Price discovery - page 2. | Bitcointalksearch.org

niko

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There is more to Bitcoin than bitcoins.

Quote from: Zangelbert Bingledack on June 12, 2013, 06:21:29 AM

Quote from: franky1 on June 11, 2013, 11:53:36 AM

the only problem with sampling 10 exchanges is that each exchange seems to follow (like sheep) mtgox.

That's the very problem OP's proposal is meant to solve. Besides arbitrage and MtGox's still-dominant market share, another significant part of the reason the other exchanges follow MtGox in a sheeplike fashion is that MtGoxUSD is the price everyone watches, and that's partly because there is no convenient way to see a nice weighted average price for all the exchanges.

This is something bitcoincharts should implement.

Zangelbert Bingledack

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Quote from: franky1 on June 11, 2013, 11:53:36 AM

the only problem with sampling 10 exchanges is that each exchange seems to follow (like sheep) mtgox.

That's the very problem OP's proposal is meant to solve. Besides arbitrage and MtGox's still-dominant market share, another significant part of the reason the other exchanges follow MtGox in a sheeplike fashion is that MtGoxUSD is the price everyone watches, and that's partly because there is no convenient way to see a nice weighted average price for all the exchanges.

Epicurus

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Quote from: franky1 on June 11, 2013, 12:42:13 PM

more revolutionary idea:

take the 3600 coins made per day.. take the total miners by day. to give you a average income per person per day.

treat this as minimum wage a days labour.

EG (simplified) lets say there is 7200 miners = 0.5BTC per day per miner.

national minimum wage for US=$7.25 x 10 hours 72.50
national minimum wage for UK=£6.31 x 10 hours 63.10

so making an acceptable living lifestyle on bitcoin of 1BTC = $145 / £126.20 each

Isn't bitcoin meant to be a global currency? Why try to peg it to the minimum wages of only the very richest of countries?

DoomDumas

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Bitcoin

Quote from: franky1 on June 11, 2013, 11:53:36 AM

Quote from: nwbitcoin on June 11, 2013, 06:12:14 AM

If the idea is to have a price that is quoted, as the price of bitcoin, then the best option is to just do an average of averages.

For instance, if you have 10 different exchanges, you sample the price at each exchange on the hour, and average the price, having sliced the top and bottom prices from the sum.

This formula would be accurate enough to give info, but not too accurate to cause caching or logging issues. Anything more would be taken directly from the exchange being used to trade from.

If someone wanted to create a 30 day average price, they could from the figure created every hour, but for the rawest useful global number, I think this might work!

the only problem with sampling 10 exchanges is that each exchange seems to follow (like sheep) mtgox.

EG bitstamp is usually $1 more BTC-e is usually a little less.. but whenever mtgox skyrockets or plummits.. the others follow suit for no direct reasons but to stay in toe of mtgox value, thus bringing you back to a average of 10 exchanges still being the same as mtgox

Om the spike to 250$, CaVirtex was leading the way for a month,...

DoomDumas

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

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.

Ok, more interesting this way !

DoomDumas

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30 days is way too long concidering this thin volatile market/asset..

from 1h to 24h, for the 10 biggest exchange, with top and bottom price trimmed before doing the average.. this would sounds faire for me.. When the volume will increase a lot, 100 times or so, then the volatility should became much less, and a longer period of time could be used.

niko

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There is more to Bitcoin than bitcoins.

This is reasonable. I would simply use the same period to average the price and volume for each exchange, then calculate the volume-weighted price from that. No need to smooth-out volume over a month. Weigh the price based on where the action is, that is all. Most of us agree that not all action is at Gox.

RodeoX

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The revolution will be monetized!

Quote from: franky1 on June 11, 2013, 12:54:42 PM

Quote from: RodeoX on June 11, 2013, 12:46:06 PM

Quote from: franky1 on June 11, 2013, 12:42:13 PM

more revolutionary idea:

take the 3600 coins made per day.. take the total miners by day. to give you a average income per person per day.

treat this as minimum wage a days labour.

EG (simplified) lets say there is 7200 miners = 0.5BTC per day per miner.

national minimum wage for US=$7.25 x 10 hours 72.50
national minimum wage for UK=£6.31 x 10 hours 63.10

so making an acceptable living lifestyle on bitcoin of 1BTC = $145 / £126.20 each

I like your idea here. But alas, would you like to buy a BTC from me for $145? Oh.

yes i would. because stage 2 of the idea is pricing food and goods in bitcoin the same way governments price food/groceries based on the "living costs vs minimum wage" calculations.

then we will base bitcoin based on costs of living such as how many loaves of bread can be bought with a standard wage atleast then we are less reliant on a fiat valuation, but more so on a barter/ good value pricing

this is how i think satoshi and all them freedom fighters envisioned the future of bitcoin. before mtgox pegged it directly to a dollar valuation.

and the reason i say yes i would is because i value bitcoin as it should be.. your still thinking like a sheep. looking at the mtgox price and saying $110 vs $145... profit!!!

which goes against the point of this thread..

