Price discovery | Bitcointalksearch.org

lebing

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Enabling the maximal migration

Quote from: notme on June 25, 2013, 11:17:24 PM

Quote from: lebing on June 23, 2013, 03:58:12 PM

Looks like bitpay is already using their own metric similar to this - I wonder why they dont make it public (or if they do I havent heard of it)?
http://rt.com/op-edge/bitcoin-currency-max-keiser-138/

google "bitcoin rates"

first link: https://bitpay.com/bitcoin-exchange-rates

Looks like that has been updated actually just a few days ago: http://blog.bitpay.com/2013/06/important-update-on-bitpay-exchange.html?oid=1039_1

Though I have no idea what that actually means, im just happy people are moving away from mtgox. That's what this thread was about and if its already happening, then great.

notme

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Quote from: lebing on June 23, 2013, 03:58:12 PM

Looks like bitpay is already using their own metric similar to this - I wonder why they dont make it public (or if they do I havent heard of it)?
http://rt.com/op-edge/bitcoin-currency-max-keiser-138/

google "bitcoin rates"

first link: https://bitpay.com/bitcoin-exchange-rates

lebing

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Activity: 1288

Merit: 1000

Enabling the maximal migration

Looks like bitpay is already using their own metric similar to this - I wonder why they dont make it public (or if they do I havent heard of it)?
http://rt.com/op-edge/bitcoin-currency-max-keiser-138/

Bitcoin Roll

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Sounds like a good idea here is where you can begin http://www.prweb.com/releases/2013/6/prweb10788675.htm

legitnick

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Quote from: lebing on June 11, 2013, 05:12:07 AM

I for one am sick and tired of using mtgox's price as the default price for everything. This is a vulnerability and a weakness that can and should be fixed for a decentralized system. In order to take bitcoin's price discovery to the next level I propose that we use an algorithm which is based on the price of multiple exchanges which weights the price according to volume. I built a very simple formula which weights the real-time price based on the 30 day volume. You can see it for yourself here (its an open office .ods file):

http://www.filedropper.com/pricediscovery1

This example could easily be extrapolated all USD exchanges and eventually to aggregate the total numbers by incorporating numerous currencies.

Questions for the community:

1. Is 30 days the best volume time set to use?
2. Is there another data piece which should be included?
3. What else am I missing?

If enough people here agree with me that this is something useful and should be implemented, I will put up a bounty for a site to incorporate the data in realtime (and eventually offer API support).

Thanks for your consideration

edited for clarification

I totally agree, Bitcoiners need to learn MTGOX is just another exchange, not the default bitcoin price. They can change the price for their gains just like any other exchange.

lebing

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Enabling the maximal migration

Quote from: notme on June 20, 2013, 02:47:34 AM

Quote from: lebing on June 19, 2013, 01:32:04 AM

Bump as a request to the coders in the house. Can anyone confirm or deny that bitcoincharts has this functionality already in their api?

If you just want last price for various exchanges, yes. I'm not sure what "this functionality" is?

I was referring to what hobbes posted - you can see it at the top of this page quoted

notme

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Quote from: lebing on June 19, 2013, 01:32:04 AM

Bump as a request to the coders in the house. Can anyone confirm or deny that bitcoincharts has this functionality already in their api?

If you just want last price for various exchanges, yes. I'm not sure what "this functionality" is?

lebing

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Enabling the maximal migration

Bump as a request to the coders in the house. Can anyone confirm or deny that bitcoincharts has this functionality already in their api?

lebing

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Enabling the maximal migration

Quote from: nwbitcoin on June 13, 2013, 10:35:42 AM

Before we set up a website to do this, let's be a little clever, and only have a centralised algorithm based on this thread.

So, if everyone uses the same formula, and sticks it on their websites, sampling at an hour interval but not on the hour, we will have a bitcoin price that can't be manipulated due to centralisation!

If you want, I can write a quick script that can be cut and pasted but will follow this guideline that its your server fetching the samples, as this is the principle that prevents centralisation problems. For instance, and timeouts while sampling, automatically removes that exchange from the end price.

We just need a fancy name for the formula, like "real bitcoin" price, so people know what they are talking about this price.

