100 Days of MtGOX Trading Data

[IIzzII]

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

[QuantPlus]

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.

[QuantPlus]

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

[taplak]

the link is broken    you can upload again