I want to start automated trading with Bitcoins but before I am going to release my bot on the real market I'd like to test it on a simulator.
For that purpose I downloaded historical data from MtGox using the script from this thread:
https://bitcointalk.org/index.php?topic=6193.msg1839260#msg1839260So, it says that it "converts the data into a weighted price 1min data feed format". Here an excerpt of the CSV File:
1373391734,75.5171707349,5.84535451
1373391675,75.4520922993,4.15052059
1373391585,75.489630831,6.33916188
1373391371,75.3959619482,6.33916188
1373391258,75.3544089968,18.96947156
1373391090,75.365,2.37167584
Column 1 denotes the timestamp, i.e. 1373391734 = Tue, 09 Jul 2013 17:42:14 GMT
The second column would be VWAP calculated over one minute bins and the third column contains the volume traded in this one minute bin. Is that right?
To make the simulation a little bit more realistic I am thinking about a delay of ~10min until your offer is accepted with a 80% chance if you want to trade at the current VWap (this chance might increase/decrease based on how far your offered price is from the VWap).
Any other hints would be greatly appreciated
