OrderFlow Analysis Pro

5-Pattern Orderflow Scanner -- Volume Profile Framing -- State Machine Trade Lifecycle -- MT5 + Bybit -- Dash + Telegram

A real-time orderflow trading system based on Fabio Testa's methodology that analyzes market microstructure (tick-level data, footprint charts, volume profiles, L2 orderbook) to detect 5 core patterns -- absorption, initiative, sweep, exhaustion, and divergence -- then routes them through a state machine trade lifecycle with automated Telegram alerts. Supports 30+ instruments via MT5 and Bybit feeds with a live FastAPI dashboard.

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Architecture

Data Sources (MT5 + Bybit)
        |
        v
  Tick Stream --> Candle Builder (1m aggregation)
        |
        v
  Analytics Engines (parallel)
    +-- Volume Profile (POC, VAH, VAL, LVN, shape)
    +-- Delta Engine (vertical, horizontal, cumulative)
    +-- Footprint Engine (bid/ask per level, imbalance)
    +-- Orderbook Tracker (L2 depth, thin levels)
        |
        v
  5 Pattern Detectors
    +-- Absorption (effort >> result)
    +-- Initiative (effort = result)
    +-- Sweep (thin book displacement)
    +-- Exhaustion (declining effort at extreme)
    +-- Divergence (price vs delta disagreement)
        |
        v
  Profile Framing --> Daily Bias (P/b/D shape, qualified levels)
        |
        v
  Signal Aggregator (state machine)
    WATCHING --> ABSORPTION --> POSITION --> BREAK_EVEN --> TRAILING --> CLOSED
        |
        v
  Telegram Alerts + Dashboard (FastAPI + WebSocket) + SQLite Journal

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The 5 Core Patterns

#	Pattern	Logic	Signal
1	Absorption	High aggressive volume at a level with minimal price displacement (effort >> result)	Entry signal at VAH/VAL
2	Initiative	Strong delta + volume acceleration + price displacement aligned (effort = result)	Break-even / trail trigger
3	Sweep	Price moves through thin orderbook levels with low volume	Liquidity grab, reversal
4	Exhaustion	Price making new extremes but volume/delta declining 30%+	Weakening momentum
5	Divergence	Price new high/low but cumulative delta fails to confirm	Trend reversal warning

Each pattern outputs a strength score (0-100) and directional bias.

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Volume Profile Framing (Daily Bias)

Implements Fabio Testa's profile shape analysis:

Shape	POC Position	Bias	Trading Plan
P-shape	POC > 65%	LONG	Buyers in control, buy dips to VAL
b-shape	POC < 35%	SHORT	Sellers in control, sell rallies to VAH
D-shape	POC ~50%	NEUTRAL	Balanced, fade extremes
Double Distribution	Bimodal	TRANSITION	Watch for breakout direction

Qualified Levels (trade from these):

• VAH (Value Area High) -- sell zone
• VAL (Value Area Low) -- buy zone
• POC (Point of Control) -- pivot
• LVN (Low Volume Nodes) -- rebalancing levels
• Merged multi-day levels -- confluence

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State Machine Trade Lifecycle

WATCHING --> price near qualified level
    | (absorption detected)
ABSORPTION_DETECTED --> entry signal sent
    | (trade opened)
POSITION_OPEN --> waiting for initiative
    | (first initiative auction)
BREAK_EVEN --> SL moved to entry
    | (subsequent initiative)
TRAILING --> SL trailed to candle extremes
    | (exit signal or SL hit)
CLOSED --> trade logged to journal

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Supported Instruments (30+)

Category	Instruments
Indices	NAS100, SP500, DJ30, UK100, DAX40, NIKKEI225, CAC40, ASX200, HK50
Metals	XAUUSDT (Gold), XAGUSD (Silver)
Energy	USOIL, UKOIL
Forex Majors	EURUSD, GBPUSD, USDJPY, AUDUSD, USDCAD, USDCHF, NZDUSD
Forex Crosses	EURGBP, EURJPY, GBPJPY
US Stocks	AAPL, TSLA, AMZN, MSFT, NVDA, META, GOOGL
Crypto	BTCUSDT

Each instrument has pre-tuned thresholds for all 5 pattern detectors.