Feedback?

I like that idea. But before you spend too much time working on it - lets see what we can get out of bitcoincharts first

lebing

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Enabling the maximal migration

Quote from: hobbes on June 14, 2013, 03:02:34 AM

Bitcoincharts has this already:

Quote

Weighted Prices

Bitcoincharts offers weighted prices for several currencies at http://api.bitcoincharts.com/v1/weighted_prices.json. You can use this to price goods and services in Bitcoins. This will yield much lower fluctuations than using a single market's latest price.

Weighted prices are calculated for the last 24 hours, 7 days and 30 days.

Code:

USD: {u'7d': u'103.74', u'30d': u'116.14', u'24h': u'103.02'}

EUR: {u'7d': u'79.91', u'30d': u'89.89', u'24h': u'78.27'}

With Bitcoin fluctuating wildly it might be interesting to have one for the last hour, too.

Im not a coder - so I cant see what this actually is - but is it weighted by volume? If so, that's great. They should make a feature on the site as well.

hobbes

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Bitcoincharts has this already:

Quote

Weighted Prices

Bitcoincharts offers weighted prices for several currencies at http://api.bitcoincharts.com/v1/weighted_prices.json. You can use this to price goods and services in Bitcoins. This will yield much lower fluctuations than using a single market's latest price.

Weighted prices are calculated for the last 24 hours, 7 days and 30 days.

Code:

USD: {u'7d': u'103.74', u'30d': u'116.14', u'24h': u'103.02'}

EUR: {u'7d': u'79.91', u'30d': u'89.89', u'24h': u'78.27'}

With Bitcoin fluctuating wildly it might be interesting to have one for the last hour, too.

nwbitcoin

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You are a geek if you are too early to the party!

Before we set up a website to do this, let's be a little clever, and only have a centralised algorithm based on this thread.

So, if everyone uses the same formula, and sticks it on their websites, sampling at an hour interval but not on the hour, we will have a bitcoin price that can't be manipulated due to centralisation!

If you want, I can write a quick script that can be cut and pasted but will follow this guideline that its your server fetching the samples, as this is the principle that prevents centralisation problems. For instance, and timeouts while sampling, automatically removes that exchange from the end price.

We just need a fancy name for the formula, like "real bitcoin" price, so people know what they are talking about this price.

Feedback?

alan2here

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WorkAsPro

Quote

exchanges 1 2 3
volume 100 200 50
price 10 12 8

...
Average bitcoin price by volume 10.87

Quote

Bitcoin Charts

Hoorah, lets do it :-)

nwbitcoin

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You are a geek if you are too early to the party!

Quote from: lebing on June 13, 2013, 12:37:05 AM

Quote from: nwbitcoin on June 12, 2013, 09:44:57 AM

Average bitcoin price 10
average bitcoin price by volume 10.87

Interesting - why do you feel using an average is more effective than using the totals?
I also multiplied the price by the volume in each case, then summed them, then summed the volume and divided the (multiplied) number total by the volume total.

My reasoning are to do with making live easy for the end user!

If you are using a total, the end user needs to manually work out how that total figure relates to the bitcoin price - a simple enough sum but people are lazy! Wink

lebing

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Enabling the maximal migration

Quote from: nwbitcoin on June 12, 2013, 09:44:57 AM

Some good feedback which needs to be addressed.

If you want the volume as well as the price, then the formula needs to be altered although the sampling per hour doesn't need to change.

Just multiply the volume of the exchange by the price. Find the average of all the exchanges.
Now just add the volume of all the exchanges and divide it by the average of all the exchanges

for instance:

exchanges 1 2 3
volume 100 200 50
price 10 12 8

Average bitcoin price 10
average bitcoin price by volume 10.87

This should work even better to break exchanges that try to be too cheap or too expensive compared to the world price. This gives you a MTGox style price, but without the centralised exchange! Wink

Interesting - why do you feel using an average is more effective than using the totals?
I also multiplied the price by the volume in each case, then summed them, then summed the volume and divided the (multiplied) number total by the volume total.

lebing

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Merit: 1000

Enabling the maximal migration

Quote from: Viscera on June 12, 2013, 08:37:16 PM

Quote from: lebing on June 11, 2013, 05:49:13 AM

Quote from: monsterer on June 11, 2013, 05:42:14 AM

Quote from: lebing on June 11, 2013, 05:32:26 AM

Monsterer - can you clarify why this wouldn't represent the actual tradeable value of the currency? The idea was not to make it artificially smooth, its just a byproduct when you are incorporating more data.

