Bitstamp orderbook, trading engines performance

[Bendi]

Hi all,

At the moment I am running some performance tests on one of my projects, and I am trying to put my measurements into some perspective. To do this, I would like some feedback to make sure I'm not missing or miscalculating anything.

Some facts taken into account:
- The trading engine of (late) MtGox was reported and discussed to be able to handle about 32-ish trades per second. Which is considered to be pretty low.
- I cannot find any reports of the bitstamp (or ie coinsetter) trading engine anywhere mentioning orders/sec or order delays, and have not build any timing or persormance checking tools for these (yet). Coinsetter has order limits per user and claims órder execution in miliseconds', but they do not note how much orders their engine can handle anywhere.
- Bitstamp is one of the biggest exchanges, with the largest liquidity and orderbook (give of take a few % compared to any other)

In my search for some practical real-life data, I found some useful information in the Bitstamp API, which tells me about their orderbook on this link:
https://www.bitstamp.net/api/order_book/?group=0

If I read this data correctly, the entire orderbook, both asks and bids, combined is only about 13k orders. This report actually covers all orders, since the lowest reported price on that link is 0-ish USD/BTC, and the highest is 100k-ish USD/BTC. I am a bit surprised by this conclusion, since I expected the total orderbook to easily surpass 100k orders, maybe even close to 500k orders.

I was shocked about the MtGox trading engine performance when I initially read about it, but knowing the total orderbook of Bitstamp right now is only about 13k orders made me re-evaluate this feeling, and actually made my jaw hit the floor all over again.

Now, the part where you come in :-)
- Am I missing something here?
- Does anyone have any clue how high order delays on Bitstamp (or other exchanges) are or how high they can get at times the trading engine is really slammed with orders?
- How much orders per second can Bitstamp or any other Bitcoin exchange at this point handle?

Your input is much appreciated. Thank you very much.

[Bendi]

Bump..

Really, any info / thoughts / ... is very much appreciated. I am sure there must be SOME info out there?

[oda.krell]

Not sure how helpful my post will be to you, since a) I don't have any hard data, only "user experience", i.e. anecdotal evidence, and b) I cannot even compare it to mtgox, since I never traded there. That said:

When I started trading on Bitstamp, around mid-2013, I experienced lagging order execution several times. Not in the order of minutes, but, say up to 10, maybe 20 seconds. These "lagging" orders were comparably large limit orders, with a limit that would lead to the entire order being taken in one go. So, a market order simulated by a limit order (to control the slippage risk).

Over the course of the next year, this lag seemed to get smaller, even though my orders tended to get larger. Now, I can place a pretty big limit order, and see it eat through the order book in a second or two on bitcoinwisdom live. That's how it should be.

So from my side, I have to say, I'm quite happy with engine performance at Bitstamp.

On the other hand, the order book is relatively thin (at least in the range near market price). The same order I place on Bitstamp would see a lot less slippage on Bitfinex or Huobi, if I would execute it there. But that's not the fault of their engine, but because of the relative size of the other exchanges, capturing more volume and capital/coins.

[Bendi]

That's actually helping me oda.krell, thanks a lot for your input.

Just wondering.. any specific reason you're not trading on Bitfinex or Huobi instead, since you mentioned yourself you'd have better prices on those exchanges? I have my reasons for not trading on bitfinex. Don't know Huobi to be honest..

Anyways, thanks again for your reply

[oda.krell]

That's actually helping me oda.krell, thanks a lot for your input.

Just wondering.. any specific reason you're not trading on Bitfinex or Huobi instead, since you mentioned yourself you'd have better prices on those exchanges? I have my reasons for not trading on bitfinex. Don't know Huobi to be honest..

Anyways, thanks again for your reply

In my personal (non-formal) risk model, the single biggest factor that is almost completely out of my control is counter party risk in the form of the exchange I trade on. For more than one reason, Bitstamp strikes me as the most "reliable" one, i.e. the least likely to go bankrupt / run away with my funds / be hacked, etc.

Among those reasons: registered in the EU, affiliated with EU bank. Major sums put into them by outside investors. Registered in a legal system that is unlikely to "crack down" for no good reason on exchanges (unlike China, imo). No margin trading - which I sometimes miss as a trader, but which also means I'm less worried about a spiraling out of control margin call scenario.

Does that make any sense?

[Bendi]

Yes, definitely. Thanks again for your vision.

Since you mention you sometimes miss leveraged trading as an option. Don't you consider it possible to use bitfinex or some other exchange for this in smaller amounts? Or isn't there a leveraged exchange at this point you trust enough to trade on it, even in smaller amounts? Or do you consider the amount of funds you would care to risk to be too little to make it worth your while to even start trading leveraged?

I consider leveraged trading something that can give a great boost to crypto-land. It could bring in huge amounts of funds and liquidity by simple swaps and interest earnings. However, it has to be done right. And apparently at this point something seems to be missing on that front?

[oda.krell]

Yes, definitely. Thanks again for your vision.

Since you mention you sometimes miss leveraged trading as an option. Don't you consider it possible to use bitfinex or some other exchange for this in smaller amounts? Or isn't there a leveraged exchange at this point you trust enough to trade on it, even in smaller amounts? Or do you consider the amount of funds you would care to risk to be too little to make it worth your while to even start trading leveraged?

I consider leveraged trading something that can give a great boost to crypto-land. It could bring in huge amounts of funds and liquidity by simple swaps and interest earnings. However, it has to be done right. And apparently at this point something seems to be missing on that front?

Jup That's exactly my own reasoning. But right now, I'm also in the process of moving away from day / week trading to something more like monthly trading. Margin trading doesn't really fit into that, imo, at least not with the sometimes extremely volatile to the upside Bitcoin market.

To be clear, I have nothing against Bitfinex. Exchange seems properly run etc. Just that I consider Bitstamp slightly more "conservative", and as such, slightly more secure for reasonably large deposits sitting on-exchange.