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June 28, 2013, 06:04:40 AM |
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The MtGox WebSocket API is a firehose of depth updates. I know some of you store this data as it is generated and I've just started to do the same, but I'd really like a historical archive of depth data for use in my own trading simulations. MtGox itself seems to offer the full *current* set of depth messages but as hard as I've tried, I can't seem to find an archive of depth messages that I can aggregate and query to show me what the depth and spread on a given historical date and time was.
Does anyone have a relatively complete, and up to date archive of this data that you've been capturing for at least the last few months? I saw a thread where somebody had offered an archive for 2012 data, but they'd been truncating fractions of a bitcoin, which reduces the accuracy. I'd potentially be willing to offer payment in BTC if the data is of a good quality. Plain old raw, parsable JSON messages saved as text would be more than enough.
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