Real Time Charting, Order Book, and Time & Sales - page 6.

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: moocowpong1 on May 22, 2013, 10:59:15 PM

I've noticed something funny about the way bitcoin.clarkmoody.com colors the candles... it seems that the candle is colored not based on whether the open is greater or less than the close, but whether the close is greater or less than the previous close. Typically the open of one period will be close to the close of the previous period, but it can be different. There's an example of a strangely colored candle now: the 2013-5-22 22:15:00 (Chicago time, if it matters) candle for the M15 view is colored red even though the open is 124.40000 and the close is 124.40002. (The previous close is 124.43900.) Is this intentional behavior? It seems counterintuitive.

First post of this thread describes the candle shading/coloring scheme.

Color is based on this close vs. previous close. Shading is based on up/down during this period.

moocowpong1

member

Activity: 79

Merit: 10

I've noticed something funny about the way bitcoin.clarkmoody.com colors the candles... it seems that the candle is colored not based on whether the open is greater or less than the close, but whether the close is greater or less than the previous close. Typically the open of one period will be close to the close of the previous period, but it can be different. There's an example of a strangely colored candle now: the 2013-5-22 22:15:00 (Chicago time, if it matters) candle for the M15 view is colored red even though the open is 124.40000 and the close is 124.40002. (The previous close is 124.43900.) Is this intentional behavior? It seems counterintuitive.

AMuppInTime

donator

Activity: 290

Merit: 250

We're talking non trivial order placed: 50+ BTC buy... There were no orders over 0 BTC within +-.02 strike.
For 3-5 minutes I was waiting to see it appear in CM - but it never showed, as the price moved around and new bids / asks were placed.

Quote from: Clark on May 15, 2013, 12:28:55 AM

Quote from: AMuppInTime on May 14, 2013, 10:18:52 PM

=> is MtGox selecting which orders get broadcasted?
=> does CM miss some of those "updates" ?

a) I don't know.

b) I'm certainly not filtering out any updates that make sense: for instance, since there is the order book syncing issue, I won't update the book if I get a bid that's higher than the inside ask; things like that.

Quote from: baracuda on May 14, 2013, 11:07:02 PM

@Clark: I don't have data to reproduce this, but I have noticed a few occasions where I placed an order via a POST with my MtGox API, and then I see the order show up in MtGox, but it doesn't show up in the bid/ask depth data. Even though I see other data adding and removing itself from the bid/ask still. Eventually my order fills, and I see the trade entry in the trade list, but it never showed up on the ask/bid depth. (These are often 0.1 or 0.05 BTC orders.)

I'll try to keep a closer eye on it to see if I can get more valuable reproduceable details. Take this from me with a grain of salt right now though because who knows what it could be.

If your order is the same price as an existing order on the book, then it will add to that order, not show up as a distinct issue. You probably know this, but it could factor into the behavior.

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: baracuda on May 15, 2013, 02:47:19 PM

By "bid higher than inside ask" you mean if the lowest ask is 115 and an "order" comes in for a bid at 115.01 you ignore it since it's higher than the lowest ask?

Actually, I trust the incoming data over the socket more than I do the data that's already on the book. So if that bid came in, then I eliminate the conflicting asks off the book, since it's likely that they are incorrect.

baracuda

newbie

Activity: 43

Merit: 0

Quote from: Clark on May 15, 2013, 12:28:55 AM

If your order is the same price as an existing order on the book, then it will add to that order, not show up as a distinct issue. You probably know this, but it could factor into the behavior.

Yup, I'm specifically placing an order for a different value than any currently on the order book.

Quote from: Clark on May 15, 2013, 12:28:55 AM

I'm certainly not filtering out any updates that make sense: for instance, since there is the order book syncing issue, I won't update the book if I get a bid that's higher than the inside ask; things like that.

Interesting, the value I bid is 0.00001 (or however many 0's there are) above the current high bid. Do you think that's related the cause?

By "bid higher than inside ask" you mean if the lowest ask is 115 and an "order" comes in for a bid at 115.01 you ignore it since it's higher than the lowest ask?

I have not seen this in the last few days but I'll try to watch closely when I have time later this week.

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: AMuppInTime on May 14, 2013, 10:18:52 PM

=> is MtGox selecting which orders get broadcasted?
=> does CM miss some of those "updates" ?

a) I don't know.

b) I'm certainly not filtering out any updates that make sense: for instance, since there is the order book syncing issue, I won't update the book if I get a bid that's higher than the inside ask; things like that.

Quote from: baracuda on May 14, 2013, 11:07:02 PM

@Clark: I don't have data to reproduce this, but I have noticed a few occasions where I placed an order via a POST with my MtGox API, and then I see the order show up in MtGox, but it doesn't show up in the bid/ask depth data. Even though I see other data adding and removing itself from the bid/ask still. Eventually my order fills, and I see the trade entry in the trade list, but it never showed up on the ask/bid depth. (These are often 0.1 or 0.05 BTC orders.)

I'll try to keep a closer eye on it to see if I can get more valuable reproduceable details. Take this from me with a grain of salt right now though because who knows what it could be.

