Title: 100 Days of MtGOX Trading Data Post by: IIzzII on April 28, 2013, 03:46:07 PM I have been playing around with the MtGOX API a lot recently. One thing I wanted to accomplish was to get accurate historical data easily. I have no idea if people here are interested in this, but I figured I would share my results. So here it is, 1,413,763 trades over a 100 day period beginning at 01/17/13 @ 6:00:00pm EST and ending at 04/27/13 @ 7:34:16pm EST. This is a CSV file with only the basic data. There are three columns: timestamp, price, volume. I could easily generate a longer history file and include a more complete picture of each trade. If there is substantial interest in something like that I'll take the time to create it. I don't even know if something like this will be useful to people. Enjoy.
https://docs.google.com/file/d/0BzQUQy0ERT4-bW1TSjl4b2hvLVE/edit?usp=sharing Title: Re: 100 Days of MtGOX Trading Data Post by: QuantPlus on April 28, 2013, 05:18:18 PM It's roughly the period below. And, for me, it's useful for developing a reasonable Historical Volatility for BTC... And also seeing how volatility/volume varies over the 24 hour day. http://i44.tinypic.com/s1thyh.png Title: Re: 100 Days of MtGOX Trading Data Post by: QuantPlus on April 28, 2013, 08:48:44 PM Based on this data... here's average volume by hour EST. It does peak at the expected times... But this looks like an exchange with bottlenecks that smooth out volume. A similar study of GLOBEX Forex which has 1000 times the volume... Shows a dramatically higher variation. I'm actually more interested in down time... And how reliable a given "closing price" on Gox is. 00:00 3061 01:00 3397 02:00 3519 03:00 3720 04:00 2779 05:00 2732 06:00 3793 07:00 3298 08:00 3748 09:00 4479 10:00 4324 11:00 4562 12:00 3317 13:00 4223 14:00 4996 15:00 4741 16:00 4078 17:00 3933 18:00 4013 19:00 4158 20:00 4886 21:00 3347 22:00 2920 23:00 2936 Title: Re: 100 Days of MtGOX Trading Data Post by: taplak on July 07, 2013, 10:52:17 PM the link is broken :'( you can upload again
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