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Author Topic: MtGox order discrepancy? A trade at $1.60 when $1.63 is already on the book  (Read 1824 times)
bitcoinBull
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April 24, 2011, 12:42:15 AM
 #1

There were a number of trades at $1.60, a particularly large one for 650 bitcoins ($1,040) at 0:27:00, when there were bid orders at higher prices ($1.61, $1.62, $1.63) already on the books.  [data from http://www.taters.net/cgi-bin/btc/matrix.pl?axisinc=0.01]

Shouldn't the bids at higher prices trade first?

Can anyone explain this?

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dduane
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April 24, 2011, 12:58:32 AM
 #2

I think these are dark pool orders happening.  Dark pools don't appear on taters.net as I understand them.
FooDSt4mP
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April 24, 2011, 01:04:41 AM
 #3

I think these are dark pool orders happening.  Dark pools don't appear on taters.net as I understand them.

Dark or not, a bid of $1.63 should be filled before a trade at $1.60 occurs.  Otherwise, the seller isn't getting the best price available.  That said, I don't know how to read the taters.net data.  I see the trade at $1.60, but where it the proof of the bid of $1.63?

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April 24, 2011, 01:06:15 AM
 #4

I bought those with "dark pool only"... somebody was selling at 1.6 there. I assume that even if I picked "dark pool and normal" my order would still fulfill at 1.6

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April 24, 2011, 01:11:17 AM
 #5

I bought those with "dark pool only"... somebody was selling at 1.6 there. If I picked "dark pool and normal" you would have been right.

Ah, the seller must have been dark pool only as well.

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FooDSt4mP
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April 24, 2011, 01:12:55 AM
 #6

I bought those with "dark pool only"... somebody was selling at 1.6 there. If I picked "dark pool and normal" you would have been right.

Ah, the seller must have been dark pool only as well.

https://mtgox.com/support/darkPool for the details.

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bitcoinBull
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April 24, 2011, 01:43:03 AM
 #7

I was connected to the websockets API and watched this happen again:


getting mtgox depth
{"asks":[[1.6799,2],[1.68,100],[1.6899,9],[1.69,517.76],[1.69439,3.67],[1.69824,14.076],[1.70073,4.824],[1.70266,3.303],[1.799,37.52],[1.8,2.5],[1.85,3.78],[1.89999,9],[1.95,23.05],[1.9524,4.77],[1.9599,3.01],[1.97,9],[1.9791,504.21],[1.98,32],[1.98699,450],[1.987,86.21],[1.988,9.94],[1.9884,50],[1.9885,50],[1.9889,333],[1.9999,32.27],[2,9175.02],[2.2,1312],[2.4,1000],[2.4056,49.68],[2.48,700],[2.4999,600],[2.5,87.98],[2.6,1000],[2.65,50],[2.71,544],[2.72,500],[2.74568,10]],"bids":[[1.6303,300],[1.6301,1.5],[1.63,91],[1.6201,2],[1.62,1000],[1.61395,1.066],[1.612,100],[1.6,172.923],[1.5999,4.96],[1.59,10],[1.589,10],[1.5889,1.98],[1.583,5],[1.5829,3.36],[1.58,91.39],[1.5799,7],[1.579,10],[1.575,13.644],[1.5749,9],[1.57,1009.76],[1.5688,20],[1.54,533.455],[1.52,1000],[1.51,5.26],[1.5003,1],[1.5002,20],[1.5,20],[1.4835,50],[1.4834,50],[1.4833,50],[1.4831,104.268],[1.483,48],[1.4807,9.111],[1.4805,3.55],[1.472,2.634],[1.47,1020.068],[1.46511,102],[1.4606,101],[1.4335,27.555],[1.42,1000],[1.401,25],[1.4001,1000],[1.4,60],[1.39,10],[1.385,2.5],[1.372,35],[1.3675,50.1],[1.36,100],[1.3559,100],[1.352,200],[1.35,35],[1.341,51.06],[1.34,151.537],[1.3301,99.141],[1.33,7100],[1.32011,12.869],[1.32,5],[1.31,10],[1.301,500],[1.3,406.58],[1.295,100],[1.291,42],[1.2903,199.14],[1.2901,54.22],[1.29,122],[1.26,1],[1.2581,2],[1.254,7.743],[1.2502,3.551],[1.25,821],[1.21,75.454],[1.2022,52],[1.2011,54.329],[1.201,503.271],[1.2,2125.925],[1.19,16.75],[1.18,1],[1.175,6]]}

MessageEvent
{"channel":"dbf1dee9-4f2e-4a08-8cb7-748919a71b21","op":"private","origin":"broadcast","private":"trade","trade":{"amount":511.214,"date":1303606410,"price":1.6,"tid":"45433","type":"trade"}}


After reading [https://mtgox.com/support/darkPool], if a normal sell order is placed that can partially fill a dark pool buy order, it should fill the higher priced normal bids before partially filling a dark order.  Unless I'm mistaken, it doesn't look that happened here.