If your order is the same price as an existing order on the book, then it will add to that order, not show up as a distinct issue. You probably know this, but it could factor into the behavior.

baracuda

newbie

Activity: 43

Merit: 0

Quote from: AMuppInTime on May 14, 2013, 10:18:52 PM

I'm a little confused as to the "no lag" and MtGox - I've used the site many times but lately it seems to be missing orders:
Ex: I placed a bid order at 106.5 when there is no lag around (Market at 107). The order shows as "Open" on my MtGox account, but never shows up on CM... for 5 minutes, with no mtGox lag. Wondering if it's something else, I move closer to market price, order opens and gets filled... very weird behavior!

=> is MtGox selecting which orders get broadcasted?
=> does CM miss some of those "updates" ?

Just wondering why after 5 minutes my order was nowhere to be found on the bid stack.

@Clark: I don't have data to reproduce this, but I have noticed a few occasions where I placed an order via a POST with my MtGox API, and then I see the order show up in MtGox, but it doesn't show up in the bid/ask depth data. Even though I see other data adding and removing itself from the bid/ask still. Eventually my order fills, and I see the trade entry in the trade list, but it never showed up on the ask/bid depth. (These are often 0.1 or 0.05 BTC orders.)

I'll try to keep a closer eye on it to see if I can get more valuable reproduceable details. Take this from me with a grain of salt right now though because who knows what it could be.

AMuppInTime

donator

Activity: 290

Merit: 250

I'm a little confused as to the "no lag" and MtGox - I've used the site many times but lately it seems to be missing orders:
Ex: I placed a bid order at 106.5 when there is no lag around (Market at 107). The order shows as "Open" on my MtGox account, but never shows up on CM... for 5 minutes, with no mtGox lag. Wondering if it's something else, I move closer to market price, order opens and gets filled... very weird behavior!

=> is MtGox selecting which orders get broadcasted?
=> does CM miss some of those "updates" ?

Just wondering why after 5 minutes my order was nowhere to be found on the bid stack.

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: avaughn on May 13, 2013, 10:36:04 PM

They look great! Wish I could build my own charts like that. Any pointers?

Go slow and solve lots of little problems. Build yourself lots of helper functions to do simple things and put them together to create complex behavior.

avaughn

newbie

Activity: 24

Merit: 0

Quote from: Clark on May 13, 2013, 10:01:49 PM

Quote from: avaughn on May 13, 2013, 09:22:57 PM

Pardon me if this has been answered already. What are you using for your charting tools?

The charts are custom built by me Wink

They look great! Wish I could build my own charts like that. Any pointers?

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: avaughn on May 13, 2013, 09:22:57 PM

Pardon me if this has been answered already. What are you using for your charting tools?

The charts are custom built by me Wink

avaughn

newbie

Activity: 24

Merit: 0

Pardon me if this has been answered already. What are you using for your charting tools?

Geremia

sr. member

Activity: 506

Merit: 253

Quote from: Clark on May 08, 2013, 09:24:45 PM

Slippage is the difference between the value of your buy/sell whether calculated with the inner bid/ask or calculated based on the orders on the book.

Simple example: say you want to sell 2 BTC. The inner Bid is 1 @ $10. The next highest bid is 1 @ $8 (thin book). The face value of your 2 BTC is $20, but the actual sale price you can get is $18, since you would take both bid orders to fill your sale. Thus, the slippage would be $2.

Ah, so it seems to be a measure of how precisely the exchange can find a trade matching your bid.
Thanks for the explanation

Clark

hero member

Activity: 548

Merit: 502

So much code.

Please don't tell me the site is down at the moment, thanks.

I'm working to get it back online

shackleford

full member

Activity: 281

Merit: 100

Quote from: Clark on May 07, 2013, 08:45:10 PM

Quote from: zero3112 on May 07, 2013, 08:30:34 PM

site api keeps going down is this normal?

What API?

I think he means the connection to Mt Gox where it disconnects and reconnects. Is there any way to disable the sound for that? Sometimes the connection stays up but when it constantly disconnects and reconnects it can be a bit annoying.

wamatt

member

Activity: 85

Merit: 10

Great work on the charts clark.

I have a question. Is it possible to add a toggle to show/hide spread lines? If you look at H4, the green line makes it a bit difficult to read the EMA, and might be nice to hide them sometimes

Second thing. Are D3 and W1 accurate in terms of EMA? The reason I'm asking is that there doesn't appear to be 21 periods of data for such large intervals. That could just be a display issue though?

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: Geremia on May 08, 2013, 03:11:53 PM

This may have already been asked here, but what is "slippage"? thanks

Slippage is the difference between the value of your buy/sell whether calculated with the inner bid/ask or calculated based on the orders on the book.

Simple example: say you want to sell 2 BTC. The inner Bid is 1 @ $10. The next highest bid is 1 @ $8 (thin book). The face value of your 2 BTC is $20, but the actual sale price you can get is $18, since you would take both bid orders to fill your sale. Thus, the slippage would be $2.

Geremia

sr. member

Activity: 506

Merit: 253

This may have already been asked here, but what is "slippage"? thanks

Clark

hero member

Activity: 548

Merit: 502

So much code.

Quote from: silverfish on May 08, 2013, 05:49:13 AM

Is the "Time & Sales" only updated for USD? ..When I switch to EUR, it doesn't show any data.

It might start working once you reload, after you've chosen another currency. There are still some issues with the socket.io client library and reconnection.

silverfish

newbie

Activity: 13

Merit: 0

Is the "Time & Sales" only updated for USD? ..When I switch to EUR, it doesn't show any data.

Topic: Real Time Charting, Order Book, and Time & Sales - page 6. (Read 85544 times)