Warning to the bulls...

[mjcmurfy]

I posted these charts in another thread, but thought I might as well go ahead and create a new home for them. I have been collecting data on the order book depth on MtGox, in addition to actual trading activity, since around the 14th of December and I have created a few historical charts that might be of interest to some of the traders here. I am not trying to spread FUD, I am trying to provide data. Make of it what you will.



This graph shows the total bitcoin supply in red, adjusted to fit on the scale of the mtgox supply figures in blue. This chart shows a significant divergence between the total available supply, and the total actual supply visible on mtgox's order books. As you can see, the gap has just today started to close. What this indicates to me is that a significant amount of the mined coins have been held over the past few weeks, and a correction is overdue... but on it's way.



These charts show the historical total aggregate demand in dollars as well as the total mtgox supply.



These charts show the daily change in both supply (figures in btc) and demand (figures in $).

Trade volume activity (collected since the 21st):

21/12/2011 15:53 - Bid (buy) Volume: $92607, Ask (sell) Volume: $108854 => Net $16,247 sell
22/12/2011 23:58 - Bid (buy) Volume: $83754, Ask (sell) Volume:  $188171 => Net $104,417 sell
24/12/2011 11:52 - Bid (buy) Volume: $124414, Ask (sell) Volume: $159448 => Net $35,034 sell
25/12/2011 16:00 - Bid (buy) Volume: $116765, Ask (sell) Volume: $143122 => Net $26,357 sell
26/12/2011 13:30 - Bid (buy) Volume: $134398, Ask (sell) Volume: $188173 => Net $53,775 sell
27/12/2011 23:59 - Bid (buy) Volume: $166066, Ask (sell) Volume: $193020 => Net $26,954 sell
28/12/2011 05:45 - Bid (buy) Volume: $174779, Ask (sell) Volume: $198527 => Net $23,748 sell
29/12/2011 21:20 - Bid (buy) Volume: $203902, Ask (sell) Volume: $228877 => Net $24,975 sell
30/12/2011 23:59 - Bid (buy) Volume: $203871, Ask (sell) Volume: $334398 => Net $130,527 sell

From the data above, you can see that over the past 10 days there has been a net selling activity of $442,034, yet somehow the price has stayed at roughly the same level. There has not been one single day where the buy volume in dollars has exceeded the selling volume in dollars.

To me, this is a stark indication of profit taking. In addition, there is significant market manipulation going on keeping the price artificially afloat in order to take more and more money from buyers. Despite all the selling, it was all followed by low volume rebuys occurring right after the sales in order for the big players to 'cover their tracks' if you will.

This stinks of an impending fall back to lower price levels, because you can only mislead bulls for so long before they either run out of money or rationality kicks back in.

Take this data for what you will, but I think it speaks for itself. I have no idea what way the price is going to go right now, but considering the fact that the MCAD is showing 39 days of positive price divergence, and the RSI has been >70 for 12 days, I know which direction I am betting on.

Make sure you get yourself onto the right side of the market soon.

[echowhiskey]

I've been reading a bit on technical indicators.  Is it not a bull signal when price increases with falling volume?  I do not remember the specific indicator; if anyone could help me out I'd appreciate it.

[cypherdoc]

I've been reading a bit on technical indicators.  Is it not a bull signal when price increases with falling volume?  I do not remember the specific indicator; if anyone could help me out I'd appreciate it.

the Dow rose 110% btwn 3/09 and 5/11 on decreasing, low volume.  it was one of the most amazing rallies i've ever seen of course driven by QE 1&2.  We're about to get QE3 soon.

[mjcmurfy]

I've been reading a bit on technical indicators.  Is it not a bull signal when price increases with falling volume?

Maybe at the start of a rally, in a market in which the supply is not manipulated, but definitely not at the end of one - which is where we are at today.

[CliffordM]

Can you define your terms  of traded buys and sells a bit more precisely?

[echowhiskey]

Here, I found it

http://en.wikipedia.org/wiki/Negative_volume_index

Dysart’s theory, expressed in his 1967 Barron's article, was that “if volume advances and prices move up or down in accordance [with volume], the move is assumed to be a good movement - if it is sustained when the volume subsides.” In other words, after prices have moved up on positive volume days, "if prices stay up when the volume subsides for a number of days, we can say that such a move is 'good'." If the market “holds its own on negative volume days after advancing on positive volume, the market is in a strong position.”

https://i.imgur.com/g2WXM.png

Is this right?

[cypherdoc]

Here, I found it

http://en.wikipedia.org/wiki/Negative_volume_index

Dysart’s theory, expressed in his 1967 Barron's article, was that “if volume advances and prices move up or down in accordance [with volume], the move is assumed to be a good movement - if it is sustained when the volume subsides.” In other words, after prices have moved up on positive volume days, "if prices stay up when the volume subsides for a number of days, we can say that such a move is 'good'." If the market “holds its own on negative volume days after advancing on positive volume, the market is in a strong position.”



Is this right?

nothings ever right more than once...

[mjcmurfy]

Can you define your terms  of traded buys and sells a bit more precisely?

I wrote a quick program to parse through every trade on MtGox over the past 24 hours, the data for which is obtained directly from the MtGox API. It multiplies the total amount of btc traded by the price paid for each trade. The figures I have posted are the totals of this parsing.

[mjcmurfy]

I wish there was a way to reliably measure liquidity on Gox, but there is not. You can not tell what liquidity levels are by looking at trade volume or the order book, there is no way to prove what fraction of liquidity it actually represents.

