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Author Topic: [CLOSED] MtGox Volatility Trading Bot [GMVT-BOT]  (Read 9922 times)
GeoRW
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August 10, 2012, 04:54:01 AM
 #21

This would be true in case we decided to close down the operation and spent all dollars to buy BTC and pay them to shareholders. But if the bot is working and price swingsin the range he is covering, he is making money, no matter what is the price of BTC. Also when I move the range upwards, no money is lost, cause the dollar value of each order is constant and bot is keeping revenue on BTC side (always spending available dollar balance first).

Absolutely key.

Quick suggestion for a feature to add to your bot that I've seen be very VERY successful on MtGox bots:

Look at bid/ask spread - if looking to make a buy order place 0.01BTC sell orders very close to the buy price.
There are a surprising number of people on MtGox who will look at a spread like that, see the most recent sale price and place an order at that, because they're making a regular exchange rather than speculating and they just want it to go through quickly.

Then, as soon as sell volume appears at that price, you buy into it.

You can do the exact same thing in reverse when making sales. Taking advantage of the lack of "depth perception" of "casual" traders can make you a fairly tidy profit on the exchange, whereas a bot as simple as yours seems more likely to see steady growth eventually followed by catastrophic loss.

What do you mean by catastrophic loss?  Cheesy All the revenue bot makes is kept on the BTC side, so he will not make a loss until after operation is closed down at the high price and I will need to convert fiat to BTC. Your  proposed strategy is risky and on MtGox your bait order will be consumed faster than anyone will notice. BTW, I have currently around 1500 very small orders (around 0.01 BTC each) covering the whole range, so I don't see how I could even implement your suggestion. It's not easy to fool the market. This is volatility bot, taking advantage of price movements and it will stay so. You're free to create your own bot and compete with mine  Wink
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GeoRW
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August 10, 2012, 03:59:51 PM
 #22

Added stats for BitcoinCentral bot. This week bot managed to make a profit of 1.81%  Shocked Price swings were huge, at one time price was as low as 7.34 EUR/BTC at other time almost 10 EUR/BTC  Grin Note that this bot is not working for shareholders yet.
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August 10, 2012, 08:28:33 PM
 #23

There are 2 bots, one on BitcoinCentral and one on MtGox.
He's talking about the BitcoinCentral now, the MtGox is the one for the shareholders I think.
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August 11, 2012, 04:30:16 AM
 #24

There are 2 bots, one on BitcoinCentral and one on MtGox.
He's talking about the BitcoinCentral now, the MtGox is the one for the shareholders I think.

Yep, if shareholders will agree I will issue some more shares for BitcoinCentral bot. IPO was for bot working at MtGox (now there are actually 2 bots at MtGox, one at USD market and one at EUR market). BitcoinCentral bot needs more testing and also there are some additional risks, like it's a small less known exchange that can close down more likely maybe, there's no API for trading (I need to parse HTML which is pain in the ass), and I don't have 2-factor authentication for this bot.
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August 18, 2012, 05:37:15 AM
 #25

First dividend was paid. It is rather low 'cause the price went most of the time straight upwards. But good news is that with recent market crash and huge volatility we are profiting a lot. Also we breached 100 BTC trade volume barrier and having only 0.55% trade fees as of now. Next trade volume barrier to 0.53% is close (92.74% - almost there). Also BitcoinCentral bot is almost ready and working nicely, I have fed him with 70 bitcoins and plan to implement 2-factor authentication this week. If remaining shares from IPO will not be sold this week I will buy them myself. The week after I plan to raise a motion to issue additional 700 shares (70 BTC) for BitcoinCentral bot. Have a nice weekend.
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August 18, 2012, 03:04:29 PM
 #26

First dividend was paid. It is rather low 'cause the price went most of the time straight upwards. But good news is that with recent market crash and huge volatility we are profiting a lot. Also we breached 100 BTC trade volume barrier and having only 0.55% trade fees as of now. Next trade volume barrier to 0.53% is close (92.74% - almost there). Also BitcoinCentral bot is almost ready and working nicely, I have fed him with 70 bitcoins and plan to implement 2-factor authentication this week. If remaining shares from IPO will not be sold this week I will buy them myself. The week after I plan to raise a motion to issue additional 700 shares (70 BTC) for BitcoinCentral bot. Have a nice weekend.