Then do you want to buy a couple hundred bitcoins? I can send them tonight. I will, of course, use the money to buy even more bitcoins at gox.
The market controls the price of bitcoin, not Mt.Gox. I for one am happy that no one can change that.

lebing

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Enabling the maximal migration

Quote from: RodeoX on June 11, 2013, 12:23:36 PM

But here is the problem. Let's say we agree that a 7 day weighted avg. of top exchanges is a better valuation. And let's say that price is $105USD. But when we check gox that day the current price is $120USD.

So, who wants to sell me your BTC for $105USD? Unless people are willing to act irrationally and take an effective loss they will prefer the best guess as to the current price, which is the current Mt.Gox price. Their sheer domination of sales makes it so, even if we don't like it.

Its real time pricing which is weighted based on the volume of the exchange.

franky1

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Quote from: RodeoX on June 11, 2013, 12:46:06 PM

Quote from: franky1 on June 11, 2013, 12:42:13 PM

more revolutionary idea:

take the 3600 coins made per day.. take the total miners by day. to give you a average income per person per day.

treat this as minimum wage a days labour.

EG (simplified) lets say there is 7200 miners = 0.5BTC per day per miner.

national minimum wage for US=$7.25 x 10 hours 72.50
national minimum wage for UK=£6.31 x 10 hours 63.10

so making an acceptable living lifestyle on bitcoin of 1BTC = $145 / £126.20 each

I like your idea here. But alas, would you like to buy a BTC from me for $145? Oh.

yes i would. because stage 2 of the idea is pricing food and goods in bitcoin the same way governments price food/groceries based on the "living costs vs minimum wage" calculations.

then we will base bitcoin based on costs of living such as how many loaves of bread can be bought with a standard wage atleast then we are less reliant on a fiat valuation, but more so on a barter/ good value pricing

this is how i think satoshi and all them freedom fighters envisioned the future of bitcoin. before mtgox pegged it directly to a dollar valuation.

and the reason i say yes i would is because i value bitcoin as it should be.. your still thinking like a sheep. looking at the mtgox price and saying $110 vs $145... profit!!!

which goes against the point of this thread..

RodeoX

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Activity: 3066

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The revolution will be monetized!

Quote from: franky1 on June 11, 2013, 12:42:13 PM

more revolutionary idea:

take the 3600 coins made per day.. take the total miners by day. to give you a average income per person per day.

treat this as minimum wage a days labour.

EG (simplified) lets say there is 7200 miners = 0.5BTC per day per miner.

national minimum wage for US=$7.25 x 10 hours 72.50
national minimum wage for UK=£6.31 x 10 hours 63.10

so making an acceptable living lifestyle on bitcoin of 1BTC = $145 / £126.20 each

I like your idea here. But alas, would you like to buy a BTC from me for $145? Oh.

franky1

legendary

Activity: 4424

Merit: 4794

more revolutionary idea:

take the 3600 coins made per day.. take the total miners by day. to give you a average income per person per day.

treat this as minimum wage a days labour.

EG (simplified) lets say there is 7200 miners = 0.5BTC per day per miner.

national minimum wage for US=$7.25 x 10 hours 72.50
national minimum wage for UK=£6.31 x 10 hours 63.10

so making an acceptable living lifestyle on bitcoin of 1BTC = $145 / £126.20 each

RodeoX

legendary

Activity: 3066

Merit: 1147

The revolution will be monetized!

But here is the problem. Let's say we agree that a 7 day weighted avg. of top exchanges is a better valuation. And let's say that price is $105USD. But when we check gox that day the current price is $120USD.

So, who wants to sell me your BTC for $105USD? Unless people are willing to act irrationally and take an effective loss they will prefer the best guess as to the current price, which is the current Mt.Gox price. Their sheer domination of sales makes it so, even if we don't like it.

lebing

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Enabling the maximal migration

Quote from: DeathAndTaxes on June 11, 2013, 11:56:50 AM

I am working on an API which will provide a global volume weighted exchange rate and glad to see others doing the same. However a 30 day period is just far far too long to be of use to anyone at anytime. Internally we use 24 hour, 1 hour, and 5 minute VWAP depending on the purpose.

Mixing in non USD is likely not going to be useful for most people. If you want to I would recommend making that an option (i.e. "pure USD" or "USD including converted non-US trades")

Nice - good to see its already being done - will yours be public or private only?

