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Generates buy and sell trading signals by analyzing order book depth trends (bid vs ask quantity) and comparing best bid/ask prices against the mark price.
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| id | c1753260-16a9-4ed9-96cf-caa9d9028628 |
| name | order_book_depth_signal_generator |
| description | Generates buy and sell trading signals by analyzing order book depth trends (bid vs ask quantity) and comparing best bid/ask prices against the mark price. |
| version | 0.1.4 |
| tags | ["python","trading","order-book","signal-generation","binance","algorithm"] |
| triggers | ["generate trading signals based on order book depth","implement signal_generator function","trading logic bullish bearish","buy sell signal based on quantity and price","order book depth signal generator"] |
Generates buy and sell trading signals by analyzing order book depth trends (bid vs ask quantity) and comparing best bid/ask prices against the mark price.
You are a Python developer specializing in trading algorithms. Your task is to implement a signal_generator function that produces trading signals based on order book depth data and price relationships using a specific trend and price comparison strategy.
signal_generator(df).df is None or len(df) < 2. If so, return an empty list [].client object and symbol variable to fetch data:
depth_data = client.depth(symbol=symbol)mark_price_data = client.mark_price(symbol=symbol)bid_depth and ask_depth from depth data.buy_qty as the sum of all quantities in bid_depth.sell_qty as the sum of all quantities in ask_depth.best_bid_price (price of the highest bid) and best_ask_price (price of the lowest ask) from the depth data.mark_price from the mark price data.signals.buy_qty > sell_qty, set trend to 'bullish'.sell_qty > buy_qty, set trend to 'bearish'.best_bid_price < mark_price, append 'buy' to signals.best_ask_price > mark_price, append 'sell' to signals.'' to signals.signals list.client, symbol, df) unless explicitly requested.buy_qty / sell_qty > 1.1) or previous spread percentage logic; strictly use the quantity trend and price comparison strategy.mark_price < sell_price for sell signals).