I'd like to create a 3d representation of the market depth graph (of BTC/USD) over time. (the graph here https://www.bitstamp.net/market/order_book/) I think it would provide a nice representation of buy/sell walls and price (the trough in the middle) over time. Where can I download this data? A list of all trades won't work, but open orders over time would.
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I found someone who created a visualization in shades of gray: reddit.com/r/BitcoinMarkets/comments/1murxd/… , but I would like to create a rotatable model.– lurf jurvCommented Jul 17, 2014 at 15:27
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Why is this getting downvoted?– lurf jurvCommented Jul 18, 2014 at 19:01
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Who knows, I dont see a problem with it. I really wish SO forced you to leave a comment when down voting.– MattCommented Jul 18, 2014 at 20:43
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1 Answer
You can't, but you could do something similar.
To start off with there isnt a single set of order books for BTC/USD, because there are dozens of exchanges each with their own set of books. Aggregating all of data from all the exchanges in to a single order book isnt going to work due to the pricing differentials (arbitrage opportunities) across the exchanges.
If you wanted to do this for a single exchange (such as BitStamp) you'd need to write script (or program) to download all of this data from their API (or scrape it from the HTML), and insert it in to a database. However this would only give you data from the present forward. If you wanted historical data, you'd have to find someone who is actively running a bot, and try to purchase the data from them. Try asking around on BitCoinTalk.org, or you could ask the exchanges themselves if they'd be willing to sell you this data.
Also something you should be aware of, in my experience writing my own trading bot, i've noticed that some open orders exist for a very short amount of time (< 1 second). So if you're going to write your own bot, keep this in mind. Also keep in mind that most exchanges use CDNs to prevent DDoS attacks, and will actively throttle your bot if you send too many requests per second. If you're clever you can evade the CDN throttling, and send enough requests per second to observe those short lived orders.
And how to create this in to a moving 3D graph? I have no idea. You could always write your own program, but for something like this i'm sure there is already a product out there than can do it.
