Orderflow

This is a short Python module to analyze tick-by-tick data.

The structure of the data is the following:

• <b>Date</b>: date of trade execution (YYYY-MM-DD)
• <b>Time</b>: time of trade execution (%H:%M:%S.ffffff, market time)
• <b>Price</b>: price of execution trade
• <b>Volume</b>: volume executed
• <b>TradeType</b>: 1 if trade has been executed on the BID, 2 if the trade has been executed on the ASK
• <b>AskPrice</b>: price on the ask at the time of the execution
• <b>BidPrice</b>: price on the bid at the time of the execution
• <b>AskSize</b>: level 1 DOM (i.e Depth of the Market) size on the ask
• <b>BidSize</b>: level 1 DOM (i.e Depth of the Market) size on the bid
• <b>TotalAskDepth</b>: total volume on the ask DOM side (till max level available)
• <b>TotalBidDepth</b>: total volume on the bid DOM side (till max level available)
• <b>AskDOM_XX / BidDOM_XX</b>: ask and bid values till level XX

Main tools in development for data fun and research are <b>VWAP, Volume Profile, Imbalances</b>. Please, keep in mind that this is not a module for trading but <b>just</b> for research for those that love data !

This module uses Numpy, Pandas and Polars for <b>amazing</b> speed in managing the data. Ehy, if you like this code or if you fork it leave a star! It will help this project to be spread.