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bitcoinBull
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April 24, 2011, 01:53:03 AM
 #8

The 511.214 BTC must have been a normal order, because only orders over 1,000 BTC are allowed in the dark pool.

On top of that, if it was a dark pool order it never should have been broadcast in the first place.

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FooDSt4mP
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April 24, 2011, 01:56:11 AM
 #9

I was connected to the websockets API and watched this happen again:


getting mtgox depth
{"asks":[[1.6799,2],[1.68,100],[1.6899,9],[1.69,517.76],[1.69439,3.67],[1.69824,14.076],[1.70073,4.824],[1.70266,3.303],[1.799,37.52],[1.8,2.5],[1.85,3.78],[1.89999,9],[1.95,23.05],[1.9524,4.77],[1.9599,3.01],[1.97,9],[1.9791,504.21],[1.98,32],[1.98699,450],[1.987,86.21],[1.988,9.94],[1.9884,50],[1.9885,50],[1.9889,333],[1.9999,32.27],[2,9175.02],[2.2,1312],[2.4,1000],[2.4056,49.68],[2.48,700],[2.4999,600],[2.5,87.98],[2.6,1000],[2.65,50],[2.71,544],[2.72,500],[2.74568,10]],"bids":[[1.6303,300],[1.6301,1.5],[1.63,91],[1.6201,2],[1.62,1000],[1.61395,1.066],[1.612,100],[1.6,172.923],[1.5999,4.96],[1.59,10],[1.589,10],[1.5889,1.98],[1.583,5],[1.5829,3.36],[1.58,91.39],[1.5799,7],[1.579,10],[1.575,13.644],[1.5749,9],[1.57,1009.76],[1.5688,20],[1.54,533.455],[1.52,1000],[1.51,5.26],[1.5003,1],[1.5002,20],[1.5,20],[1.4835,50],[1.4834,50],[1.4833,50],[1.4831,104.268],[1.483,48],[1.4807,9.111],[1.4805,3.55],[1.472,2.634],[1.47,1020.068],[1.46511,102],[1.4606,101],[1.4335,27.555],[1.42,1000],[1.401,25],[1.4001,1000],[1.4,60],[1.39,10],[1.385,2.5],[1.372,35],[1.3675,50.1],[1.36,100],[1.3559,100],[1.352,200],[1.35,35],[1.341,51.06],[1.34,151.537],[1.3301,99.141],[1.33,7100],[1.32011,12.869],[1.32,5],[1.31,10],[1.301,500],[1.3,406.58],[1.295,100],[1.291,42],[1.2903,199.14],[1.2901,54.22],[1.29,122],[1.26,1],[1.2581,2],[1.254,7.743],[1.2502,3.551],[1.25,821],[1.21,75.454],[1.2022,52],[1.2011,54.329],[1.201,503.271],[1.2,2125.925],[1.19,16.75],[1.18,1],[1.175,6]]}

MessageEvent
{"channel":"dbf1dee9-4f2e-4a08-8cb7-748919a71b21","op":"private","origin":"broadcast","private":"trade","trade":{"amount":511.214,"date":1303606410,"price":1.6,"tid":"45433","type":"trade"}}


After reading [https://mtgox.com/support/darkPool], if a normal sell order is placed that can partially fill a dark pool buy order, it should fill the higher priced normal bids before partially filling a dark order.  Unless I'm mistaken, it doesn't look that happened here.








Quote
Dark pool Only - Can be filled only by other dark pool orders or a single normal order that is larger than the dark pool order. This means that if there is a single normal order that would fill the dark pool order both will be filled.

I read that as a dark pool order can only be filled by other dark orders or a single normal order.  This situation could happen if there was an existing ask of 1.6 that is greater than 1000 (since that's the largest bid 1.6 or above).  With that ask in place and the order book you showed, a dark order bid for 511.214@1.6 would be filled from that ask.

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FooDSt4mP
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April 24, 2011, 01:59:17 AM
 #10

The 511.214 BTC must have been a normal order, because only orders over 1,000 BTC are allowed in the dark pool.

On top of that, if it was a dark pool order it never should have been broadcast in the first place.

