OrderFlow Analysis Pro

Real-time orderflow trading system — tick-level microstructure analysis, 5 pattern detectors, volume profile framing, state machine trade lifecycle, dual data feeds (MT5 + Bybit), FastAPI dashboard with WebSocket, Telegram alerts. Built on Fabio Testa's methodology.

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Table of Contents

• What Is OrderFlow Analysis?
• System Overview
• Architecture
• The 5 Core Patterns
• Volume Profile Framing
• State Machine Trade Lifecycle
• Supported Instruments (29)
• Data Sources
• Dashboard
• Telegram Alerts
• Database
• Installation
• Configuration
• Usage
• Project Structure
• File Inventory
• API Reference
• Demo Mode
• Signal Output Examples
• How Pattern Detection Works
• Composite Scoring System
• Contributing
• License
• Disclaimer

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What Is OrderFlow Analysis?

OrderFlow analysis reads market microstructure — the tick-by-tick footprint of buyers and sellers — to understand who is in control before price reflects it. Unlike traditional technical analysis that looks at candles and indicators, orderflow looks inside the candle:

Traditional Analysis              OrderFlow Analysis
─────────────────────             ─────────────────────
Looks at: OHLC candles             Looks at: Every tick (price + volume + side)
Timeframe: 1m, 5m, 1H             Timeframe: Tick-level (milliseconds)
Answers: What happened?            Answers: WHO did it and WHY?
Indicators: RSI, MACD, MA         Engines: Delta, Footprint, Volume Profile, Orderbook
Lagging: Yes (averages)            Leading: No (real-time microstructure)

Key Concepts

| Concept | What It Measures | Why It Matters | |---------|-----------------|----------------| | Delta | Buy volume minus sell volume per candle/level | Who is aggressive — buyers or sellers? | | Cumulative Delta | Running total of delta over time | Is buying/selling pressure building or fading? | | Footprint | Volume at each price level split by bid/ask | Where did the heavy trading happen inside the candle? | | Volume Profile | Total volume traded at each price over a session | Where is the "fair value" — POC, VAH, VAL? | | Orderbook | Limit orders waiting at each price level | Where are the walls? Thin levels = easy to sweep. | | Absorption | Aggressive volume with no price movement | Someone is defending a level with limit orders. | | Initiative | Aggressive volume WITH price movement | Institutional conviction pushing price. |

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System Overview

┌─────────────────────────────────────────────────────────────────────────────┐
│                         OrderFlow Analysis Pro                              │
│                                                                             │
│  ┌──────────────────────┐     ┌──────────────────────────────────────┐      │
│  │   DATA SOURCES       │     │   ANALYTICS ENGINES (per instrument) │      │
│  │                      │     │                                      │      │
│  │  ┌────────┐ ┌──────┐ │     │  Volume Profile  ── POC, VAH, VAL,  │      │
│  │  │  MT5   │ │Bybit │ │────▶│  Delta Engine    ── vertical, horiz,│      │
│  │  │  Feed  │ │ Feed │ │     │  Footprint       ── bid/ask/level,  │      │
│  │  └────────┘ └──────┘ │     │  Orderbook       ── L2 depth, thin  │      │
│  └──────────────────────┘     └───────────────┬──────────────────────┘      │
│                                               │                              │
│  ┌────────────────────────────────────────────▼──────────────────────────┐  │
│  │                    5 PATTERN DETECTORS                                 │  │
│  │  Absorption · Initiative · Sweep · Exhaustion · Divergence            │  │
│  └────────────────────────────────────────────┬──────────────────────────┘  │
│                                               │                              │
│  ┌────────────────────────────────────────────▼──────────────────────────┐  │
│  │                    SIGNAL PROCESSING                                   │  │
│  │  Profile Framing (P/b/D shapes) → Qualified Levels → Daily Bias      │  │
│  │  Signal Aggregator (state machine) → Composite Score (0-100)         │  │
│  └────────────┬──────────────────────────────────┬───────────────────────┘  │
│               │                                  │                          │
│  ┌────────────▼──────────┐  ┌───────────────────▼────────────────────┐     │
│  │   Telegram Alerts     │  │   FastAPI Dashboard                    │     │
│  │   Entry/BE/Trail/Exit │  │   16 REST endpoints + WebSocket        │     │
│  │   Daily Bias updates  │  │   Charts, VP, Footprint, Orderbook     │     │
│  └───────────────────────┘  │   Scanner, Strategy Status, Tape       │     │
│                              └───────────────────────────────────────┘     │
│  ┌────────────────────────────────────────────────────────────────────┐     │
│  │   SQLite Database (WAL mode)                                       │     │
│  │   ticks · candles · volume_profiles · signals · trade_journal     │     │
│  └────────────────────────────────────────────────────────────────────┘     │
│                                                                             │
└─────────────────────────────────────────────────────────────────────────────┘

