Initial commit: orderflow analysis system with 5 pattern detectors
Real-time orderflow trading system with absorption, initiative, sweep, exhaustion, and divergence detection. Features volume profile framing, state machine trade lifecycle, MT5 + Bybit feeds, FastAPI dashboard, and Telegram alerts for 30+ instruments. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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BlackboxAI
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"""
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Exhaustion Detector
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Detects declining volume/delta while price continues making new extremes.
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From Fabio:
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"Decreasing volume — the aggression of market participants from the volume standpoint
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is getting lower and lower. And we have a contrarian imbalance at the top from the sellers.
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Price going up up up not being followed by the volume — this divergence."
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"The market is pushing really strong, printing another green candle, but the volume
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is getting lower and lower. This is a dry up in volume. Usually what you see is
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a sudden reversal in price."
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Logic:
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Price making new extremes + DECLINING effort (volume & delta) = EXHAUSTION
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→ EXIT signal or REVERSAL setup
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"""
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from __future__ import annotations
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from typing import Optional
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from orderflow_system.data.models import Candle, Signal, SignalType, Side
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from orderflow_system.analytics.delta import DeltaEngine, DeltaResult
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from orderflow_system.analytics.footprint import FootprintBar
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from orderflow_system.config.settings import ExhaustionConfig
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class ExhaustionDetector:
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"""
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Detects exhaustion patterns — the current move is running out of steam.
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Checked on each new candle by analyzing recent history:
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1. Price trend: making new highs/lows over N bars
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2. Volume trend: declining volume over same bars
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3. Delta trend: declining delta (less conviction)
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4. Optional: contrarian imbalance at extreme
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"""
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def __init__(self, config: ExhaustionConfig):
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self.config = config
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self._signal_history: list[Signal] = []
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def check_candle(
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self,
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candle: Candle,
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delta: DeltaResult,
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delta_engine: DeltaEngine,
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footprint: FootprintBar,
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recent_candles: list[Candle],
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) -> Optional[Signal]:
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"""Check for exhaustion after a completed candle."""
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n = self.config.min_bars_declining
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if len(recent_candles) < n + 1:
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return None
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lookback = recent_candles[-(n + 1):]
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# ── Check for BULLISH exhaustion (price up, volume/delta declining) ──
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bull_exhaustion = self._check_bullish_exhaustion(
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lookback, candle, delta, delta_engine, footprint
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)
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if bull_exhaustion:
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return bull_exhaustion
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# ── Check for BEARISH exhaustion (price down, volume/delta declining) ──
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return self._check_bearish_exhaustion(
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lookback, candle, delta, delta_engine, footprint
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)
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def _check_bullish_exhaustion(
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self,
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candles: list[Candle],
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current: Candle,
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delta: DeltaResult,
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delta_engine: DeltaEngine,
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footprint: FootprintBar,
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) -> Optional[Signal]:
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"""
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Price making new highs but volume and delta are declining.
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→ Buyers exhausted → potential reversal downward.