Ok, scratch what I said.... I don't know... It's $1000 USD btw, but 511.214 BTC @ 1.6 is only ~ $817.94

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April 24, 2011, 02:37:51 AM
 #11

$1,000 USD not 1000 BTC, my mistake (but makes no difference in this case, as you mentioned).

I don't have enough data to figure out exactly what happened.  But it must have been due to some strange mixing of partial dark and/or normal orders.

Whatever happened, I don't like seeing a trade at $1.60 when there are bids at $1.61 and above.

I can't absolutely prove those bids were on the books at the time, since the order depth JSON object wasn't timestamped.  But no trades occurred between that depth report and the $1.60 trade.  The $1.6303 bid was my own, and I did not remove it before the trade occurred.

I have no problem with the dark pool, but their trades shouldn't be broadcast.  And normal orders should trade at the normal rate.

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April 25, 2011, 09:37:34 PM
 #12

The 511.214 BTC must have been a normal order, because only orders over 1,000 BTC are allowed in the dark pool.

On top of that, if it was a dark pool order it never should have been broadcast in the first place.

Could the 511.214 BTC sell order have been leftover from a larger dark pool order?

For example, Alice places a dark pool order to sell 2000 BTC at 1.6.
Bob places a dark pool order to buy 1488.786 BTC at 1.6.
Bob's order is immediately fulfilled and leaves a leftover dark pool sell order of 511.214 at 1.6.
Charlie places a dark pool order to buy 1000 BTC at 1.65.
Charlie's order is partially filled by Alice's sell order leaving a leftover dark pool order of 488.786 BTC at 1.65.
FooDSt4mP
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April 26, 2011, 12:21:01 AM
 #13

The 511.214 BTC must have been a normal order, because only orders over 1,000 BTC are allowed in the dark pool.

On top of that, if it was a dark pool order it never should have been broadcast in the first place.

Could the 511.214 BTC sell order have been leftover from a larger dark pool order?

For example, Alice places a dark pool order to sell 2000 BTC at 1.6.
Bob places a dark pool order to buy 1488.786 BTC at 1.6.
Bob's order is immediately fulfilled and leaves a leftover dark pool sell order of 511.214 at 1.6.
Charlie places a dark pool order to buy 1000 BTC at 1.65.
Charlie's order is partially filled by Alice's sell order leaving a leftover dark pool order of 488.786 BTC at 1.65.

Yep... exactly the situation I thought of last night before I fell asleep.

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bitcoinBull
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April 26, 2011, 03:20:27 AM
 #14

The 511.214 BTC must have been a normal order, because only orders over 1,000 BTC are allowed in the dark pool.

On top of that, if it was a dark pool order it never should have been broadcast in the first place.

Could the 511.214 BTC sell order have been leftover from a larger dark pool order?

For example, Alice places a dark pool order to sell 2000 BTC at 1.6.
Bob places a dark pool order to buy 1488.786 BTC at 1.6.
Bob's order is immediately fulfilled and leaves a leftover dark pool sell order of 511.214 at 1.6.
Charlie places a dark pool order to buy 1000 BTC at 1.65.
Charlie's order is partially filled by Alice's sell order leaving a leftover dark pool order of 488.786 BTC at 1.65.



So maybe it was a trade partially filling two dark pool orders.

Then why was it broadcasted?  Normal trades are broadcasted.  Dark pool trades are not (correct me if I'm wrong).

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FooDSt4mP
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April 26, 2011, 03:32:09 AM
 #15

The 511.214 BTC must have been a normal order, because only orders over 1,000 BTC are allowed in the dark pool.

On top of that, if it was a dark pool order it never should have been broadcast in the first place.

Could the 511.214 BTC sell order have been leftover from a larger dark pool order?

For example, Alice places a dark pool order to sell 2000 BTC at 1.6.
Bob places a dark pool order to buy 1488.786 BTC at 1.6.
Bob's order is immediately fulfilled and leaves a leftover dark pool sell order of 511.214 at 1.6.
Charlie places a dark pool order to buy 1000 BTC at 1.65.
Charlie's order is partially filled by Alice's sell order leaving a leftover dark pool order of 488.786 BTC at 1.65.



So maybe it was a trade partially filling two dark pool orders.

Then why was it broadcasted?  Normal trades are broadcasted.  Dark pool trades are not (correct me if I'm wrong).

I think all trades are broadcast.  Dark pool is for order visibility and matching, but a trade is a trade (correct me if I'm wrong Wink).

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April 26, 2011, 10:35:50 PM
 #16

As far as I understand it - you are right. Smiley

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