Hi,
I'd like to post the following little research in the "Bitcoin Forum > Economy > Marketplace > Service Discussion". We did this together with @errge, so can you please lift the newbie restriction for me and for him too.
I don't want to speculate about the current situation at MtGox, but I wanted to share a little research about the recent big moves that we did together with @errge. It definitely made me think, and I didn't see this mentioned here before.
TL;DR The move on mtgoxUSD from 112 to 123 on Aug 19th was a result of a very few (about 15) very large (1000-2000 BTC) orders, which were done by a few (1-4) distinct individuals.
http://bitcoincharts.com/charts/mtgoxUSD#rg5zczsg2013-08-18zeg2013-08-20ztgSzm1g10zm2g25zvHere's how we determined this. MtGox publishes a feed of all transactions and if you look at the beginning of the first move, you see the following:
1376880909,111.999920000000,0.024069000000
1376880915,111.840100000000,0.193640000000
1376880956,111.840200000000,0.097470000000
1376880959,111.840200000000,0.010960000000
1376880984,111.999900000000,4.463718200000
1376880984,112.000000000000,4.945000000000
1376880984,112.699990000000,7.269893300000
1376880984,112.700000000000,0.031112900000
1376880984,112.700000000000,0.099900000000
1376880984,112.700000000000,5.000000000000
1376880984,112.700010000000,102.262969930000
1376880984,112.790170000000,1.330178290000
1376880984,112.992520000000,0.018122130000
1376880984,113.000030000000,1.000000000000
1376880985,113.238050000000,5.517000000000
1376880985,113.240000000000,0.883080180000
There is a transaction every few seconds and then at 1376880984 (= 2013-08-19 02:56:24 UTC) starts a long streak of transactions with an ever increasing price that immediately follow each other.
We made an assumption that this was a big "buy" order and what we see is it "eating its way up through the order book". This looked very plausible, so we wanted to see how big was the order and what was its limit price. So, I wrote a script that looks for streaks like that and aggregates them. This is what we got:
2013-08-19 02:56:24 UTC: (156 ts in 6s) 2000.00 @ 114.49 BUY (min: 112.00, max: 114.91) big ts: ["102.26","99.59","98.20","97.00"]
Meaning: there were 156 transactions completed in 6 seconds, and if you add up the amounts you get
exactly 2000 BTC. This can't be random! It was indeed
one order of size 2000.
(The rest of the line is a weighted average price, the min and max price of the transactions and the amounts of a few biggest transactions within that streak.)
And immediately after that we get another one:
2013-08-19 02:56:31 UTC: (111 ts in 4s) 1000.00 @ 114.97 BUY (min: 114.12, max: 115.00) big ts: ["100.00","87.22","86.19","84.48"]
Here's the order size was 1000 BTC and it ate through the asks till it got to the rich field @ 115.00 USD/BTC.
Well, without further ado, here's the full list:
2013-08-19 02:56:24 UTC: (156 ts in 6s) 2000.00 @ 114.49 BUY (min: 112.00, max: 114.91) big ts: ["102.26","99.59","98.20","97.00"]
2013-08-19 02:56:31 UTC: (111 ts in 4s) 1000.00 @ 114.97 BUY (min: 114.12, max: 115.00) big ts: ["100.00","87.22","86.19","84.48"]
2013-08-19 02:57:32 UTC: (28 ts in 1s) 1500.00 @ 115.00 BUY (min: 114.70, max: 115.00) big ts: ["1293.75","90.00","43.57","30.72"]
2013-08-19 02:59:40 UTC: (42 ts in 2s) 1433.72 @ 115.00 BUY (min: 114.70, max: 115.00) big ts: ["946.69","177.43","145.00","24.00"]
2013-08-19 03:10:35 UTC: (198 ts in 6s) 1000.00 @ 116.48 BUY (min: 116.21, max: 116.95) big ts: ["222.80","117.17","52.76","44.68"]
2013-08-19 03:11:40 UTC: (250 ts in 9s) 1000.00 @ 117.30 BUY (min: 116.95, max: 117.80) big ts: ["154.00","100.00","79.69","40.00"]
2013-08-19 05:32:01 UTC: (172 ts in 7s) 1000.00 @ 117.94 BUY (min: 117.20, max: 118.40) big ts: ["112.94","100.00","96.53","78.30"]
2013-08-19 05:32:19 UTC: (111 ts in 4s) 1000.00 @ 118.68 BUY (min: 118.05, max: 119.00) big ts: ["400.00","110.00","90.50","69.12"]
2013-08-19 05:32:54 UTC: (91 ts in 4s) 1000.00 @ 119.00 BUY (min: 116.78, max: 119.08) big ts: ["152.13","150.00","147.55","74.95"]
2013-08-19 05:33:05 UTC: (125 ts in 4s) 814.90 @ 119.38 BUY (min: 119.08, max: 119.73) big ts: ["100.00","99.00","83.62","79.00"]
2013-08-19 05:34:52 UTC: (198 ts in 9s) 1000.00 @ 119.91 BUY (min: 117.50, max: 120.00) big ts: ["160.00","100.00","78.90","67.00"]
2013-08-19 06:37:50 UTC: (240 ts in 10s) 1458.41 @ 119.95 BUY (min: 118.95, max: 120.00) big ts: ["100.92","100.00","100.00","59.64"]
2013-08-19 07:47:45 UTC: (171 ts in 6s) 750.00 @ 121.11 BUY (min: 120.28, max: 121.79) big ts: ["150.00","50.00","39.23","30.78"]
2013-08-19 07:50:58 UTC: (265 ts in 9s) 1250.00 @ 122.15 BUY (min: 120.38, max: 122.76) big ts: ["148.51","129.95","127.90","90.15"]
2013-08-19 07:52:29 UTC: (104 ts in 4s) 406.50 @ 122.84 BUY (min: 122.50, max: 123.00) big ts: ["89.33","72.41","52.03","25.87"]
2013-08-19 07:53:36 UTC: (179 ts in 7s) 837.36 @ 123.12 BUY (min: 122.78, max: 123.56) big ts: ["102.14","67.92","51.42","49.60"]
Most of these are very round, indicating that indeed we found one exact order that was completely filled. For the non-round ones my guess is that they actually emptied the order book up to the given limit price and were not filled immediately. The proof for this is that we can sometimes find follow-up transactions matching in price which if are added to the streak give a round number.
Altogether these giant orders add up to about 17500 BTC, which is a considerable part of transaction volume during that period. And all the upward price moves happened within them.
We don't know whether all these whales are from the same person. But, based on the timing, I would say it's no more than 4 different players.
Interestingly we found two big sells too (and only two):
2013-08-19 09:56:14 UTC: (24 ts in 2s) 589.56 @ 120.09 SELL (min: 120.00, max: 122.00) big ts: ["274.83","100.00","60.00","30.00"]
2013-08-19 09:57:26 UTC: (3 ts in 0s) 659.28 @ 120.00 SELL (min: 120.00, max: 121.89) big ts: ["659.26","0.01","0.01"]
Or, actually, I think this is only one order, because together with the small ones in between them, they add up to exactly 1250.
Thoughts?