I'm wondering what is common practice for handling missing candles? For sure, the candlestick generator can simply ignore them, but wouldn't it cause errors when data is fed to technical analysis/charts algorithms?
That's a good question. I am building a list of candle files so they can be used to backtest with Gekko, not sure how Gekko will solve this yet. Also not sure how to do TA on candles with gaps. Luckely the USD market has a lot of liquidity, so I guess this won't make much of a difference. I don't know how charting software normally deals with it but I now emitted the lines from the files. If someone runs into trouble running this and needs special syntax for gaps just let me know and I will re run the script. |
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Just found out about this (hopefully still) coming exchange. I was wondering about the choice for mongodb since it's not transactional. (It is in my understanding that the trade engine is built on top of postgresql, but I don't know what kind of data on an exchange doesn't have to be saved transactional)
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I've added download links to all USD hourly candles (16k+) and all daily candles for USD and EUR (600+).
If you need the CSV files structured differently let me know.
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Love the app, once you know which direction every screen is it's very intuitive. Much better than a big menu in the whole app imo, looks way more clean and simple.
One tiny detail that is the clarkmoody chart does not fit in the screen (portrait, iPhone 4, iOS 7), I now get a tiny vertical scrollbar.
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Sorry for hijacking your topic but people using this tool might find this handy: Using the database downloaded by the trade data downloader I wrote a tiny candleCalculator which calculates candles based on the trades in this database. I already calculated all hourly candles from Jun 26 2011 19:00:00 up to May 23 2013 16:00:00 (for BTCUSD, 16,699 candles), you can download them here. If anyone wants to calculate their own candles check out the thread for the script. (it's a small and easy script but you could always port it to python to make it part of the trade data downloader.) |
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I am working on backtesting for my trade bot Gekko and I created a simple script to calcuate candles on MtGox data. This script will output a csv file with all candles. Nitrous has created a great tool which can download all trade data and calculate candles based on this trade data. Check it out in the Mt. Gox data downloader thread. Downloadable candlesI've ran the script myself for a couple of candle durations on a couple of markets, here are the download links: Hourly4 HourlyDailyOther timeframes (provided by Nitrous)Calculate your own candlesEDIT2: If you have a copy of Microsoft excel you can use the data from Bitcoincharts to create your own candles for a number of exchanges and makets. Read the whole method here. (big thanks to TradesLikeAPotato) EDIT: Nitrous has created a great tool which can download all trade data and calculate candles based on this trade data. Check it out in the Mt. Gox data downloader thread. If you want to use my older script here is the howto: You can also use the script to calculate your own candles (for example: weekly, daily, 4hourly, 15min, 5 min, 1min, 514 seconds, etc. candles): The simple script requires a local copy of a database with MtGox trades. To download this database you should use Nitrous' excellent trade data downloader. Once you have this database: - Install nodejs
- Install npm (you can skip this on Windows and OS X if you used the installers)
- Download the script and put it somewhere close to database dump (from the trade data downloader).
- Go to the directory in command line or terminal.
- Open candleCalculator.js in a texteditor and edit the candle vars to your needs (adjust the startTime, endTime and candleDuration)* also check to see if `mtgoxDump` points to the correct file (it is as long as it's called dump.sql and is in the same directory)
- type in: npm install moment underscore sqlite-wrapper
- type in: node candleCalculator.js
- watch it go! Once every 10 candles it will write them to the csv file (candles-[script start timestamp].csv).
Notes: - It is advised to index the date column (Money_Trade__) of the database before you start calculating candles. This will extremely speed up the time it takes to calculate the candles: without it takes 40+ hours on my VPS (with SSD) and with it it takes less than 5 minutes to calculate all hourly USD candles.
- As of now the script will report the following OHCL for a candle that did not have any trades: open: NaN, high: -Infinity, low: Infinity, close: NaN. If you don't want them strip them out after run or add a simple check at line 48.
*If you're not sure how to edit the dates and durations please see the docs of momentjs. |
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Not sure if you are still in need, but I just came across this image widget:  You can just add an image with this link to the site: https://btcticker.appspot.com/mtgox/1.00btc.pngand it will display the current price in USD. I don't know how reliable this widget is though. |
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I am really impressed by the interface / website, it really looks professional. Good job! Love the idea of the built in simulator. A few suggestions.
1. when creating a simulation it automatically chooses tomorrow as the end date but that is in the future and won;t let you move forward. Have it choose today or yesterday as the end date by default.
2. There doesn't appear to be a way to edit or view the details of you trading simulations or traders. You have to create a new one everytime. Change that.