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"""
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n = self.config.min_bars_declining
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# Price must be making higher highs
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highs = [c.high for c in candles]
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price_trending_up = all(
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highs[i] >= highs[i - 1] for i in range(1, len(highs))
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)
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if not price_trending_up:
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# Relaxed check: at least recent high is higher than N bars ago
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if highs[-1] <= highs[0]:
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return None
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# Volume must be declining
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volumes = [c.volume for c in candles]
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vol_declining = self._is_declining(volumes, self.config.volume_decline_pct)
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if not vol_declining:
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return None
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# Delta trend should also be declining (less buying conviction)
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vol_trend = delta_engine.get_volume_trend(lookback=n)
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delta_roc = delta_engine.get_delta_roc(lookback=n)
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if vol_trend >= 0 and delta_roc >= 0:
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return None # Both must show some weakness
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# Optional: contrarian imbalance at extreme (sellers at the top)
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contrarian_bonus = 0
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if self.config.requires_contrarian_imbalance and footprint.levels:
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imbalances = footprint.imbalance_levels(threshold=2.5)
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sell_imbalances_at_high = sum(
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1 for price, d in imbalances
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if d == "sell" and price >= current.high - current.range_size * 0.3
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)
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if sell_imbalances_at_high > 0:
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contrarian_bonus = 20
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elif self.config.requires_contrarian_imbalance:
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return None # Required but not found
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strength = min(100.0, (
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40 # Base: volume declining while price up
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+ abs(vol_trend) * 5 # Volume slope strength
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+ abs(delta_roc) * 5 # Delta weakening strength
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+ contrarian_bonus # Contrarian imbalance bonus
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))
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signal = Signal(
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timestamp_ms=current.timestamp_ms,
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signal_type=SignalType.EXHAUSTION,
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direction=Side.SELL, # Exhausted buyers → bearish reversal
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price_level=current.high,
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strength=strength,
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details={
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"type": "bullish_exhaustion",
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"declining_bars": n,
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"volume_slope": round(vol_trend, 2),
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"delta_roc": round(delta_roc, 2),
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"has_contrarian_imbalance": contrarian_bonus > 0,
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"high_at_exhaustion": current.high,
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},
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)
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self._signal_history.append(signal)
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return signal
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def _check_bearish_exhaustion(
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self,
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candles: list[Candle],
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current: Candle,
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delta: DeltaResult,
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delta_engine: DeltaEngine,
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footprint: FootprintBar,
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) -> Optional[Signal]:
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"""
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Price making new lows but volume and delta declining.
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→ Sellers exhausted → potential reversal upward.
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"""
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n = self.config.min_bars_declining
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lows = [c.low for c in candles]
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price_trending_down = all(
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lows[i] <= lows[i - 1] for i in range(1, len(lows))
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)
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if not price_trending_down:
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if lows[-1] >= lows[0]:
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return None
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volumes = [c.volume for c in candles]
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vol_declining = self._is_declining(volumes, self.config.volume_decline_pct)
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if not vol_declining:
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return None
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vol_trend = delta_engine.get_volume_trend(lookback=n)
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delta_roc = delta_engine.get_delta_roc(lookback=n)
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if vol_trend >= 0 and delta_roc <= 0:
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return None
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contrarian_bonus = 0
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if self.config.requires_contrarian_imbalance and footprint.levels:
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imbalances = footprint.imbalance_levels(threshold=2.5)
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buy_imbalances_at_low = sum(
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1 for price, d in imbalances
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if d == "buy" and price <= current.low + current.range_size * 0.3
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)
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if buy_imbalances_at_low > 0:
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contrarian_bonus = 20
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elif self.config.requires_contrarian_imbalance:
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return None
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strength = min(100.0, (
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40 + abs(vol_trend) * 5 + abs(delta_roc) * 5 + contrarian_bonus
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))
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signal = Signal(
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timestamp_ms=current.timestamp_ms,
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signal_type=SignalType.EXHAUSTION,
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direction=Side.BUY, # Exhausted sellers → bullish reversal
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price_level=current.low,
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strength=strength,
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details={
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"type": "bearish_exhaustion",
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"declining_bars": n,
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"volume_slope": round(vol_trend, 2),
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"delta_roc": round(delta_roc, 2),
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"has_contrarian_imbalance": contrarian_bonus > 0,
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"low_at_exhaustion": current.low,
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},
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)
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self._signal_history.append(signal)
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return signal
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@staticmethod
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def _is_declining(values: list[float], min_decline_pct: float) -> bool:
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"""Check if a series shows consistent decline."""
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if len(values) < 2:
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return False
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if values[0] == 0:
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return False
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# Overall decline from first to last
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overall_decline = (values[0] - values[-1]) / values[0]
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if overall_decline < min_decline_pct:
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return False
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# Check mostly declining (allow 1 up-tick)
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declining_count = sum(
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1 for i in range(1, len(values)) if values[i] < values[i - 1]
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)
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return declining_count >= len(values) // 2
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