Real Time Charting, Order Book, and Time & Sales

[Narydu]

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

[Clark]

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

Much appreciated 

[2weiX]

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]

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 Very nice job.

[Clark]

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 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/

[Ente]

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]

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...

[2weiX]

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]

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.

[2weiX]

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]

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]

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.

[genuise]

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]

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)

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.

[genuise]

thank you, molecular

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]

thank you, molecular

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

[genuise]

thank you, molecular

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]

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.

[genuise]

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]

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.