# Orderflow

**Repository Path**: windanchaos/Orderflow

## Basic Information

- **Project Name**: Orderflow
- **Description**: No description available
- **Primary Language**: Python
- **License**: MIT
- **Default Branch**: main
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 1
- **Forks**: 1
- **Created**: 2025-04-08
- **Last Updated**: 2026-01-15

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

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This is a short Python module to analyze tick-by-tick data.
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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](https://numpy.org/), [Pandas](https://pandas.pydata.org/) and [Polars](https://pola.rs/) 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.