I know, and I wish there was too. There is a ton of both usd and btc sitting silently off the books on MtGox, and that is before we even broach the topic of bitcoinica's darkpool. But we do have specific and reliable data on the total bitcoin supply, unlike in any other real world market, and it cannot be hidden from view or otherwise obfuscated. This is what makes these indicators more relevant to bitcoin than, say.. gold, where the supply can be hidden quite effectively. With bitcoin, there is a pre determined rate of production that we are all aware of. When the volumes on the exchanges diverge from the linear increase in the total supply, the greater the divergence, the more suspicious I become.

As you can tell, I am very suspicious right now.

The depth numbers are too easily manipulated, that is why I said make of this what you will. But I think the trade volume figures are quite interesting, and far more indicative of market sentiment than anything you can get from depth. It is easy to post a buy or an ask when you know that it is never going to be executed. It's far harder to manipulate the actual trading volume figures.

[notme]

nothings ever right more than once.

2+2=4

Hyperbole is never correct .

[cypherdoc]

nothings ever right more than once.

2+2=4

Hyperbole is never correct .

...when it comes to markets.

[notme]

nothings ever right more than once.

2+2=4

Hyperbole is never correct .

...when it comes to markets.

Things can be right out you qualify them with probablities.

[CliffordM]

Can you do a chart of rolling volatility from your data? Use say a 20 day window and express it as an annualised percentage ?  

[mjcmurfy]

Can you do a chart of rolling volatility from your data? Use say a 20 day window and express it as an annualised percentage ?  

I don't take requests!

In seriousness, my data is pretty limited at the moment - I have only been collecting since the 14th, but I do have these, which represent the daily changes in both supply and demand on mtgox's orderbook. The demand figures are in $, and the supply figures are in btc.



Again, make of it what you will.

EDIT: I will add these to the OP as well.

[CliffordM]

I was thinking in terms of simple price volatility. 

[mjcmurfy]

I was thinking in terms of simple price volatility. 

I'm not really collecting much information on price movements, as my strategies are over the long term and I don't like to bet on short term price fluctuations. I am more interested in market depth and trading volumes.

[mjcmurfy]

nothings ever right more than once...

Right and wrong are irrelevant. What matters is supply and demand.

[PatrickHarnett]

[/b]
21/12/2011 15:53 - Bid (buy) Volume: $92607, Ask (sell) Volume: $108854 => Net $16,247 sell
22/12/2011 23:58 - Bid (buy) Volume: $83754, Ask (sell) Volume:  $188171 => Net $104,417 sell
24/12/2011 11:52 - Bid (buy) Volume: $124414, Ask (sell) Volume: $159448 => Net $35,034 sell
25/12/2011 16:00 - Bid (buy) Volume: $116765, Ask (sell) Volume: $143122 => Net $26,357 sell
26/12/2011 13:30 - Bid (buy) Volume: $134398, Ask (sell) Volume: $188173 => Net $53,775 sell
27/12/2011 23:59 - Bid (buy) Volume: $166066, Ask (sell) Volume: $193020 => Net $26,954 sell
28/12/2011 05:45 - Bid (buy) Volume: $174779, Ask (sell) Volume: $198527 => Net $23,748 sell
29/12/2011 21:20 - Bid (buy) Volume: $203902, Ask (sell) Volume: $228877 => Net $24,975 sell
30/12/2011 23:59 - Bid (buy) Volume: $203871, Ask (sell) Volume: $334398 => Net $130,527 sell

From the data above, you can see that over the past 10 days there has been a net selling activity of $442,034, yet somehow the price has stayed at roughly the same level. There has not been one single day where the buy volume in dollars has exceeded the selling volume in dollars.

Interesting set of numbers.  Given every buy is matched to a sell, what are these numbers? It's not total gox depth (BTC or USD). 

For example, there are buy orders for 27 million coins ($700k) and asks for 234k coins (some stupid number of $).  Last 24 hours 43000 coins for 180,000.

[FlipPro]

FUD

[mjcmurfy]

[/b]
21/12/2011 15:53 - Bid (buy) Volume: $92607, Ask (sell) Volume: $108854 => Net $16,247 sell
22/12/2011 23:58 - Bid (buy) Volume: $83754, Ask (sell) Volume:  $188171 => Net $104,417 sell
24/12/2011 11:52 - Bid (buy) Volume: $124414, Ask (sell) Volume: $159448 => Net $35,034 sell
25/12/2011 16:00 - Bid (buy) Volume: $116765, Ask (sell) Volume: $143122 => Net $26,357 sell
26/12/2011 13:30 - Bid (buy) Volume: $134398, Ask (sell) Volume: $188173 => Net $53,775 sell
27/12/2011 23:59 - Bid (buy) Volume: $166066, Ask (sell) Volume: $193020 => Net $26,954 sell
28/12/2011 05:45 - Bid (buy) Volume: $174779, Ask (sell) Volume: $198527 => Net $23,748 sell
29/12/2011 21:20 - Bid (buy) Volume: $203902, Ask (sell) Volume: $228877 => Net $24,975 sell
30/12/2011 23:59 - Bid (buy) Volume: $203871, Ask (sell) Volume: $334398 => Net $130,527 sell

From the data above, you can see that over the past 10 days there has been a net selling activity of $442,034, yet somehow the price has stayed at roughly the same level. There has not been one single day where the buy volume in dollars has exceeded the selling volume in dollars.

Interesting set of numbers.  Given every buy is matched to a sell, what are these numbers? It's not total gox depth (BTC or USD). 

For example, there are buy orders for 27 million coins ($700k) and asks for 234k coins (some stupid number of $).  Last 24 hours 43000 coins for 180,000.

They represent the active trades that have actually taken place on gox. I.e. if I buy 1btc, someone who has an unfulfilled ask sitting on the order book sells me the 1btc, but it is the 1btc buy that is being counted as the initiating trade not the other way around. If you post an order for a price that is not currently available, it will sit there until it is fulfilled. And it is the fulfilling order that is counted.