How to compute the order flow in Python• 0 min
Order flow refers to the flow of orders in and out of a market, and is often used to analyze market liquidity and trading behavior. In Python, you can get the order flow by calculating the difference between the volume of buy orders and the volume of sell orders.
Here's a sample code for calculating the order flow in Python:
def order_flow(buy_volume, sell_volume): return buy_volume - sell_volume
buy_volume with the volume of buy orders and
sell_volume with the volume of sell orders. The function returns the difference between the two volumes, which represents the order flow.
Note that the actual calculation of the volume of buy and sell orders can be more complex, and may depend on the data source and market data format.