Awesome. Your bot must have had a hell of a good time yesterday Wink

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August 19, 2012, 09:49:52 PM
 #27

Out of curiosity how did you do in the two flash-crashes? This weekend has been a pretty good test of bots  Cheesy
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August 20, 2012, 06:05:21 AM
 #28

Out of curiosity how did you do in the two flash-crashes? This weekend has been a pretty good test of bots  Cheesy

If market's going down we are buying coins cheaper, so profit in BTC is high now. What I'm worried though is that the price will go downwards too much and it will slip out of the range the bots are covering. So I'm slowly extending the range downwards which may cut down our profit a bit if price recovers quickly upwards but I would rather have this as a long term project. If the price will go below around 8 USD and below 5 EUR quickly and will not recover in under a week I will  raise a motion if  investors want to wait a bit longer for markets to stabilize or liquidate the asset or move the range downwards (this third option will be costly but may make us more profit in longer term). I will let you know exact figures if that will happen for you to decide.
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August 24, 2012, 07:31:02 PM
 #29

Second dividend was paid. This week was hugely volatile, started with a market crash, then volatility continued due to uncertainty around pirateat40. This is probably the highest dividend for a while. I didn't expect this bot will perform above 1% weekly, now we got 6.29%  Grin Enjoy the dividends. Cool
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August 24, 2012, 07:53:08 PM
 #30

I didn't expect this bot will perform above 1% weekly, now we got 6.29%  Grin Enjoy the dividends. Cool
Yes sir, thank you very much.
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August 24, 2012, 10:21:09 PM
 #31

Second dividend was paid. This week was hugely volatile, started with a market crash, then volatility continued due to uncertainty around pirateat40. This is probably the highest dividend for a while. I didn't expect this bot will perform above 1% weekly, now we got 6.29%  Grin Enjoy the dividends. Cool

Thanks Geo Smiley

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August 24, 2012, 11:03:30 PM
 #32

Good for you, and I am also considering making a short-term BTC/USD trading bot for my fund. In the meantime, I will consider investing here... but one big problem:

Bot is very secure, never makes a loss, makes money on volatility.

There are many ways to scalp volatility, but I've never ever heard of a system that doesn't have any losing trades. Could you please elaborate?
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August 25, 2012, 05:16:52 AM
 #33

Good for you, and I am also considering making a short-term BTC/USD trading bot for my fund. In the meantime, I will consider investing here... but one big problem:

Bot is very secure, never makes a loss, makes money on volatility.

There are many ways to scalp volatility, but I've never ever heard of a system that doesn't have any losing trades. Could you please elaborate?

The secret is keeping the range large enough, so that the price will not slip out of it and in case price is approaching the end of the range start moving the range. I don't want to explain everything in detail (so everyone will just start to copy it) but I set it up so that moving range upwards is much easier than moving it downwards. Even after the market price slips out of the upper range boundary I can still move it upwards and cost will be minimal (this may be considered as a loss but is so small that it will be quickly covered when normal operation resumes). The last market rally and crash was quite a test and we passed it very comfortably, just for one day price went below 8 USD which was the lower range boundary but it quickly recovered back to around 10.
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August 27, 2012, 03:46:28 PM
 #34

The secret is keeping the range large enough, so that the price will not slip out of it and in case price is approaching the end of the range start moving the range. I don't want to explain everything in detail (so everyone will just start to copy it) but I set it up so that moving range upwards is much easier than moving it downwards. Even after the market price slips out of the upper range boundary I can still move it upwards and cost will be minimal (this may be considered as a loss but is so small that it will be quickly covered when normal operation resumes). The last market rally and crash was quite a test and we passed it very comfortably, just for one day price went below 8 USD which was the lower range boundary but it quickly recovered back to around 10.

Thanks for the prompt reply!

So, lets assume that the volatility suddenly spiked far beyond what we saw even on the crash day - in this case, you could potentially have a large loss as you continuously attempt to get in at lower and lower prices awaiting a rally, correct? Because even by having a very large range relative to recent price action, the potential to go far outside that range still exists (and in many studies, these types of volatility spikes have been proven to occur far more often than would be expected by random chance). At what point will you cut losses? There must be an exit strategy here both for winning trades and for losing trades.

I'm not saying I won't invest if you admit to the potential for losses exists; rather, I'm saying the exact opposite. I know that it's impossible to avoid them, so I'd feel much more comfortable knowing what the scenario is that would causes loses so I can properly judge the risk here. Saying "never loses money" doesn't ring right with me at all, it makes me imagine that the volatility bot is doubling down as prices move farther and farther out of the bbands (or whatever you use for volatility measurement), which means no losses for sure until one day it goes poof...