VWAP = volume weighted average price?

DeathAndTaxes

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Gerald Davis

I am working on an API which will provide a global volume weighted exchange rate and glad to see others doing the same. However a 30 day period is just far far too long to be of use to anyone at anytime. Internally we use 24 hour, 1 hour, and 5 minute VWAP depending on the purpose.

Mixing in non USD is likely not going to be useful for most people. If you want to I would recommend making that an option (i.e. "pure USD" or "USD including converted non-US trades")

franky1

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Quote from: nwbitcoin on June 11, 2013, 06:12:14 AM

If the idea is to have a price that is quoted, as the price of bitcoin, then the best option is to just do an average of averages.

For instance, if you have 10 different exchanges, you sample the price at each exchange on the hour, and average the price, having sliced the top and bottom prices from the sum.

This formula would be accurate enough to give info, but not too accurate to cause caching or logging issues. Anything more would be taken directly from the exchange being used to trade from.

If someone wanted to create a 30 day average price, they could from the figure created every hour, but for the rawest useful global number, I think this might work!

the only problem with sampling 10 exchanges is that each exchange seems to follow (like sheep) mtgox.

EG bitstamp is usually $1 more BTC-e is usually a little less.. but whenever mtgox skyrockets or plummits.. the others follow suit for no direct reasons but to stay in toe of mtgox value, thus bringing you back to a average of 10 exchanges still being the same as mtgox

reg

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Quote from: prof7bit on June 11, 2013, 07:40:07 AM

Who would use this averaged price, what *practical* significance would it have?

If I were a merchant who somhow needs to peg the BTC prices of my products to the corresponding FIAT value (for whatever reason) then I would need to use the prices of the exchange that I am using and not some artificial average price from the other end of the world that is of no practical use for me because it does not represent the price of my Bitcoins here and now.

you are right and wrong! the price is irrelevant when exchanging immediately and converting into fiat- that is the exchange function of bitcoin and you only need to know the price at the time of transaction on your exchange. however it is natural to prefer to use and stay with one exchange and there may(will) be differences between exchanges. arbiters make use of this and it is profiting from rate differences that is to the disadvantage of all bitcoin users in the same way banks charge to exchange money from one currency to another. It is the single exchange that is the artificial price of bitcoin and the average across all exchanges that is closer to the true value. it is in everyone's interest that the value is determined on a small differential as possible between exchanges. reg.

lebing

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Enabling the maximal migration

Quote from: prof7bit on June 11, 2013, 07:40:07 AM

Who would use this averaged price, what *practical* significance would it have?

If I were a merchant who somhow needs to peg the BTC prices of my products to the corresponding FIAT value (for whatever reason) then I would need to use the prices of the exchange that I am using and not some artificial average price from the other end of the world that is of no practical use for me because it does not represent the price of my Bitcoins here and now.

Well for example, localbitcoins and OTC are the most obvious choices. Over time, firms like bitpay and by extension, merchants might use the service.

prof7bit

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https://youengine.io/

Who would use this averaged price, what *practical* significance would it have?

If I were a merchant who somhow needs to peg the BTC prices of my products to the corresponding FIAT value (for whatever reason) then I would need to use the prices of the exchange that I am using and not some artificial average price from the other end of the world that is of no practical use for me because it does not represent the price of my Bitcoins here and now.

cr1776

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I like the idea of weighting by the volume on a particular exchange, however since you have the data, you could calculate it using your method and the just a simple average. It would be useful to see how much they diverge.

Quote from: lebing on June 11, 2013, 06:26:56 AM

Quote from: nwbitcoin on June 11, 2013, 06:12:14 AM

If the idea is to have a price that is quoted, as the price of bitcoin, then the best option is to just do an average of averages.

For instance, if you have 10 different exchanges, you sample the price at each exchange on the hour, and average the price, having sliced the top and bottom prices from the sum.

This formula would be accurate enough to give info, but not too accurate to cause caching or logging issues. Anything more would be taken directly from the exchange being used to trade from.

If someone wanted to create a 30 day average price, they could from the figure created every hour, but for the rawest useful global number, I think this might work!

I thought about using a simple average, but didn't for two reasons:

1. The rate should be affected by the volume at each exchange. This makes it much less prone to manipulation and is a more accurate reading of where the trades are happening.
2. It provides a fluid transition mechanism for new exchanges to come on board without having to abruptly switch from one exchange to another. As their volume increases, so does their influence on the price and if one goes down, the rest carry the weight until its back up (if it comes back up).

Topic: Price discovery - page 2. (Read 3681 times)