Topic: Visualizing Mt. Gox Bid/Ask History (Read 2544 times)

I have data for all of 2012. gox full depth every 17minutes.

This is a synthesis of the last 4 hours of bid/ask depth summed at 5 and 10 (bid)  and 15 and 20 (ask).

You can see a few interesting things here.  Notably, the amount of bid BTC above 5 on the bid side has decreased, but the USD it represents has remained essentially the same.  So bidders are creeping up.  You can see the same effect at the "above 10" numbers.  In this case, both the USD and the BTC it can buy is creeping up.  One interpretation is that bottom feeders are moving their bids into a more likely purchase zone.

On the sell side, you can see that 15 is eroding and at the same time sell side pressure at a higher point is NOT materializing (yet).  So sellers generally are not moving their asks up and at the same time new sellers seem to be sitting on the sidelines, probably to see what happens after 15.

>>> btcstats.positionSummary(db,4*btcstats.Hours,0,[5,10],[15,20])
2013-01-17 06:57:26.873053:
  2084 bids of 193231 btc (1931034.00) above   5.    1467 bids of  96715 btc (1238667.00) above  10. 
    52 asks of   9542 btc (142486.00) below  15.     509 asks of  38370 btc (632401.00) below  20. 
2013-01-17 07:12:26.954714:
  2085 bids of 193131 btc (1929984.00) above   5.    1468 bids of  96642 btc (1237782.00) above  10. 
    50 asks of   9762 btc (145763.00) below  15.     508 asks of  38710 btc (637524.00) below  20. 
2013-01-17 07:27:27.002699:
  2088 bids of 187658 btc (1924709.00) above   5.    1470 bids of  98911 btc (1271873.00) above  10. 
    45 asks of   8752 btc (130785.00) below  15.     509 asks of  38062 btc (628097.00) below  20. 
2013-01-17 07:42:26.375522:
  2092 bids of 188284 btc (1936783.00) above   5.    1474 bids of 100107 btc (1288469.00) above  10. 
    44 asks of   8444 btc (126188.00) below  15.     508 asks of  37702 btc (622714.00) below  20. 
2013-01-17 07:57:27.443380:
  2084 bids of 187961 btc (1932765.00) above   5.    1466 bids of  99783 btc (1284451.00) above  10. 
    45 asks of   8688 btc (129811.00) below  15.     502 asks of  37570 btc (620536.00) below  20. 
2013-01-17 08:12:27.073623:
  2094 bids of 188365 btc (1937933.00) above   5.    1476 bids of 100187 btc (1289619.00) above  10. 
    45 asks of   8636 btc (129036.00) below  15.     505 asks of  37647 btc (621878.00) below  20. 
2013-01-17 08:27:27.086351:
  2095 bids of 189981 btc (1960531.00) above   5.    1477 bids of 101804 btc (1312217.00) above  10. 
    45 asks of   8436 btc (126051.00) below  15.     504 asks of  37422 btc (618447.00) below  20. 
2013-01-17 08:42:27.567050:
  2090 bids of 189418 btc (1952148.00) above   5.    1472 bids of 101240 btc (1303834.00) above  10. 
    44 asks of   8397 btc (125470.00) below  15.     501 asks of  37338 btc (617207.00) below  20. 
2013-01-17 08:57:26.835357:
  2092 bids of 187209 btc (1917868.00) above   5.    1474 bids of  98663 btc (1267410.00) above  10. 
    23 asks of   7286 btc (109093.00) below  15.     482 asks of  36265 btc (601504.00) below  20. 
2013-01-17 09:12:26.817323:
  2076 bids of 189261 btc (1947945.00) above   5.    1458 bids of 100710 btc (1297430.00) above  10. 
    20 asks of   6806 btc (101949.00) below  15.     477 asks of  35642 btc (592132.00) below  20. 
2013-01-17 09:27:26.870106:
  2072 bids of 189968 btc (1957364.00) above   5.    1454 bids of 101409 btc (1306761.00) above  10. 
    16 asks of   6692 btc (100273.00) below  15.     481 asks of  36224 btc (601310.00) below  20. 
2013-01-17 09:42:26.043668:
  2050 bids of 188625 btc (1947960.00) above   5.    1450 bids of 101464 btc (1308167.00) above  10. 
    13 asks of   6140 btc (92030.00) below  15.     478 asks of  35464 btc (589578.00) below  20. 
2013-01-17 09:57:27.253930:
  2050 bids of 189282 btc (1957725.00) above   5.    1450 bids of 102121 btc (1317932.00) above  10. 
    13 asks of   5240 btc (78539.00) below  15.     476 asks of  34727 btc (578669.00) below  20. 
2013-01-17 10:12:26.790411:
  2039 bids of 188618 btc (1946884.00) above   5.    1439 bids of 101458 btc (1307091.00) above  10. 
    15 asks of   5606 btc (83964.00) below  15.     484 asks of  34872 btc (580646.00) below  20. 
2013-01-17 10:27:27.189975:
  2050 bids of 188617 btc (1946530.00) above   5.    1450 bids of 101455 btc (1306729.00) above  10. 
    13 asks of   5054 btc (75735.00) below  15.     478 asks of  34755 btc (579656.00) below  20. 
2013-01-17 10:42:27.088649:
  2048 bids of 186804 btc (1920944.00) above   5.    1448 bids of  99643 btc (1281143.00) above  10. 
    14 asks of   5055 btc (75765.00) below  15.     477 asks of  35332 btc (590057.00) below  20.

