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Author Topic: visualizing the market depth  (Read 1799 times)
giszmo
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February 05, 2012, 03:31:37 AM
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Hi

I've been wondering if the exchange rate follows the market depth or if the market depth follows to the exchange rate. Actually looking at the market depth I often get the feeling to know how the rate has to change in a very near future and often it does but by far not always.

To analyze further I searched for sources of historic market depth but couldn't find any, so I wrote a small script that draws the MtGox market depth - the one that is available via their api - the one that is only a small fraction of the total market depth - into a png. As the market depth sometimes is 5 times bigger than at other times, I normalized each line by the highest value and used a pallet of 1024 values (4 times a black blue gradient).
The result for some days but with a longer pause at some point and without any time stamps is here:


Now I wonder if anybody has a more complete historic market depth. I would like to render a Bitcoin Market Depth Canyon fly through or whatever works better than the above.

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Revalin
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February 05, 2012, 04:44:58 AM
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Nice!  It's the same idea with a little different approach that I've tried a bunch of times:



I have per-minute snapshots of the data since July.  There are a bunch of gaps in the data so you have to be careful or you'll get time jumps, and it's just the public API so it's just a narrow window around the current price.

If that's still good enough to be interesting to you, you're welcome to a copy of what I have.  The only price is that I want to see more awesome pictures, especially around interesting events.  Smiley

      War is God's way of teaching Americans geography.  --Ambrose Bierce
Bitcoin is the Devil's way of teaching geeks economics.  --Revalin 165YUuQUWhBz3d27iXKxRiazQnjEtJNG9g
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February 05, 2012, 05:16:23 PM
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Nice!  It's the same idea with a little different approach that I've tried a bunch of times:



I have per-minute snapshots of the data since July.  There are a bunch of gaps in the data so you have to be careful or you'll get time jumps, and it's just the public API so it's just a narrow window around the current price.

If that's still good enough to be interesting to you, you're welcome to a copy of what I have.  The only price is that I want to see more awesome pictures, especially around interesting events.  Smiley


That sounds like a great offer! It's a huge data set. Did you ever zip it? Do you have all the raw data like timestamp+values?
I don't as my normalization already destroyed most of the data but with all the data I'd like to try and render a fly through that canyon with maybe some landmarks for events in bitcoins history.

I guess there is quite some challenge to get the data into some rendering software. A height field of about 300k samples of a price range of 1$ to 20$ at a 1ct. granularity and a 16bit precision for each accumulated value. Most rendering tools allow to import height fields as gray scale pictures. This one would be 300k x 2k x 2B = 1.2GB. Guess that is challenging also as the 2B/pixel is non-standard but necessary imho.

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February 06, 2012, 03:13:15 AM
 #4

It's raw dumps of the JSON API (complete with occasional error messages and empty files) with PST timestamps in the filenames.  It's about 5G raw, 33M compressed.  Be careful extracting it: some filesystems get really slow if you put a quarter million files in one dir.

http://www.mediafire.com/file/u1goocu36ng65kp/mtgox.7z

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Bitcoin is the Devil's way of teaching geeks economics.  --Revalin 165YUuQUWhBz3d27iXKxRiazQnjEtJNG9g
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February 06, 2012, 03:20:08 AM
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It's raw dumps of the JSON API (complete with occasional error messages and empty files) with PST timestamps in the filenames.  It's about 5G raw, 33M compressed.  Be careful extracting it: some filesystems get really slow if you put a quarter million files in one dir.

http://www.mediafire.com/file/u1goocu36ng65kp/mtgox.7z

Shocked

That's a huge compression ratio...

(BFL)^2 < 0
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February 06, 2012, 03:22:50 AM
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It's highly redundant text.  Most depths don't change from minute to minute, and there's lots of predictable syntax in JSON.  That and 7Zip is awesome.

      War is God's way of teaching Americans geography.  --Ambrose Bierce
Bitcoin is the Devil's way of teaching geeks economics.  --Revalin 165YUuQUWhBz3d27iXKxRiazQnjEtJNG9g
giszmo
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February 06, 2012, 03:51:59 AM
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It's raw dumps of the JSON API (complete with occasional error messages and empty files) with PST timestamps in the filenames.  It's about 5G raw, 33M compressed.  Be careful extracting it: some filesystems get really slow if you put a quarter million files in one dir.

http://www.mediafire.com/file/u1goocu36ng65kp/mtgox.7z

Revalin thanx a lot! I can't promise to bring results soon but I will see what I can do. At least it is a big incentive to come up with something to have such nice data at hands Smiley

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February 06, 2012, 04:23:13 AM
 #8

No problem!  Do let me know if you (or anyone!) find another source of this data.  I'd love to fill in the holes and go farther back in time.

      War is God's way of teaching Americans geography.  --Ambrose Bierce
Bitcoin is the Devil's way of teaching geeks economics.  --Revalin 165YUuQUWhBz3d27iXKxRiazQnjEtJNG9g
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