A 30 day weighted average will be extraordinarily laggy. You can't really escape it completely by reducing the time-frame, lag will always be present. So its highly likely that (since bitcoin is so volatile) the weighted average indicates one price, whereas the actual trade-able value on the exchanges is nowhere near since (for example) someone just dumped 20k BTC an hour ago.

I suggest reviewing historical data and computing the average based on that, then compare that average to the actual traded price at the time to give you an idea just how bad/good this idea is.

Cheers, Paul.

Ah sorry if my original post wasn't clear, but I'm not using a 30 day weighted average price. I'm using the realtime price. The aggregate price is then weighted based on the volume that the exchange does over a 30 day time period. This ensures that the price is both real time and weights the most influential exchanges' price accordingly.

This sounds brilliant. This would mean that Mount Gox would still be the most influential at the start as it has the most volume, but would give us a price that is not solely dependant on one exchange and who's influence can become independent of any particular exchange. I look forward to seeing it made

Thanks - and yes this is exactly the idea. It helps transition away from mtgox as smoothly as possible and also paves a way for newer, more effective exchanges to come online seamlessly.

Viscera

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Quote from: lebing on June 11, 2013, 05:49:13 AM

Quote from: monsterer on June 11, 2013, 05:42:14 AM

Quote from: lebing on June 11, 2013, 05:32:26 AM

Monsterer - can you clarify why this wouldn't represent the actual tradeable value of the currency? The idea was not to make it artificially smooth, its just a byproduct when you are incorporating more data.

A 30 day weighted average will be extraordinarily laggy. You can't really escape it completely by reducing the time-frame, lag will always be present. So its highly likely that (since bitcoin is so volatile) the weighted average indicates one price, whereas the actual trade-able value on the exchanges is nowhere near since (for example) someone just dumped 20k BTC an hour ago.

I suggest reviewing historical data and computing the average based on that, then compare that average to the actual traded price at the time to give you an idea just how bad/good this idea is.

Cheers, Paul.

Ah sorry if my original post wasn't clear, but I'm not using a 30 day weighted average price. I'm using the realtime price. The aggregate price is then weighted based on the volume that the exchange does over a 30 day time period. This ensures that the price is both real time and weights the most influential exchanges' price accordingly.

This sounds brilliant. This would mean that Mount Gox would still be the most influential at the start as it has the most volume, but would give us a price that is not solely dependant on one exchange and who's influence can become independent of any particular exchange. I look forward to seeing it made

maco

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+1 for a great come back.

Quote from: Kazimir on June 11, 2013, 05:22:58 AM

+1 for MtGox not being the default for everything. People should be aware there are plenty of alternatives. More competition and diversity = more decentralization, which just makes sense with the Bitcoin philosophy in mind.

RodeoX

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The revolution will be monetized!

@nwbitcoin
I like your math there, and I think the formula makes sense. But I wonder if the resulting price is within pennies of the Mt.Gox price? In any case, It is good to prepare for a post-Gox economy.

nwbitcoin

sr. member

Activity: 294

Merit: 250

You are a geek if you are too early to the party!

Some good feedback which needs to be addressed.

If you want the volume as well as the price, then the formula needs to be altered although the sampling per hour doesn't need to change.

Just multiply the volume of the exchange by the price. Find the average of all the exchanges.
Now just add the volume of all the exchanges and divide it by the average of all the exchanges

for instance:

exchanges 1 2 3
volume 100 200 50
price 10 12 8

Average bitcoin price 10
average bitcoin price by volume 10.87

This should work even better to break exchanges that try to be too cheap or too expensive compared to the world price. This gives you a MTGox style price, but without the centralised exchange! Wink

Topic: Price discovery (Read 3681 times)