Re: Wall Observer - MtGoxUSD wall movement tracker

Agreed, moonshot bids for $20 coins don't really count. I keep meaning to create an index that divides each bid/ask by the % distance from the current MMR. I think it would be much more insightful. I just can't square the maths to adjust for the fact that bids only differ by 100% but asks can be many 1000% higher. Anyone know how to properly adjust for that?

Simple, just base it on the logarithm of the price.

Thanks, but I think I've got it now. It's simpler than that.

One re-bases the order book so MMR is 1. lets call it $125. A $100 dollar bid at $10 dollars gets weighted by 0.08. An equally weighted ask of $100 would be priced at $1562 (the price at which current MMR represents only 8%.)

So who do I need to beg for historical daily snapshots of the full depth API?

https://bitcointalk.org/index.php?topic=88054

I'll pitch in half the 200btm if you share it with me.

Bingo. Thanks. I almost missed that reply. I'll get in touch with the dude after some tests on the old data.

As an aside; I can't help but feel I'm re-inventing the wheel here though. Brokers have had Level 2 data for years, why don't we have common TA indicators for depth like we do for Volume and Price. Am I missing something? Is this kind of thing common in CFA textbooks?