Title: visualizing the market depth Post by: giszmo on February 05, 2012, 03:31:37 AM Hi
I've been wondering if the exchange rate follows the market depth or if the market depth follows to the exchange rate. Actually looking at the market depth I often get the feeling to know how the rate has to change in a very near future and often it does but by far not always. To analyze further I searched for sources of historic market depth but couldn't find any, so I wrote a small script that draws the MtGox market depth - the one that is available via their api - the one that is only a small fraction of the total market depth - into a png. As the market depth sometimes is 5 times bigger than at other times, I normalized each line by the highest value and used a pallet of 1024 values (4 times a black blue gradient). The result for some days but with a longer pause at some point and without any time stamps is here: http://lw2.leowandersleb.de/blub/newimage3.png Now I wonder if anybody has a more complete historic market depth. I would like to render a Bitcoin Market Depth Canyon fly through or whatever works better than the above. Title: Re: visualizing the market depth Post by: Revalin on February 05, 2012, 04:44:58 AM Nice! It's the same idea with a little different approach that I've tried a bunch of times:
https://i.imgur.com/OXJJm.png I have per-minute snapshots of the data since July. There are a bunch of gaps in the data so you have to be careful or you'll get time jumps, and it's just the public API so it's just a narrow window around the current price. If that's still good enough to be interesting to you, you're welcome to a copy of what I have. The only price is that I want to see more awesome pictures, especially around interesting events. :) Title: Re: visualizing the market depth Post by: giszmo on February 05, 2012, 05:16:23 PM Nice! It's the same idea with a little different approach that I've tried a bunch of times: https://i.imgur.com/OXJJm.png I have per-minute snapshots of the data since July. There are a bunch of gaps in the data so you have to be careful or you'll get time jumps, and it's just the public API so it's just a narrow window around the current price. If that's still good enough to be interesting to you, you're welcome to a copy of what I have. The only price is that I want to see more awesome pictures, especially around interesting events. :) That sounds like a great offer! It's a huge data set. Did you ever zip it? Do you have all the raw data like timestamp+values? I don't as my normalization already destroyed most of the data but with all the data I'd like to try and render a fly through that canyon with maybe some landmarks for events in bitcoins history. I guess there is quite some challenge to get the data into some rendering software. A height field of about 300k samples of a price range of 1$ to 20$ at a 1ct. granularity and a 16bit precision for each accumulated value. Most rendering tools allow to import height fields as gray scale pictures. This one would be 300k x 2k x 2B = 1.2GB. Guess that is challenging also as the 2B/pixel is non-standard but necessary imho. Title: Re: visualizing the market depth Post by: Revalin on February 06, 2012, 03:13:15 AM It's raw dumps of the JSON API (complete with occasional error messages and empty files) with PST timestamps in the filenames. It's about 5G raw, 33M compressed. Be careful extracting it: some filesystems get really slow if you put a quarter million files in one dir.
http://www.mediafire.com/file/u1goocu36ng65kp/mtgox.7z Title: Re: visualizing the market depth Post by: ineededausername on February 06, 2012, 03:20:08 AM It's raw dumps of the JSON API (complete with occasional error messages and empty files) with PST timestamps in the filenames. It's about 5G raw, 33M compressed. Be careful extracting it: some filesystems get really slow if you put a quarter million files in one dir. http://www.mediafire.com/file/u1goocu36ng65kp/mtgox.7z :o That's a huge compression ratio... Title: Re: visualizing the market depth Post by: Revalin on February 06, 2012, 03:22:50 AM It's highly redundant text. Most depths don't change from minute to minute, and there's lots of predictable syntax in JSON. That and 7Zip is awesome.
Title: Re: visualizing the market depth Post by: giszmo on February 06, 2012, 03:51:59 AM It's raw dumps of the JSON API (complete with occasional error messages and empty files) with PST timestamps in the filenames. It's about 5G raw, 33M compressed. Be careful extracting it: some filesystems get really slow if you put a quarter million files in one dir. http://www.mediafire.com/file/u1goocu36ng65kp/mtgox.7z Revalin thanx a lot! I can't promise to bring results soon but I will see what I can do. At least it is a big incentive to come up with something to have such nice data at hands :) Title: Re: visualizing the market depth Post by: Revalin on February 06, 2012, 04:23:13 AM No problem! Do let me know if you (or anyone!) find another source of this data. I'd love to fill in the holes and go farther back in time.
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