Bitcoin Forum
December 11, 2016, 12:34:49 AM *
News: Latest stable version of Bitcoin Core: 0.13.1  [Torrent].
 
   Home   Help Search Donate Login Register  
Pages: « 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 [16] 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 »
  Print  
Author Topic: Real Time Charting, Order Book, and Time & Sales  (Read 82117 times)
Narydu
Donator
Hero Member
*
Offline Offline

Activity: 712



View Profile WWW
August 30, 2012, 03:23:43 AM
 #301

Love your site! Thanks for the effort to keep it free and so funktiona! Just donated some to you!

1481416489
Hero Member
*
Offline Offline

Posts: 1481416489

View Profile Personal Message (Offline)

Ignore
1481416489
Reply with quote  #2

1481416489
Report to moderator
1481416489
Hero Member
*
Offline Offline

Posts: 1481416489

View Profile Personal Message (Offline)

Ignore
1481416489
Reply with quote  #2

1481416489
Report to moderator
1481416489
Hero Member
*
Offline Offline

Posts: 1481416489

View Profile Personal Message (Offline)

Ignore
1481416489
Reply with quote  #2

1481416489
Report to moderator
Advertised sites are not endorsed by the Bitcoin Forum. They may be unsafe, untrustworthy, or illegal in your jurisdiction. Advertise here.
1481416489
Hero Member
*
Offline Offline

Posts: 1481416489

View Profile Personal Message (Offline)

Ignore
1481416489
Reply with quote  #2

1481416489
Report to moderator
1481416489
Hero Member
*
Offline Offline

Posts: 1481416489

View Profile Personal Message (Offline)

Ignore
1481416489
Reply with quote  #2

1481416489
Report to moderator
Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
August 30, 2012, 03:38:00 AM
 #302

Love your site! Thanks for the effort to keep it free and so funktiona! Just donated some to you!

Much appreciated  Smiley

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
2weiX
Legendary
*
Offline Offline

Activity: 1638


View Profile
September 29, 2012, 10:04:53 AM
 #303

down.
probably blocked due to a change of policy in calling the full depth api.


please lobby to reinstate the once per minute limit!
Foxtra
Newbie
*
Offline Offline

Activity: 28



View Profile
September 29, 2012, 10:34:25 AM
 #304

Very nice charts. Was looking for something like in order to try technical analysis with BTC/EUR. I would like to know if it would be possible to add Bollinger bands RSI, MACD etc...
Just asking of course Smiley Very nice job.

Searching for Silver  (https://bitcointalk.org/index.php?topic=114063.0)?
Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
September 29, 2012, 03:45:29 PM
 #305

down.
probably blocked due to a change of policy in calling the full depth api.


please lobby to reinstate the once per minute limit!

I'm not seeing a problem from here. And I have lobbied for some better service quality from Mt.Gox, but they do not seem interested at this time.



Very nice charts. Was looking for something like in order to try technical analysis with BTC/EUR. I would like to know if it would be possible to add Bollinger bands RSI, MACD etc...
Just asking of course Smiley Very nice job.

Thanks very much! My upcoming trading platform will have much-enhanced charts that may be fully customized. You can sign up for an email update when it launches at https://rtbtc.com/

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
Ente
Legendary
*
Offline Offline

Activity: 1834



View Profile
November 16, 2012, 12:13:33 PM
 #306

Thank you for this great tool! I love it! :-)

I just had an idea: How about one could highlight a line in the orderbook? Like clicking on 11.0 and 11.0123 and 11.2 and those entries would be, well, highlighted. Click again to undo.

Why? I do several small orders, and try to adjust to the changes in the orderbook. Highlighting my own orders, for example, would help a lot for the overview.

Cheers!

Ente
Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
November 19, 2012, 11:52:15 PM
 #307

Thank you for this great tool! I love it! :-)

I just had an idea: How about one could highlight a line in the orderbook? Like clicking on 11.0 and 11.0123 and 11.2 and those entries would be, well, highlighted. Click again to undo.

Why? I do several small orders, and try to adjust to the changes in the orderbook. Highlighting my own orders, for example, would help a lot for the overview.

Cheers!

Ente

Thanks! I will take your idea into consideration. Something to that effect will probably show up in the future...

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
2weiX
Legendary
*
Offline Offline

Activity: 1638


View Profile
November 20, 2012, 06:35:53 AM
 #308

Thank you for this great tool! I love it! :-)

I just had an idea: How about one could highlight a line in the orderbook? Like clicking on 11.0 and 11.0123 and 11.2 and those entries would be, well, highlighted. Click again to undo.

