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Author Topic: MTGOX depth  (Read 567 times)
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May 10, 2013, 06:08:31 AM

I'm trying to build a some depth data for MtGox, actually I only need around 10 values deep each side of the spread.

Gox seems to build the full depth data periodically, so its is often >20minutes old. (This seems the same for all the API versions).
The streaming websocket sends data in real time which I can apply to this full depth data, but this leaves a gap of depth updates between the time of gox full depth updated and when my program starts running.

I only see one option, and that is to run a process permanently that stores the streaming data, and once I get a full depth file that returns timestamps beyond the earliest streaming data I have stored, I can
  1) Make my initial depth hash equal to the full depth data file
  2) Then apply the streaming data

I must be missing something obvious, Isn't there an easier way?

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