Large walls moving on Gox orderbook aka Manipulator (Diagram)

[phelix]

I have been logging the mtgox order book lately. thinking about new charts for bitcoinX.

thought I would share these large movements of the order book. ~$250000 AND ~BTC50000 in the glimpse of an eye

edit: updated 2012-01-20
...
edit: updated 2012-02-16


since the bitcoinica burst the orderbook grew again... at peak it was ~ 3 M$


data points every ~17 minutes.

subplots:
first: bitcoin price [USD] (P)
second: B + (A * P) ~ estimate of complete orderbook value [USD]
third:
    blue: all bids in the full order book summed up [USD, left] (B)
    red: all asks in the full order book summed up [BTC, right] (A)

[BitcoinPorn]

I read this post and see my Bitcion ticker showing 22.65.  The things that happen when you walk away from your computer for a bit.

[sadpandatech]

Long term it looks like someone with too much time and money on their hands that knows how to properly hedge both sides of the slopes.  Playing the short game against that could be deadly for the faint of heart though. ;p

[phelix]

first post updated

[phelix]

Long term it looks like someone with too much time and money on their hands that knows how to properly hedge both sides of the slopes.  Playing the short game against that could be deadly for the faint of heart though. ;p

as we all saw, playing the long game can be rough, too

[jwzguy]

Long term it looks like someone with too much time and money on their hands that knows how to properly hedge both sides of the slopes.  Playing the short game against that could be deadly for the faint of heart though. ;p

as we all saw, playing the long game can be rough, too

Been pretty smooth sailing over here.

[Mushoz]

Where are you getting the 3M $ figure from? http://bitcoincharts.com/markets/mtgoxUSD_depth.html is "only" showing 1,5M $ in bids.

Edit: Never mind, I can now see it's with the asks factored in as well, at the current price. Brainfart

[niko]

This is great, thank you. The other day I was observing ask/bid curves during the major price swing, and it made me wonder how many players there were, actually... It seemed like the majority of the order book was controlled in unison by a single entity. For example, ask or bid curve retreating or advancing significantly while preserving their overall shapes. Most of orders were being canceled or placed in unison, and relatively few actually executed. Does this mean there was one big player in action (aka "the manipulator"), or there are lots of robots with very similar strategies?

P.S. I think this thread belong to the speculation board.

[Dutch Merganser]

This is great, thank you. The other day I was observing ask/bid curves during the major price swing, and it made me wonder how many players there were, actually... It seemed like the majority of the order book was controlled in unison by a single entity. For example, ask or bid curve retreating or advancing significantly while preserving their overall shapes. Most of orders were being canceled or placed in unison, and relatively few actually executed. Does this mean there was one big player in action (aka "the manipulator"), or there are lots of robots with very similar strategies?

P.S. I think this thread belong to the speculation board.

Yes. To speculation, agreed.

This has probably been posted in reference to walls before, but anyway:

Stupid sheep runs into a wall
http://www.youtube.com/watch?v=WJaSBsJyOoM

Stupid, stupid sheep, look at them 

[phelix]

This is great, thank you. The other day I was observing ask/bid curves during the major price swing, and it made me wonder how many players there were, actually... It seemed like the majority of the order book was controlled in unison by a single entity. For example, ask or bid curve retreating or advancing significantly while preserving their overall shapes. Most of orders were being canceled or placed in unison, and relatively few actually executed. Does this mean there was one big player in action (aka "the manipulator"), or there are lots of robots with very similar strategies?

P.S. I think this thread belong to the speculation board.

it's so synchronous it can only be a single entity

actually I only posted facts

can I somehow move it myself?

[BadBear]

P.S. I think this thread belong to the speculation board.

It's not really about speculating, at least the OP isn't. 

[phelix]

bump... updated

[phelix]

and updated once more


so what do you say, is it useful / interesting, should this go on bitcoinX ?

[niko]

Just thinking... Asks and bids which are far from the current price are "less serious" and should be weighted down in this kind of analysis. What matters most is what happens close to the current price. Can you consider adding weighing coefficients which decay as you go further from the price at any given moment?

[BitcoinBug]

Just thinking... Asks and bids which are far from the current price are "less serious" and should be weighted down in this kind of analysis. What matters most is what happens close to the current price. Can you consider adding weighing coefficients which decay as you go further from the price at any given moment?

+1, that would be very useful

[phelix]

Just thinking... Asks and bids which are far from the current price are "less serious" and should be weighted down in this kind of analysis. What matters most is what happens close to the current price. Can you consider adding weighing coefficients which decay as you go further from the price at any given moment?

+1, that would be very useful

that was among the first things I tried. I will post how it looks tomorrow. The problem is that it is hard to grasp / describe what is going on behind the scenes.

[niko]

Just thinking... Asks and bids which are far from the current price are "less serious" and should be weighted down in this kind of analysis. What matters most is what happens close to the current price. Can you consider adding weighing coefficients which decay as you go further from the price at any given moment?

+1, that would be very useful

that was among the first things I tried. I will post how it looks tomorrow. The problem is that it is hard to grasp / describe what is going on behind the scenes.

Great! I already find your diagrams quite interesting.

[phelix]

Pseudocode:

exp = 10

loop over time:
  loop over bids:
    weightedBid += bAmount * ((bPrice / price) ** exp) * bPrice

  loop over asks:
    weightedAsk += aAmount * ((price / aPrice) ** exp) * price * 1.0

second_subplot = np.array(lWeightedBid) - np.array(lWeightedAsk)


I have played a bit with these formulas last weekend. Checked the correlation to the price for a bunch of strategies but did not get a good result. The closer you go to the middle of the melting pot (higher exp) the more noise you get.


note how there is much more noise on the price chart starting with the new year (jump). Traders suddenly more active? New bot?

[Inaba]

Posting mostly to watch this thread, but I was curious as to the big drop last week... my thoughts were, after looking at it for awhile, was a glitch in a bot and not an intentional dump.  Does your data support that potential theory? 

[phelix]

Posting mostly to watch this thread, but I was curious as to the big drop last week... my thoughts were, after looking at it for awhile, was a glitch in a bot and not an intentional dump.  Does your data support that potential theory?  

I have data points only every 17 minutes or so but it looks like an intentional dump to me. Like the manipulator let a bulging bitcoinica burst: https://bitcointalk.org/index.php?topic=52336.0  


The asks were reduced by a crazy amount right before the crash --> single entity.
edit: actually that statement was wrong for the last crash but seems to be true for today's


Maybe somebody has more detailed order book data for the time of the crash - would be interesting.