Why? I do several small orders, and try to adjust to the changes in the orderbook. Highlighting my own orders, for example, would help a lot for the overview.

Cheers!

Ente

idea:  a user based login-solution with access to mtgox API so one could really TRADE via the orderbook depth view with own orders highlighted.
Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
November 20, 2012, 07:03:43 AM
 #309

idea:  a user based login-solution with access to mtgox API so one could really TRADE via the orderbook depth view with own orders highlighted.

Now you've got it!

Head over to https://rtbtc.com/ and I'll update you when the new trading platform launches.

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
2weiX
Legendary
*
Offline Offline

Activity: 1638


View Profile
November 20, 2012, 07:17:20 AM
 #310

idea:  a user based login-solution with access to mtgox API so one could really TRADE via the orderbook depth view with own orders highlighted.

Now you've got it!

Head over to https://rtbtc.com/ and I'll update you when the new trading platform launches.

sorry, I hadn't read the thread, just replied to Ente, since he generally has good ideas :-D
so yesh, looking forward!
elux
Legendary
*
Offline Offline

Activity: 1455



View Profile
November 23, 2012, 08:45:27 PM
 #311


Bug report:

wrong - no more than 15K... check the data

Weird. Clark Moody did indicate 30K volume from ~11.7 to 12.00.
And 5-6K more up from ~12.00 up to 12.10 some minutes later.


It's my service bitcoin-analytics.com.
and yes I had reprted those volume descripancies to clark before.

We on bitcoin-analytics.com get trading data from bitcoincharts.com and clark uses mtgox streamAPI so this possibly is the cause of differences.
In general the difference is that clark's service shows double volume than ours at spikes. And at spikes it is clearly visible. But I guess it is not big deal cause it seams nobody really cares... Althought I think this is very important.

Clark: This is not good.

I mean, imagine if the kitco had an intermittent and erroneous 2x volatility multiplier. Scandal.
Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
November 23, 2012, 11:57:40 PM
 #312


Bug report:

wrong - no more than 15K... check the data

Weird. Clark Moody did indicate 30K volume from ~11.7 to 12.00.
And 5-6K more up from ~12.00 up to 12.10 some minutes later.


It's my service bitcoin-analytics.com.
and yes I had reprted those volume descripancies to clark before.

We on bitcoin-analytics.com get trading data from bitcoincharts.com and clark uses mtgox streamAPI so this possibly is the cause of differences.
In general the difference is that clark's service shows double volume than ours at spikes. And at spikes it is clearly visible. But I guess it is not big deal cause it seams nobody really cares... Althought I think this is very important.

Clark: This is not good.

I mean, imagine if the kitco had an intermittent and erroneous 2x volatility multiplier. Scandal.



I'm going to need more specifics about where the double volume is showing up. Is it in the order book, time & sales, or chart? All of them?

As you quoted, I am trying to report the data that MtGox streams. Let's not get the word 'scandal' mixed up in this, as everything about Bitcoin is still beta, lol.

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
genuise
Sr. Member
****
Offline Offline

Activity: 375


View Profile WWW
November 24, 2012, 05:16:38 AM
 #313

Hi, Clark,

as it was me who made initial statement I post here just to clear the question.

In any case please do  not consider this as unfriendly. We really appriciate your greate service.



As I already reported to you similar issues it is also interesting for me what is the thechnical problem and solution for this.
Please tell your opinion.

molecular
Donator
Legendary
*
Offline Offline

Activity: 2142



View Profile
November 24, 2012, 11:40:34 AM
 #314

Hi, Clark,

as it was me who made initial statement I post here just to clear the question.

In any case please do  not consider this as unfriendly. We really appriciate your greate service.



As I already reported to you similar issues it is also interesting for me what is the thechnical problem and solution for this.
Please tell your opinion.