Sorry if my questions are harsh but I must do some due diligence here (it's just business), I mean no harm Smiley. Thanks GeoRW!
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August 27, 2012, 05:09:09 PM
 #35

The secret is keeping the range large enough, so that the price will not slip out of it and in case price is approaching the end of the range start moving the range. I don't want to explain everything in detail (so everyone will just start to copy it) but I set it up so that moving range upwards is much easier than moving it downwards. Even after the market price slips out of the upper range boundary I can still move it upwards and cost will be minimal (this may be considered as a loss but is so small that it will be quickly covered when normal operation resumes). The last market rally and crash was quite a test and we passed it very comfortably, just for one day price went below 8 USD which was the lower range boundary but it quickly recovered back to around 10.

Thanks for the prompt reply!

So, lets assume that the volatility suddenly spiked far beyond what we saw even on the crash day - in this case, you could potentially have a large loss as you continuously attempt to get in at lower and lower prices awaiting a rally, correct? Because even by having a very large range relative to recent price action, the potential to go far outside that range still exists (and in many studies, these types of volatility spikes have been proven to occur far more often than would be expected by random chance). At what point will you cut losses? There must be an exit strategy here both for winning trades and for losing trades.

I'm not saying I won't invest if you admit to the potential for losses exists; rather, I'm saying the exact opposite. I know that it's impossible to avoid them, so I'd feel much more comfortable knowing what the scenario is that would causes loses so I can properly judge the risk here. Saying "never loses money" doesn't ring right with me at all, it makes me imagine that the volatility bot is doubling down as prices move farther and farther out of the bbands (or whatever you use for volatility measurement), which means no losses for sure until one day it goes poof...

Sorry if my questions are harsh but I must do some due diligence here (it's just business), I mean no harm Smiley. Thanks GeoRW!

If the price goes downwards out of the range we will end up with only bitcoins and no fiat money. In that case I would raise a motion if we want to wait for the price to go back upwards into our range, and/or to spend all the profit we made during that week to extend the range downwards or to shut down the asset and distribute bitcoins to shareholders. That's the exit strategy if price goes below the range. In this case we will end up with more bitcoins because we bought them lower than we sold them.
It may happen also that price will go steeply upwards and bot will not be able to catch up moving range upwards. This scenario less likely because I made it so that the range can move upwards faster (and much less costly) then downwards. In such scenario, bot is spending (some) profit for moving the range upwards. Also if bot will not be able to catch up moving range upwards and price will slip out of the range and will remain at higher levels for several weeks and forseeable future (looking at the MtGox market depth), we may extend the range upwards and continue trading at that higher prices as well but in this case the dividends/profits will be lower as the trading amount will be lower (I may raise a motion to spend let's say 50% of profits for strengthening the range). In this case investors will still not lose a single bitcoin but may expect lower dividends until we catch up with the price increase or until the price correction occurs. Right now we USD bot covers range approximately between 8.5 and 18 USD.

Also I would note now that at higher prices we have smaller orders and (at MtGox) we pay higher fees, so expect lower profits at higher prices if volatility stays the same. And also I don't understand why this asset is traded as high as 0.25. That's 2.5 times higher then was the IPO price and unless you expect such huge volatility as was last week to occur often don't buy it at that high price  Roll Eyes
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August 27, 2012, 05:12:14 PM
 #36

Motion was raised to issue 700 additional shares for operation of BitcoinCentral bot. Please vote.

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Vote yes if you agree to issue additional 700 shares for bot that will operate on http://bitcoin-central.net/ BitcoinCentral is small exchange that charges no trade fees, therefore it is supposed we can have higher profit than on MtGox. On the other hand being a small exchange there might be higher risk that this exchange will close down and block our funds. Account will be secured by 2-factor authentication and as per contract asset operator is still responsible for unexpected bot behaviour.

You can see the BitcoinCentral bot performance stats in the original post.
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August 27, 2012, 05:48:46 PM
 #37

I notice you mention that percentage commission on trades somewhat limits you, but then I also notice you like to place huge numbers of tiny trades.

So I am wondering whether the fee structure used by Open Transactions, in which there are no percentages but there is instead a "usage token" fee per API call, would tend to seem better or worse than the "traditional" commission-percent type fee structure?

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August 27, 2012, 06:11:26 PM
 #38

I notice you mention that percentage commission on trades somewhat limits you, but then I also notice you like to place huge numbers of tiny trades.

So I am wondering whether the fee structure used by Open Transactions, in which there are no percentages but there is instead a "usage token" fee per API call, would tend to seem better or worse than the "traditional" commission-percent type fee structure?

-MarkM-


I don't know what's Open Transactions  Grin Any links?
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August 27, 2012, 06:19:24 PM
 #39

I don't know what's Open Transactions  Grin Any links?

http://devtome.org/wiki/index.php?title=Open_Transactions

http://open-transactions-tv.github.com/

https://bitcointalk.org/index.php?topic=53329.0

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August 27, 2012, 07:44:54 PM
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Sorry nothing to see here just subscribing

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