Orderflow

Orderflow is a serious Python toolkit for market microstructure research, tick-data reshaping, backtesting, and PostgreSQL storage.

Package Layout

• orderflow.core for shared config, exceptions, and paths
• orderflow.data for ingestion and bar compression
• orderflow.market for auctions, DOM, profiles, and market utilities
• orderflow.analysis for statistics, regimes, and simulation
• orderflow.backtester for the backtest engine (BacktestEngine), exits and execution models (orderflow.backtesting is a legacy re-export)
• orderflow.storage for database loaders and CLI entry points
• orderflow.visualization for plotting helpers

Install

From the parent repo: pip install --no-deps -e vendor/Orderflow (editable — a plain install copies the package into site-packages and your edits here stop reaching the runners). Tests: pytest tests/.

Behaviour contracts

• BacktestEngine.run pairs signal sides with entry ticks by position and raises ValueError on duplicate signal Index, a signal Index missing from data, signals out of tick order, or duplicate data Index — each used to shift every later trade onto the wrong side without an error.
• The per-tick session functions of volume_profile / vwap, the bar-id assigners of compressor and find_stacked_imbalances run Numba kernels and keep their original Python loop beside them (_<name>_py, _compute_*_bar_ids_py, _detect) as the reference. Kernel and loop must stay bit-identical: tests/test_session_kernels.py, tests/test_bar_id_kernels.py and tests/test_footprint_kernel.py compare them on random tapes, so a behaviour change goes into both. A kernel only takes the input it is known to reproduce (the session functions: a pandas frame with a float64 Price, an int64 or float64 Volume and string SessionType labels); any other input runs the loop and returns, raises, prints and warns as it always did, in minutes instead of seconds on a full file. A kernel runs on a thread of its own, compiled nogil (orderflow.core._kernel_calls.run_kernel), while the caller's thread moves the loop's tqdm bar and stays free for signals: Ctrl-C raises KeyboardInterrupt within milliseconds and the kernel stops.
• get_daily_session_moving_POC: Prev_POC is the POC of the session that just ended, whatever the gap (Sunday's session carries Friday's); 0 only on the first session of the frame.
• get_volume_profile_areas (VA_Areas): the first tick of the frame, and the first tick after each RTH→ETH reset, seed the POC; value-area expansion steps over zero-volume price levels. Labels are PO / VA / na (PO is POC truncated by the 2-character label array).