I happen to have captured the MtGox trade stream at that point in time... maybe that helps (note that time is shown as 04:39 due to timezone stuff, also note that this data is filtered by price_currency == 'USD'). It seems to have been exactly one trade, amount 1700 BTC, no other trade happened on that minute (04:39)

Quote
2012/11/24-04:36:42: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'ask', 'price_int': '1235000', 'item': 'BTC', 'price': Decimal('12.35'), 'primary': 'Y', 'tid': '1353728200497158', 'amount': Decimal('15.25'), 'amount_int': '1525000000', 'date': 1353728200, 'type': 'trade', 'properties': 'market'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:36:46: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'ask', 'price_int': '1235000', 'item': 'BTC', 'price': Decimal('12.35'), 'primary': 'Y', 'tid': '1353728205806359', 'amount': Decimal('0.1619'), 'amount_int': '16190000', 'date': 1353728205, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:38:18: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'ask', 'price_int': '1235000', 'item': 'BTC', 'price': Decimal('12.35'), 'primary': 'Y', 'tid': '1353728297163032', 'amount': Decimal('0.20596148'), 'amount_int': '20596148', 'date': 1353728297, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:38:38: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'ask', 'price_int': '1235000', 'item': 'BTC', 'price': Decimal('12.35'), 'primary': 'Y', 'tid': '1353728316444418', 'amount': Decimal('199.999'), 'amount_int': '19999900000', 'date': 1353728316, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:38:58: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1235979', 'item': 'BTC', 'price': Decimal('12.35979'), 'primary': 'Y', 'tid': '1353728337722592', 'amount': Decimal('0.3997868'), 'amount_int': '39978680', 'date': 1353728337, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:39:34: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'ask', 'price_int': '1235000', 'item': 'BTC', 'price': Decimal('12.35'), 'primary': 'Y', 'tid': '1353728373761573', 'amount': 1700, 'amount_int': '170000000000', 'date': 1353728373, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:40:53: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1235979', 'item': 'BTC', 'price': Decimal('12.35979'), 'primary': 'Y', 'tid': '1353728452996272', 'amount': Decimal('2.14360197'), 'amount_int': '214360197', 'date': 1353728452, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:43:09: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1235980', 'item': 'BTC', 'price': Decimal('12.3598'), 'primary': 'Y', 'tid': '1353728586773963', 'amount': Decimal('0.2'), 'amount_int': '20000000', 'date': 1353728586, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:43:10: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1236000', 'item': 'BTC', 'price': Decimal('12.36'), 'primary': 'Y', 'tid': '1353728586838886', 'amount': Decimal('0.3295101'), 'amount_int': '32951010', 'date': 1353728586, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:43:10: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1238000', 'item': 'BTC', 'price': Decimal('12.38'), 'primary': 'Y', 'tid': '1353728586886884', 'amount': Decimal('7.26904289'), 'amount_int': '726904289', 'date': 1353728586, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:43:10: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1238520', 'item': 'BTC', 'price': Decimal('12.3852'), 'primary': 'Y', 'tid': '1353728586934047', 'amount': Decimal('8.05767555'), 'amount_int': '805767555', 'date': 1353728586, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}
2012/11/24-04:43:10: {'origin': 'broadcast', 'trade': {'price_currency': 'USD', 'trade_type': 'bid', 'price_int': '1238600', 'item': 'BTC', 'price': Decimal('12.386'), 'primary': 'Y', 'tid': '1353728586978244', 'amount': Decimal('0.0239058'), 'amount_int': '2390580', 'date': 1353728586, 'type': 'trade', 'properties': 'limit'}, 'private': 'trade', 'channel': 'dbf1dee9-4f2e-4a08-8cb7-748919a71b21', 'op': 'private'}

also note: I think that first timestamp in each line is my system time. The trades unix time is: 1353728373, which translates to "2012-11-24 04:39:33"

EDIT: I also just checked: the trade with that id (1353728373761573) only appears once in my dataset (ranging from 2012/11/23-11:19:06 to 2012/11/24-12:52:10). Also no other trade of volume 1700 BTC appears in my data.

PGP key molecular F9B70769 fingerprint 9CDD C0D3 20F8 279F 6BE0  3F39 FC49 2362 F9B7 0769
genuise
Sr. Member
****
Offline Offline

Activity: 375


View Profile WWW
November 24, 2012, 12:13:57 PM
 #315

thank you, molecular Smiley

very good that you also payed attention.

As a side note: the type of trade set by mtgox is ASK and logical meaning is definitly that 1.7K BTC were sold. So as I read somewhere else mtgox sets trade type based on original order type which initiated execution.
In our analytics implementation we currently calculate the bid/ask type of the trade based on the order book and trade price because bitcoincharts stream does not provide this information at all.
Aknowledging this particular thing with mtgox api format will be very helpfull for our own mtgox api interface implementation.

thank you once more.

molecular
Donator
Legendary
*
Offline Offline

Activity: 2142



View Profile
November 24, 2012, 01:50:35 PM
 #316

thank you, molecular Smiley

you're welcome. I quite like your charts, btw. Is there a thread about it? I might have some questions/remarks.

