Quote from: kiko on May 24, 2013, 10:49:19 AM

Quote from: bito on May 24, 2013, 12:57:33 AM

Quote from: kiko on May 23, 2013, 04:06:32 PM

Quote from: moocowpong1 on May 23, 2013, 02:13:55 PM

Quote from: kiko on May 23, 2013, 01:32:48 PM

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?

I suspect that brokers have exclusive access to certain information(s) in traditional markets, such as live changes to the order book. So my guess is that there is quite a lot of reinventing of the wheel by competing brokers, because this elitist group are all in competition with each other and there's no incentive to share.

Quote from: BitcoinAshley on May 24, 2013, 07:39:59 PM

NIKKEI wall observer thread Grin

edit: I agree with Miz4r. NIKKEI 225 is not bitcoin, niothor. 7% swings are not routine; in fact, they are quite alarming in the current market environment. Bitcoin behaves like a penny stock so it's OK to pass off huge swings by saying "Oh it's still higher than it was a month ago." The NIKKEI is what we call a "real world market" with "big boys" and "real companies" and "real exchanges that don't suck" Wink

Not as simple as just ignoring a 7% dump like we can do with bitcoin.

I've often thought about how much brokers in traditional markets are applying their TA to BTC. Probably not too much ATM. I can't say I dislike BitcoinAshley's description of BTC as a penny stock! We're very much in the infancy of BTC.