Do it in MATLab, compile it to a win32 exe, upload it here for everyone to download.

We could also ask the Clarck Moody guy, he is working on an improved interface, one click buy sell, etc.

You could probably make a decent one from the wall thread, but it only goes back a few months.

Check bitcoin-analytics.com is it what your were thinking about?
I collects depth data for 4 currencies lots of exchanges...

I'm sure that web service with canyon looklike charts with cross-section view would rock and become most popular.
   

A canyon view would be a very quick way to spot wall movements and their origin. It would also give an idea of the change of "mood" of buyers and sellers over time; months, year.

Great.
I was looking for such a concept
Is there anything new about it?

Well I look forward to progress on this front. I don't think I could contribute much though. Revalin, can you explain what I'm looking at or link me?

I'm storing depth every hour data since 2011-07-25
Every 5 minutes since couple weeks.
Of course you will see this in btccharts.com (can't say when since my plans are changing every day... )

If anyone have an orderbook data before 2011-07-25 and is willing to sell this - PM to me and say what's your price.

I have a copy of the depth for the last several months.  It's not complete (I have some network outages), and I don't have a convenient web viewer, but I manually generate charts occasionally when interesting things happen:



I consider these charts to be educational in how the market works, good for spotting abnormal trading behavior (as above), and useful when training bots, but not a very reliable way to trade.

I'm happy to share the data if someone would like to make a better viewer.

I know someone who records the bid and ask data, and would share it for a cool 3d project (something like "fly through the mtgox canyon"). I'd have to hunt through my IRC logs to find out who it was again though.

It seems to me the most intuitive way to visualize how something complex changes over time is a series of snapshots with controllable frame rate. A timecourse works ok for the price, which is a single value, but these 3-d heatmap charts are just confusing.

Lets say one screenshot an hour, 50 kb per image. That would be 438 MB for a year of depth chart history. I guess that might be a pain for a web interface.

Also color blindness makes me hate heat maps, so I may be biased.

Yes some are doing this, but none consistently and nobody is sharing the data you'd have to collect from the feed.

Coolest one was this 3D viz by tcatm (owner/creator of bitcoincharts.com.  he provides historical mtgox trade data but not bid data, which he also collects and more than likely archives)

Historic market depth charts




Here's some additional perspective from two extreme points in time, when the bid/ask geometry was enough out of the ordinary that I decided to catalog a couple of snapshots:

bid depth vs 5.14.2011 - why I'm bullish at $10 on 8.14.2011

Right, the history. I couldn't think of the proper term, thanks.

http://mtgoxlive.com
http://btccharts.com  (flash)

edit: sorry I did not understand that you want to see the history of this

Is anybody doing this? I would like to see how they change in response to big movements, over the course of a day, etc. I'm imagining a Javascript thing that lets me scroll my mouse-wheel to travel through time.