Sounds great. I've signed up for the API.
I do have problems with arbitrage "opportunities" though, simply because of the time to move money between exchanges. I've been waiting 2 months to receive a wire from gox. The market has kind of "moved on" since then ;-)
Topic: Seeking Feedback on Prototype Multi-Exchange Bitcoin Market Data API (Read 2216 times)
December 14, 2013, 11:24:13 PM
December 14, 2013, 08:31:11 PM
This document is also available at http://bitcoinats.com/help .
The objective was to build a market data API that leverages the consolidated order book of a user-specified subset of major exchanges and exposes key functionality through a JSON API. I would appreciate your feedback, suggestions for new API endpoints that leverage the full order book, etc. Performance was a key consideration as we wanted these algorithms to work against a real-time feed. Please feel free to contact me at [email protected] with any questions. If there is sufficient interest, we will continue development.
NOTE: This prototype JSON API will only be public for a limited time. To sign up for the API key waitlist, go to http://signup.bitcoinats.com
Since most exchanges don't have real-time feeds, this prototype API pulls the full depth from MtGox, Bitstamp, btc-e, and CampBX every 20 minutes and analyzes the cached data. Obviously, a production version will need to maintain the full order books using streaming APIs. We already handle exchange-specific commissions, and reflect the effect of commissions in all data we return. Rounding of commission-adjusted amounts needs to be better handled in a production version, however. Orders are described as they would be sent to the exchanges, but the proceeds of transactions reflect the cost of commissions.
You can select a subset of these exchanges by passing "exchanges" to the API containing a subset of:
M = MtGox
B = Bitstamp
E = btc-e
C = CampBX
The calls are:
ARBITRAGE -- Find all arbitrage opportunities across selected exchanges (including cost of commissions), calculate the total profits, and generate a list of pair trades to execute the arbitrage strategy
http://bitcoinats.com/arbitrage?exchanges=MBEC
returns an object:
"profits" is the excess (commission adjusted) USD generated by executing
"trades" is an array of pair-trades of the type:
[BUY, exchange, BTC price in USD, # of BTC, commission, BTC purchased]
OR
[SELL, exchange, BTC price in USD, # of BTC, commission, commission adjusted USD proceeds]
BUY -- commission-adjusted optimal buy order routing to multiple exchanges
http://bitcoinats.com/buy?amount=100000&exchanges=BEC
"amount" is the USD to buy BTC with.
Returns:
"totalspent" in USD
"totalpurchased" is BTC purchased after commissions
"transactions" is sorted array of "BUY" orders with routing to purchase maximum BTC.
SELL -- commission-adjusted optimal sell order routing to multiple exchanges
http://bitcoinats.com/sell?amount=100&exchanges=BEC
"amount" is the BTC to sell for USD.
Returns:
"totalsold" in BTC
"totalproceeds" is the USD proceeds after commissions.
"transactions" is a sorted array of "SELL" orders with routing that maximizes proceeds.
QUOTE -- get a commission-adjusted best bid and ask in the marketplace
http://bitcoinats.com/quote?exchanges=BEC
Returns the best commission-adjusted bid/ask across the selected exchanges. "bestbid" and "bestask" are arrays of the type:
[exchange, BTC price in USD, commission, commission adjusted BTC price in USD, size in BTC]
DEPTH -- returns the consolidated market depth of the selected exchanges, including the effect of commissions on orders
http://bitcoinats.com/depth?exchanges=BEC
Returns the consolidated order book of the selected exchanges. The return object contains "bids" and "asks". Each bid or ask is an array of arrays, sorted by best bid/ask, containing:
[exchange, BTC price in USD, commission, commission adjusted BTC price in USD, size in BTC]
The objective was to build a market data API that leverages the consolidated order book of a user-specified subset of major exchanges and exposes key functionality through a JSON API. I would appreciate your feedback, suggestions for new API endpoints that leverage the full order book, etc. Performance was a key consideration as we wanted these algorithms to work against a real-time feed. Please feel free to contact me at [email protected] with any questions. If there is sufficient interest, we will continue development.
NOTE: This prototype JSON API will only be public for a limited time. To sign up for the API key waitlist, go to http://signup.bitcoinats.com
Since most exchanges don't have real-time feeds, this prototype API pulls the full depth from MtGox, Bitstamp, btc-e, and CampBX every 20 minutes and analyzes the cached data. Obviously, a production version will need to maintain the full order books using streaming APIs. We already handle exchange-specific commissions, and reflect the effect of commissions in all data we return. Rounding of commission-adjusted amounts needs to be better handled in a production version, however. Orders are described as they would be sent to the exchanges, but the proceeds of transactions reflect the cost of commissions.
You can select a subset of these exchanges by passing "exchanges" to the API containing a subset of:
M = MtGox
B = Bitstamp
E = btc-e
C = CampBX
The calls are:
ARBITRAGE -- Find all arbitrage opportunities across selected exchanges (including cost of commissions), calculate the total profits, and generate a list of pair trades to execute the arbitrage strategy
http://bitcoinats.com/arbitrage?exchanges=MBEC
returns an object:
"profits" is the excess (commission adjusted) USD generated by executing
"trades" is an array of pair-trades of the type:
[BUY, exchange, BTC price in USD, # of BTC, commission, BTC purchased]
OR
[SELL, exchange, BTC price in USD, # of BTC, commission, commission adjusted USD proceeds]
BUY -- commission-adjusted optimal buy order routing to multiple exchanges
http://bitcoinats.com/buy?amount=100000&exchanges=BEC
"amount" is the USD to buy BTC with.
Returns:
"totalspent" in USD
"totalpurchased" is BTC purchased after commissions
"transactions" is sorted array of "BUY" orders with routing to purchase maximum BTC.
SELL -- commission-adjusted optimal sell order routing to multiple exchanges
http://bitcoinats.com/sell?amount=100&exchanges=BEC
"amount" is the BTC to sell for USD.
Returns:
"totalsold" in BTC
"totalproceeds" is the USD proceeds after commissions.
"transactions" is a sorted array of "SELL" orders with routing that maximizes proceeds.
QUOTE -- get a commission-adjusted best bid and ask in the marketplace
http://bitcoinats.com/quote?exchanges=BEC
Returns the best commission-adjusted bid/ask across the selected exchanges. "bestbid" and "bestask" are arrays of the type:
[exchange, BTC price in USD, commission, commission adjusted BTC price in USD, size in BTC]
DEPTH -- returns the consolidated market depth of the selected exchanges, including the effect of commissions on orders
http://bitcoinats.com/depth?exchanges=BEC
Returns the consolidated order book of the selected exchanges. The return object contains "bids" and "asks". Each bid or ask is an array of arrays, sorted by best bid/ask, containing:
[exchange, BTC price in USD, commission, commission adjusted BTC price in USD, size in BTC]
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