I've just launched a trading app that trades on MTGox and TradeHill.
I'm noticing something strange on TradeHill though. Basically I get my quote and place an order directly after. The order never gets filled as the price has already moved. I don't notice this on MTGox which is a surprise because there are higher volumes there and one would think that the price would move quicker there. Also, if I log on to TradeHill myself and fill the order form manually using the quoted price my order has been filled by the time my browser reloads the page?
Have any of you guys noticed this? These orders are being made when there is an arbitrage opporunity between MTGox and TradeHill.. Could this be the reason for the momentary volatility.. i.e. lot's of bots place orders to exploit the difference?
Any ideas on this appreciated.
P.S. I forgot to mention that there is often a pretty large spread between bids/asks on TradeHill.
EDIT: I'm using the ticker API to grab buy/sell quotes. I will then place an order for 1BTC to buy/sell at the quoted price. I'm not currently looking at market depth. I have planned on looking at it later to figure out the max volume I could use any given time.
Also, yes, that was silly of me high volume = low volatility.