PGP key molecular F9B70769 fingerprint 9CDD C0D3 20F8 279F 6BE0  3F39 FC49 2362 F9B7 0769
genuise
Sr. Member
****
Offline Offline

Activity: 375


View Profile WWW
November 24, 2012, 01:53:51 PM
 #317

thank you, molecular Smiley

you're welcome. I quite like your charts, btw. Is there a thread about it? I might have some questions/remarks.

thank you too,  
yes sure if only clark don't mind posting it here...

https://bitcointalk.org/index.php?topic=82768.0

Anyway I think everybody will agree that we all are interested in well thought discussions about such techincal and financial issues

Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
November 24, 2012, 05:52:46 PM
 #318

Thanks so much for the details!

Here is a screenshot from the site as it stands currently:



It looks as if the historic chart data that loads from the server is correct at least. That means the problem is happening with the real time feed. I have confirmed that my server-side database contains just one trade at that time (I also show 5 trades total with that volume - 1700BTC. Just a bit of trivia.)

Also note that the candles shown in my screenshot differ from those created in real time by the streaming feed.

I think bitcoincharts creates its graphics using polled historic data only, so it will not experience this problem. I'm not sure about bitcoin-analytics and whether the charts are created from streaming or polled data.

The discrepancy in candle shapes could be chalked up to timing differences / lag in the streaming feed over the stored MtGox database information. The double-volume bug, however, is more elusive. It would be nice to have a screenshot of the Time & Sales from that moment, so see if the trade showed up twice in that feed. If it so happened that the platform somehow had two connections to the streaming data (through the disconnect/reconnect behavior of the MtGox feed resetting every hour), then it would get double the data, and the chart would add trades twice.

As for a solution to this problem, it seems like it's probably going to be complicated. Since we're using socket.io to get the streaming data, we have to deal with black-box software. I'm not convinced that we don't have multiple connections to the streaming data sometimes. Diagnosing bugs like this usually involve waiting for something to happen in the real time feed again, which could take time.

I could put together a hack that reloads the chart data every so often, but that would ramp my server bandwidth usage and simply patch over this problem. I could instruct socket.io to NOT reconnect upon failures, requiring a site refresh, but our current reconnect solution is the result of complaints over having to refresh the page.

Maybe we could all keep looking more closely at the feed to notice if the Time & Sales starts showing double trades. I will look over the code again to see if there's any fix to be had there. Thanks for pointing this out to me.

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
genuise
Sr. Member
****
Offline Offline

Activity: 375


View Profile WWW
November 24, 2012, 06:01:31 PM
 #319

Hi, Clark,

I tried to refresh your page in my browser (Chrome) and pan the chart on M1 scale back to that spike, and unfortunately it still shows 3400 volume.

Can you reproduce this behaviour? Or what should I do to reload the trades to see 1700 volume?

UPD: tried to load in IE which I use extremely rarely for testing - the same 3400 volume


Clark
Hero Member
*****
Offline Offline

Activity: 540


So much code.


View Profile WWW
November 24, 2012, 06:09:56 PM
 #320

Hi, Clark,

I tried to refresh your page in my browser (Chrome) and pan the chart on M1 scale back to that spike, and unfortunately it still shows 3400 volume.

Can you reproduce this behaviour? Or what should I do to reload the trades to see 1700 volume?

UPD: tried to load in IE which I use extremely rarely for testing - the same 3400 volume




Oh wow, you are correct. I guess I was looking at the result of the streaming construction of the chart on a tab that has been open for ~14 hours. So this means that the streaming chart was correct in this case.

So the problem might lie in the server implementation of bar generation. The trade shows up once in the database, but the way that trades are turned into bars might have been corrupted.

I will investigate further.

PGP KEY | 1Bitcoin3Tg2KWyAq3wzivdqwYqGwKYaGd
Pages: « 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 [16] 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 »
  Print  
 
Jump to:  

Sponsored by , a Bitcoin-accepting VPN.
Powered by MySQL Powered by PHP Powered by SMF 1.1.19 | SMF © 2006-2009, Simple Machines Valid XHTML 1.0! Valid CSS!