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Questions tagged [market-depth]

The tag has no usage guidance.

17
votes
4answers
4k views

Is there a historical timeseries of market depth & transactions available?

Has anyone stored the historical market depth & tick data from MtGox? Is it available publically? Would be useful if you were making a bot.
7
votes
4answers
4k views

View market depth/ orders on mtgox?

Excuse me if this is a stupid question, but does mtgox have an option to see market depth? The trading page allows me to set a price, but without know the current levels of bid/asks how can I make a ...
5
votes
3answers
276 views

What is the most reliable way to calculate the amount of fiat value that has been transferred into the bitcoin economy?

I would like to know what are the most sophisticated ways to estimate the amount of bitcoin that has been bought globally with various fiat currencies. Exchange data is only one source, and may well ...
4
votes
1answer
1k views

Keeping consistent market depth using Mt.Gox API

I'm trying to write a program using the Mt.Gox API to keep an up-to-date consistent view of their market depth. My current approach is as follows: Connect WebSocket and subscribe to depth updates ...
3
votes
2answers
13k views

Is “volume” the quantity of BTC exchanged, or the number of trades completed?

Suppose the following trades happen Trade 1: 100 BTC @ $75 Trade 2: 0.5 BTC @ $76 Trade 3: 100 BTC @ $77 Trade 4: 100 BTC @ $78 Trade 5: 100 BTC @ $78 Five individual trades occurred ...
3
votes
0answers
658 views

How to get BTCChina full Orderbook (FIX or alt API)

I have worked through BTCChina's FIX APi (using their java example). Creating a subscription request message such as: public static Message marketDataIncrementalRequest(String symbol) { quickfix....
2
votes
1answer
122 views

Market Depth Price on Mt. Gox API?

The Mt. Gox streaming API has a market depth channel. What is the "price" value given in that channel, and what does it represent? Reference: https://en.bitcoin.it/wiki/MtGox/API/Streaming#Depth
1
vote
2answers
3k views

Why is the USD spread of the order book on GDAX kept very low most of the time?

I noticed that there is a difference in the appearance of the order books among different exchanges. On GDAX, the USD spread is kept very low most of the time ($0.01). At these times, the buy and ...
1
vote
1answer
195 views

Negative volumes returned from MtGox websocket api request

I am using MtGox's websocket api to construct an order book. The trouble I'm having is that every once in a while, the depth event will return an JSON object with negative volume and negatie ...
1
vote
1answer
1k views

Data for market depth over time?

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 ...
1
vote
0answers
118 views

Placing price bounds on MtGox market depth api request

I'm making an order book for MtGox, but the market depth file is huge and I'm really only interested in values near the inside prices. Is it possible to place price bounds on the mtgox market depth ...
0
votes
2answers
306 views

How the BTC-e could dive to 102 points (from 700) and the recover back to 700

At around 10.00AM of 10th Feb, BTC-e had hit the low level of 102 USD/BTC from 700 USD half hour before. How is it possible at all? And even after such a big dip, how did the market recover and ...
0
votes
1answer
264 views

Calculating the average bid/ask price when placing orders

new to bitcoin and trading, I'm writing some code to analyse cryptocurrency markets and I want to better understand market depth. For a dummy scenario: Lets say BTC was at $100 and I have 10 that I ...
0
votes
1answer
519 views

Where can I find market volume data with greater resolution than 24hr periods?

I have scraper that pulls data from coinmarketcap for all coins for all historic periods (down to 15min intervals) however, the only volume info available is 24hr volume. Does anyone know if it's ...