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Title: Historical depth data? Post by: axefrog on June 07, 2013, 12:47:07 PM Trade data is one thing, but for more accurate backtesting, it'd be nice to have some historical depth data to calculate slippage and the actual trade value at the time a test trade is performed. I can start catching it via the WebSocket API, but that'll only help me going forward.
Does anyone know where historical depth data can be found for 2013? Title: Re: Historical depth data? Post by: nitrous on June 07, 2013, 01:54:01 PM I'm pretty sure that the data available from https://data.mtgox.com/api/2/BTCUSD/money/depth/full (https://data.mtgox.com/api/2/BTCUSD/money/depth/full) is the entirety of MtGox's depth data, and you can probably then filter it for 2013. Unfortunately, as I don't really know how the data is generated, I can't give any more information than that. Be careful with this resource, though - there is a download limit of 5/hour, which if you exceed may result in you being blocked from the API.
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