SF - Stochastic non-linear orderflow
The model visualizes the trendflow of the asset issuer and its large holders
The Stochastic non-linear orderflow indicator is a microstructure trading tool that uses a non-linear stochastic function to evaluate the movement of limit and market orders of an asset issuer, issuer-affiliated market maker and large holders. It is based on the idea that the price of an asset depends on the supply and demand in the market, the placement of limit orders and the movement of market orders within the spread.
The indicator converts volume, price, balance/imbalance data in the depth of the market into an estimate that reflects the supply or demand trend in the market. The score is summarized on a scale of -50 to 50, where values of 50 indicate:
dominance of market buy orders in the total mass of orders;
imbalance on the ask side in the deep market on a perpetual futures contract.
Values around -50 indicates:
dominance of market sell orders in the total mass of orders;
imbalance on the part of big in the depth of the market on the open-ended futures contract.
White dots - market order distribution, green gradient - balance/disbalance on the bid side of orders, red gradient - balance/disbalance on the ask side of orders,
In the normal state of the asset, market orders are distributed chaotically and evenly relative to zero (or within a certain range), and there are no significant imbalances in the histogram of limit volumes (or they appear quite rarely).
In the presence of certain abnormal activities the scale of market orders acquires a stable tendency and rushes to one of the scale borders: to -50 in case of increased activity on the part of market sellers and to 50 in case of increased activity on the part of market buyers. At the same time, the shackles representing imbalances in the depth of the market deviate from their default values
The indicator has the following parameters for customization:
Oscillator calculation period. The default is 30.
Depth of spread estimation. The default is 5.
The user has the ability to customize the graphical display of the indicator. Available for customization:
color, transparency and display type of the market order flow function;
color, transparency and type of display of the upper boundary of the ask side upper boundary of the ask depth channel function;
color, transparency and display type of the function of the lower boundary of the bid depth channel from the bid side;
color, transparency and display type of the zero line;
color and transparency of the background of the ask side of the application depth;
color and transparency of the bid depth background on the bid side.
Last updated