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Architecture

Data Flow Pipeline

                     ┌─────────────┐
                     │  MT5 Feed   │──── Tick polling (100ms)
                     │  (495L)     │──── Market Book (DOM)
                     │             │──── Historical download
                     └──────┬──────┘
                            │
     ┌──────────────┐       │       ┌──────────────┐
     │  Bybit Feed  │───────┤       │   Database   │
     │  (209L)      │       ├──────▶│  (278L)      │
     │  WebSocket   │       │       │  SQLite WAL  │
     │  Free, no key│       │       └──────────────┘
     └──────────────┘       │
                            ▼
                   ┌─────────────────┐
                   │ Candle Builder  │ ← Tick → 1m aggregation
                   │ (133L)          │ ← Footprint per level
                   └────────┬────────┘
                            │
              ┌─────────────┼──────────────┐
              ▼             ▼              ▼
     ┌──────────────┐ ┌──────────┐ ┌──────────────┐
     │ Volume Prof. │ │  Delta   │ │  Footprint   │
     │ Engine (258L)│ │Engine    │ │  Engine      │
     │              │ │ (197L)   │ │ (181L)       │
     │ POC/VAH/VAL  │ │ Vert/Hor│ │ Bid/Ask/Lvl  │
     │ LVN/Shape    │ │ Cumul.   │ │ Imbalance    │
     └──────┬───────┘ └────┬─────┘ └──────┬───────┘
            │              │              │
            ▼              ▼              ▼
     ┌─────────────────────────────────────────┐
     │        ORDERBOOK TRACKER (208L)          │
     │  L2 depth · Thin levels · Consumptions  │
     │  Path of least resistance               │
     └──────────────────┬──────────────────────┘
                        │
        ┌───────┬───────┼───────┬───────┬───────┐
        ▼       ▼       ▼       ▼       ▼       │
   ┌────────┐┌────────┐┌──────┐┌────────┐┌────────┐
   │Absorp- ││Initia- ││Sweep ││Exhaus- ││Diverg- │
   │tion    ││tive    ││      ││tion    ││ence    │
   │(257L)  ││(133L)  ││(142L)││(228L)  ││(159L)  │
   └───┬────┘└───┬────┘└──┬───┘└───┬────┘└───┬────┘
       │         │        │        │         │
       └─────────┴────┬───┴────────┴─────────┘
                      ▼
            ┌─────────────────────┐
            │  Profile Framing    │ ← P/b/D shape → Daily Bias
            │  (343L)             │ ← Qualified Levels (VAH/VAL/POC/LVN/Merged)
            └─────────┬───────────┘
                      ▼
            ┌─────────────────────┐
            │  Signal Aggregator  │ ← State machine (6 states)
            │  (516L)             │ ← Composite scoring (0-100)
            │                     │ ← SL/TP calculation
            └──────┬──────────────┘
                   │
       ┌───────────┼───────────────┐
       ▼           ▼               ▼
 ┌──────────┐ ┌──────────┐  ┌───────────────┐
 │ Telegram │ │Dashboard │  │  Database     │
 │ Bot      │ │ FastAPI  │  │  Journal      │
 │ (202L)   │ │ (1015L)  │  │  Logging      │
 └──────────┘ └──────────┘  └───────────────┘

Module Dependency Graph

main.py (666L) ─── System orchestrator
    │
    ├── config/settings.py (946L) ─── 29 instrument configs, 10 config dataclasses
    │
    ├── data/
    │   ├── models.py (290L) ─── 7 dataclasses: Tick, Candle, Signal, TradeState...
    │   ├── candle_builder.py (133L) ─── Tick → 1m aggregation + footprint
    │   ├── mt5_feed.py (495L) ─── MT5 terminal: ticks, book, history
    │   ├── bybit_feed.py (209L) ─── Bybit WebSocket: trades + orderbook
    │   └── database.py (278L) ─── SQLite: 5 tables, WAL mode
    │
    ├── analytics/
    │   ├── volume_profile.py (258L) ─── POC/VAH/VAL/LVN/shape
    │   ├── delta.py (197L) ─── Vertical + horizontal + cumulative de