3. The initial "Balance" doesn't specify the currency. Add something that tells the user it is US dollars.
Just tested the simulation and came to the same points. I would also like to add: It took me a while to figure out that simulation is a backtesting tool after trying to setup a simulator for the next couple of months 3 times. It now appears that when reloading the simulations overview page it will load in the simulations after a few seconds, but until that time it will say that you don't have any. edit: someone adviced talib as TA library in my bots thread, maybe that is something you could use to get over 100+ indicators? There is a npm wrapper for it. |
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the 0.25 threshold is for adjusting how flat a trend can be. This strategy doesn't take fees into account because it only tries to predict trends and it doesn't know how far a trend will go (and thus how much profit you'll get).
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### (https) calling https://data.mtgox.com/api/2/money/info
{u'success': False, u'message': u'CONF Redis is configured to save RDB snapshots, but is currently not able to persist on disk. Commands that may modify the data set are disabled. Please check Redis logs for details about the error.', u'
id': u'info', u'token': u'unknown_error', u'op': u'remark'} That is an error straight from MtGox. |
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In addition to a flat fee systems, fees need to get a lot lower imo.
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 Ah, nothing I want to do is straight forward, heh.. I don't suppose anyone knows of any website offering a c+p .. premade ticker thing?  Else I will find a different host who are dumbass friendly but offer php/java Ty for the replies also!  I don't think it will be easy as drag/drop unfortunately. Do note that I was talking about Javascript which is completely different from java, the first one does not need to be supported by the website hoster (only allowed because of security if you have something like a drag and drop websitemaker) and the second thing is something they need to install, support and offer to you. |
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You don't need a server side language like PHP and no drag and drop site maker I know of supports custom server side stuff. You also can't do it in HTML as it is no programming language but a markup language.
I would check if they support javascript snippets (or script tags). If Javascript (JS) is not allowed the only other option I can think of is to load an external image with the price embedded in the picture. This means that you need someone that will parse the price every minute or something and embed it in a picture.
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The latest version quites for me immediately after sending a notification email:
Oops, fixed now |
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I just did a big internal update to Gekko: Gekko now calculates candles under the hood and uses the close as a price indicator. AFAIK this is a way more standard way to calculate indicators based on price. This may stabilise the calculated prices. This is a big step towards implementing a system that supports over a 100 different indicators ( ta-lib) because it needs to get candles fed. It also makes it much easier to get backtesting rolling. It would be awesome if anyone could let it spin for a testrun (I would advice downloading this in addition to the old version, as it's pretty new and the code really needs to get solid. I would advice against real trading for now). If anyone could glance at the (much more readable) code that would be awesome. I use http://bitcoinwisdom.com/ for the ticker information and looks like they group their results in some way. This might explain the difference because if you group all results you get a weighted average compared to a normal average of the latest trades. I am desperately searching for the common way to calculate price based on trades (in the new version I calculate candles and use the close as a price indicator). You could check the new version out to see wether it better matches other services |
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Is there any particular reason to limit sample fetch with 200 ?
The only reason for the sample fetch is to create initial EMAs, the older the sample the (exponentially) smaller the impact on the first EMA becomes. So if you increase the sample size you are just hammering Mt. Gox for a lot of trade data that impacts your EMAs only by a tiny amount. This image shows the importance of older data versus newer data in EMA, the specific numbers depend on the weight factor (ie 10 and 21).  |
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Their API is also not working properly at this moment (atleast the `MONEY/TRADES/FETCH` call).
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Gekko will ask for the most recent trades and the price is the average of all trades that happened after (date of most recent trade - sampleSize in seconds).
It appears that Mt. Gox sometimes doesn't deliver the most recent trades but a bit more outdated ones. But I will have to do some more research to make sure.
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hmm that's strange.
Gekko currently calculates EMA based on prices calculated a little different than it should (not based on candle Close but on a couple of trades around that time). I am currently rewriting Gekko to a candle based price calculation approach.
Could you post the the previously calculated tick? And did Gekko trigger a sell at the next tick?
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What do you mean by a functional website? Websites nowadays are mostly: complex applications (think gmail, google docs, google maps, spotify for web), front ends to large server applications (bitcoin exchange, search engine, etc) or simple web pages (blog, company websites). - If you are just talking about a couple of webpages with information you don't need to do any programming really.
- Are you talking about creating a platform for trading (graphs, etc), in that case you probably want to look at client side stuff like javascript (and some server stuff to keep xxxx websockets open).
- If you want to create something user oriented like a community or something you probably want to invest in server side stuff like python (maybe the django framework), ruby (RoR) or even PHP
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