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Topic: 100 Days of MtGOX Trading Data (Read 1093 times)
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Based on this data... here's average volume by hour EST.
It does peak at the expected times...
But this looks like an exchange with bottlenecks that smooth out volume.
A similar study of GLOBEX Forex which has 1000 times the volume...
Shows a dramatically higher variation.
I'm actually more interested in down time...
And how reliable a given "closing price" on Gox is.
00:00 3061
01:00 3397
02:00 3519
03:00 3720
04:00 2779
05:00 2732
06:00 3793
07:00 3298
08:00 3748
09:00 4479
10:00 4324
11:00 4562
12:00 3317
13:00 4223
14:00 4996
15:00 4741
16:00 4078
17:00 3933
18:00 4013
19:00 4158
20:00 4886
21:00 3347
22:00 2920
23:00 2936
It's roughly the period below.
And, for me, it's useful for developing a reasonable Historical Volatility for BTC...
And also seeing how volatility/volume varies over the 24 hour day.
I have been playing around with the MtGOX API a lot recently. One thing I wanted to accomplish was to get accurate historical data easily. I have no idea if people here are interested in this, but I figured I would share my results. So here it is, 1,413,763 trades over a 100 day period beginning at 01/17/13 @ 6:00:00pm EST and ending at 04/27/13 @ 7:34:16pm EST. This is a CSV file with only the basic data. There are three columns: timestamp, price, volume. I could easily generate a longer history file and include a more complete picture of each trade. If there is substantial interest in something like that I'll take the time to create it. I don't even know if something like this will be useful to people. Enjoy.
https://docs.google.com/file/d/0BzQUQy0ERT4-bW1TSjl4b2hvLVE/edit?usp=sharing
https://docs.google.com/file/d/0BzQUQy0ERT4-bW1TSjl4b2hvLVE/edit?usp=sharing
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