Bitcoin Trade Volume 24h Periodicity

[elux]

An observation:

Bitcoin trade volume resembles a periodic function with a period of 24 hours.



 
Large multi K trades are somewhat more unpredictable, any discernible pattern there?

Peak volume seems to occur around UTC 00.00 minus ~3hrs or so. Low volume hours from around UTC +3 to 6-ish?



The indicator is a (Percentage) Volume Oscillator.



http://bitcoincharts.com/charts/mtgoxUSD#rg10zigHourlyzm1g10zm2g21zxzi1gPVOzv

A bit of playing around on Bitcoincharts shows that this 24 hour periodic volume oscillation is real and persistent but upset in times of shock and drama.

Conclusion: If you're gonna buy or sell big, best do so at low volume hours? (Fewer traders will be online, and able to react?)

I assume this is a known phenomenon, are there any previous discussions on this?

[Stephen Gornick]

Conclusion: If you're gonna buy or sell big, best do so at low volume hours? (Fewer traders will be online, and able to react?)

If I'm trying to buy a ton, the asks in the order book might be a little thin.   I might want there to be sellers around to see the price rise and send more of their coins to the exchange for sale.  If I had moved rapidly or in one fell swoop, I might have overpaid.

But this is good to see a visual of how the cycle is so consistent.

[Severian]

Trading bots have to be accounted for also. I took this screen cap this morning at about US 0500 ET:



Someone's algo bot went full metal jacket.

[elux]

Investopedia: Confirming Price Movements With Volume Oscillators

When volume is low, but gains and losses are big, the professionals tend to get overly excited about a possible turn in market direction.
That's because many have been taught that without strong volume, a market move is not valid.
Here we look at how to interpret volume and the principles behind doing so.

...

Interpretation
If a market is rallying, the volume oscillator should rise. When the issue becomes overbought, the oscillator will reverse its direction. If the market is declining or moving in a horizontal direction, the volume should contract. Always keep in mind that we are measuring changes in volume, and volume expands during a sell-off. It is important to note that an increasing price, together with declining volume, is always, without exception, bearish. When the market is at the top, one would therefore see an oversold volume chart. Another important fact is that rising volume, together with declining prices, is also bearish.

...

http://www.investopedia.com/articles/technical/02/082702.asp#axzz27lLxQcNW

The Price / Volume Relationship: Volume leads Price. Always. And without exception.

In order to comprehend how the above statement (both in concept and in practice) represents a true and accurate assessment of market dynamics, a trader needs to understand the basic structure of all markets and how such markets operate. Since all markets represent a fractal nature, it turns out, Mandelbrot had it right all along. By correctly and thoroughly applying a framework, in an effort to ‘see’ the various fractals operating on a market, a trader can begin to see the Price / Volume Relationship at work – all day, every day.

Succinctly, unless and until the components of one fractal reach completion, the next slower fractal cannot begin. It trading terms, unless and until the Volume Cycle Sequences reach completion, the current Price Trend cannot end.

In general terms: if Volume is increasing, then the Price Trend is continuing.

Such is the essence of the Price / Volume Relationship.

Much debate has ensued over the years with respect to whether or not Volume represents helpful and / or useful information with respect to understanding Price change. In addition, those individuals who do find value in Volume analysis have long argued their viewpoint for the best methodology for divining the information from Volume itself.

...

http://www.traderslaboratory.com/forums/technical-analysis/6320-price-volume-relationship.html

[Spekulatius]

The Price / Volume Relationship: Volume leads Price. Always. And without exception.

In order to comprehend how the above statement (both in concept and in practice) represents a true and accurate assessment of market dynamics, a trader needs to understand the basic structure of all markets and how such markets operate. Since all markets represent a fractal nature, it turns out, Mandelbrot had it right all along. By correctly and thoroughly applying a framework, in an effort to ‘see’ the various fractals operating on a market, a trader can begin to see the Price / Volume Relationship at work – all day, every day.

Succinctly, unless and until the components of one fractal reach completion, the next slower fractal cannot begin. It trading terms, unless and until the Volume Cycle Sequences reach completion, the current Price Trend cannot end.

In general terms: if Volume is increasing, then the Price Trend is continuing.

Such is the essence of the Price / Volume Relationship.

Much debate has ensued over the years with respect to whether or not Volume represents helpful and / or useful information with respect to understanding Price change. In addition, those individuals who do find value in Volume analysis have long argued their viewpoint for the best methodology for divining the information from Volume itself.

...

http://www.traderslaboratory.com/forums/technical-analysis/6320-price-volume-relationship.html

I disagree. This whole article seems speculative, like it admits towards the end. There can be price rise without volume rise, only after some time this trend becomes validated by a rise in volume or it collapses if no volume rise sets in. The premise price>follows>volume is not (always) true. Also I fail to see how some "Volume Cycle Sequences" needs to be completed before a trend change can happen. If you take a look at historic charts (e.g. the Jan '12 to March '12 period in total) no "Volume cycles" are completed and yet the trend changes.

@ OP: Nice visualization of volume patterns! I couldnt have put it better. The peaks always seem to confluence with early evening hours of the US East Coast. Too bad I have to stay up so long to catch that time frame from where I am (Germany) :X

[elux]

I disagree. This whole article seems speculative, like it admits towards the end. There can be price rise without volume rise, only after some time this trend becomes validated by a rise in volume or it collapses if no volume rise sets in. The premise price>follows>volume is not (always) true. Also I fail to see how some "Volume Cycle Sequences" needs to be completed before a trend change can happen. If you take a look at historic charts (e.g. the Jan '12 to March '12 period in total) no "Volume cycles" are completed and yet the trend changes.

@ OP: Nice visualization of volume patterns! I couldnt have put it better. The peaks always seem to confluence with early evening hours of the US East Coast. Too bad I have to stay up so long to catch that time frame from where I am (Germany) :X

Yeah, I quoted this mostly because it was so damn bold. (And hence, very likely wrong.)  

Any statement of the form: The market...always...something will always be wrong. (At least once, and likely often.)

[obisunk]

We as humans, do sleep. 

[elux]

But this shows that Bitcoin is currently more ameripean than global.

[Spekulatius]

But this shows that Bitcoin is currently more ameripean than global.

Eventually, there will be only ONE big trough of daily volume: The Pacific Ocean!