Hi, we use gox stream api and in case it fails we are fallingback to bitcoincharts stream for gox trades.
we do not group trades in any other way except by timestamp into 15 sec slots
Topic: Requested Chart Service : Gox Trades by volume (Read 860 times)
Oh, so do you see two sets of trades: buys and sells which compromise twice the volume (or the volume on both sides)?
Also, what would it appear like if someone does a market order for 1200 coins but it executes as... 400 coins at 140, 400 coins at 141, 400 coins at 142?
Also, what would it appear like if someone does a market order for 1200 coins but it executes as... 400 coins at 140, 400 coins at 141, 400 coins at 142?
Hi, if your qestion is about bitcoin-analytics.com then I will answer if not, I am sorry to interrupt.
at bitcoin-analytics.com we separate all trades by their side so each trade is counted only once.
as for your example: the volume weighted average price for last traded BTC will be calculated as:
- for 10 BTC -- 142
- for 100 BTC -- 142
- for 1000 BTC -- (142 * 400 + 141 * 400 + 140 * 200) / 1000 = 141.2
please notice we count trades in backward order thus VWAP of last 1000 BTC traded
I think he was asking me...
Do I see two sets of trades comprising twice the volume?
No, there is one set of trades which is marked according to whether the buyer or seller initiated the trade when it got filled.
As to the second question, I believe that depends on whether or not mt gox trade engine executes the trades within a millisecond of each other since that is the minimum interval between timestamps. I may be wrong on this.
Genuise how do you get the Gox data and how do you know how to group the trades together if they are part of the same order being filled?
Oh, so do you see two sets of trades: buys and sells which compromise twice the volume (or the volume on both sides)?
Also, what would it appear like if someone does a market order for 1200 coins but it executes as... 400 coins at 140, 400 coins at 141, 400 coins at 142?
Also, what would it appear like if someone does a market order for 1200 coins but it executes as... 400 coins at 140, 400 coins at 141, 400 coins at 142?
Hi, if your qestion is about bitcoin-analytics.com then I will answer if not, I am sorry to interrupt.
at bitcoin-analytics.com we separate all trades by their side so each trade is counted only once.
as for your example: the volume weighted average price for last traded BTC will be calculated as:
- for 10 BTC -- 142
- for 100 BTC -- 142
- for 1000 BTC -- (142 * 400 + 141 * 400 + 140 * 200) / 1000 = 141.2
please notice we count trades in backward order thus VWAP of last 1000 BTC traded
Oh, so do you see two sets of trades: buys and sells which compromise twice the volume (or the volume on both sides)?
Also, what would it appear like if someone does a market order for 1200 coins but it executes as... 400 coins at 140, 400 coins at 141, 400 coins at 142?
Also, what would it appear like if someone does a market order for 1200 coins but it executes as... 400 coins at 140, 400 coins at 141, 400 coins at 142?
You can also refere to http://bitcoin-analytics.com which provides bids/asks separated trades and oderbook prices by volume of 10, 100, 1000, 10000 BTC in real time
hope this will be of help
hope this will be of help
I see a problem with this: There are two sides to a trade: buyer and seller. The only case where a 1000 trade would be reported is if both the buyer and seller had an order for over 1000 coins. However, you could have a 1000 btc buyer buying from a group of sellers with smaller orders, or a 1000btc seller selling to a group of buyers with smaller orders. In either of the latter cases, the trades on the tape will all be reported as small trades, and there will be no way to tell that there was someone buying or selling 1000 coins. This makes the data not as useful.
No mt gox api returns whether it was initiated as a buy or sell. See the trade_type parameter:
Code:
{"result":"success","return":
[{"date":1380330682,"price":"139.99","amount":"15.5","price_int":"13999000","amount_int":"1550000000","tid":"1380330682016005","price_currency":"USD","item":"BTC",
"trade_type":"bid",
"primary":"Y","properties":"limit"}
[{"date":1380330682,"price":"139.99","amount":"15.5","price_int":"13999000","amount_int":"1550000000","tid":"1380330682016005","price_currency":"USD","item":"BTC",
"trade_type":"bid",
"primary":"Y","properties":"limit"}
https://mtgox.com/api/1/BTCUSD/trades
edit: Actually I see what you are saying now, it must be recording the orders as they are filled. But if someone places a market order for example and it buys 10 different asks this should all happen within the same millisecond right?
I see a problem with this: There are two sides to a trade: buyer and seller. The only case where a 1000 trade would be reported is if both the buyer and seller had an order for over 1000 coins. However, you could have a 1000 btc buyer buying from a group of sellers with smaller orders, or a 1000btc seller selling to a group of buyers with smaller orders. In either of the latter cases, the trades on the tape will all be reported as small trades, and there will be no way to tell that there was someone buying or selling 1000 coins. This makes the data not as useful.
Example #2 (because I had this chart)
Lookin' good.
BTW this rally is still "creeping me out" Gox has never been home to the mid-sized buyers [100-500]. This entire rise is on them.. Are they finally saying, "Shit, the whales were right... INSOLVENT!!?"
While us small people <100 are just riding the waves? lol.
BTW this rally is still "creeping me out" Gox has never been home to the mid-sized buyers [100-500]. This entire rise is on them.. Are they finally saying, "Shit, the whales were right... INSOLVENT!!?"
While us small people <100 are just riding the waves? lol.
Want a chart? Request it here and it may happen. Bounties make it more likely.
Here is an example:
13HesWvPjuPYTo3owGV2kE1avStSemHeYX
Here is an example:
Which charting site allows me to view volume averages? I'd like a 5 and 10 day.
13HesWvPjuPYTo3owGV2kE1avStSemHeYX
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