/traders-hideout/52154-understanding-footprint-charts-number-bars-5.html

Relevant bosses ：
https://www.zhihu.com/people/cmdty-trading

Policy code ：
https://gist.github.com/sebjai/c6ff3850dea37d28d3fa7d3aef59722b
https://gist.github.com/sebjai/efbf9a8bad51e2ba4a91f1c9361ded08