Order Flow Analysis

Configuration Example

Configuration for order flow analysis uses YAML or JSON format. Key parameters include timeframes, signal thresholds, position sizing rules, and risk limits.

# Example configuration for Order Flow Analysis
strategy:
  name: order-flow-analysis
  timeframe: 5m
  indicators:
    - rsi
    - ema_fast
    - ema_slow
  entry_conditions:
    - rsi_oversold
    - ema_crossover_bullish
  exit_conditions:
    - rsi_overbought
    - stop_loss_hit
  risk:
    max_position_size: 0.02
    stop_loss_pct: 0.015

Core Concepts

Understanding order flow analysis requires familiarity with market microstructure, order flow dynamics, and execution latency. The following sections detail each component.

Implementation

Implementation of order flow analysis follows a modular architecture. Configuration files define parameters, strategy modules handle logic, and exchange adapters manage execution.

Performance Metrics

Key metrics include Sharpe ratio, maximum drawdown, win rate, profit factor, and average trade duration. Compare against baseline strategies and adjust parameters based on out-of-sample results.

Production Notes

In production, order flow analysis requires monitoring for API rate limits, database connection pooling, log rotation, alert thresholds, and automated restart procedures. Document runbooks for incident response.