An Orderflow service that processes real-time trade data from WebSockets to build Footprint Candles for individual crypto exchanges. Currently supports Binance, Bybit, OKX, Bitget and Gate.io.

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
   

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
   

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.

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"
  }
]
*/

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
  }
]
*/