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Dashboard (FastAPI + WebSocket)

REST API:

• GET /api/instruments -- Active instruments + stats
• GET /api/candles/{symbol} -- Recent candles
• GET /api/volume-profile/{symbol} -- VP histogram + shape
• GET /api/bias/{symbol} -- Daily bias + qualified levels
• GET /api/signals/{symbol} -- Signal history
• GET /api/trade/{symbol} -- Active trade state
• GET /api/orderbook/{symbol} -- L2 orderbook depth
• GET /api/delta/{symbol} -- Delta history

WebSocket (/ws):

• Real-time tick stream
• Candle updates with delta
• Volume profile updates
• Signal announcements
• Trade state transitions

Frontend: Interactive charts (lightweight-charts), volume profile visualization, orderbook depth, signal timeline.

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Telegram Alerts

Automated notifications for each trade lifecycle event:

Alert Type	When
ENTRY SIGNAL	Absorption at qualified level, composite score > 40
BREAK EVEN	First initiative auction after entry
TRAIL UPDATE	Subsequent initiatives, SL moved
EXIT SIGNAL	Trade closed (SL or target)
EXIT WARNING	Exhaustion or divergence detected
DAILY BIAS	New VP shape + direction + confidence

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Data Sources

MT5 Feed

• Real-time tick polling from MetaTrader 5
• Historical bar download for backtesting
• Market Book (DOM) data for orderbook analysis
• Symbol mapping (NAS100 -> USTEC, etc.)

Bybit Feed

• Free WebSocket data from Bybit perpetual futures
• Trade stream with aggressor side (buy/sell)
• L2 orderbook (50 levels)
• No API key required

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Installation

Prerequisites

• Python 3.10+
• MetaTrader 5 terminal (for MT5 feed) or Bybit (free, no account needed)

Setup

cd orderflow_system
pip install -e .
# or
pip install websockets aiohttp pandas numpy scipy python-telegram-bot plotly aiosqlite pytz

Configuration

Edit orderflow_system/config/settings.py:

# Data source
DATA_SOURCE = "BYBIT"          # "MT5", "BYBIT", or "BOTH"

# MT5 credentials (if using MT5)
MT5_LOGIN = 12345678
MT5_PASSWORD = "your_password"
MT5_SERVER = "YourBroker-Server"

# Telegram alerts
TELEGRAM_BOT_TOKEN = "your_bot_token"
TELEGRAM_CHAT_ID = "your_chat_id"

# Dashboard
DASHBOARD_ENABLED = True
DASHBOARD_PORT = 8080

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Usage

# Start the system
python -m orderflow_system.main

# The system will:
# 1. Connect to data source(s)
# 2. Build volume profiles
# 3. Start pattern detection
# 4. Send alerts via Telegram
# 5. Serve dashboard at http://localhost:8080

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Results & Output

Signal Example

ENTRY SIGNAL: NAS100 LONG
  Composite Score: 72/100
  Pattern: ABSORPTION at VAL (17,845.50)
  Delta: +1,250 (buyers absorbing)
  Volume: 3.2x average
  Bias: P-shape (LONG), confidence 85%
  Entry: 17,846.00 | SL: 17,830.00 | TP: 17,878.00
  R:R: 1:2.0

Daily Bias

DAILY BIAS: NAS100
  Shape: P-shape (buyers in control)
  Direction: LONG | Confidence: 85%
  POC: 17,852.00 | VAH: 17,890.00 | VAL: 17,820.00
  LVN: [17,835.00, 17,868.00]
  Qualified Levels: VAL (buy), LVN-17835 (buy)

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Project Structure

orderflow_system/
  main.py                          # System orchestrator
  config/
    settings.py                    # 30+ instrument configs, thresholds
  data/
    models.py                      # Tick, Candle, Signal, TradeState
    candle_builder.py              # Tick -> 1m candle aggregation
    bybit_feed.py                  # Bybit WebSocket (free, no key)
    mt5_feed.py                    # MT5 terminal polling
    database.py                    # SQLite persistence (WAL mode)
  analytics/
    volume_profile.py              # POC, VAH, VAL, LVN, shape
    delta.py                       # Vertical, horizontal, cumulative delta
    footprint.py                   # Bid/ask per level, imbalance
    orderbook.py                   # L2 depth, thin levels, sweeps
  patterns/
    absorption.py                  # Effort >> result detection
    initiative.py                  # Effort = result (momentum)
    sweep.py                       # Thin book displacement
    exhaustion.py                  # Declining volume at extremes
    divergence.py                  # Price vs delta disagreement
  signals/
    profile_framing.py             # Daily bias (P/b/D shape)
    aggregator.py                  # State machine + signal weighting
  alerts/
    telegram_bot.py                # Telegram notifications
  dashboard/
    app.py                         # FastAPI REST + WebSocket
    websocket_manager.py           # Real-time broadcast
    static/                        # Frontend (charts, UI)