Quote from: Duetschpire on June 01, 2013, 11:26:29 AM

Quote from: 3Dfilament on June 01, 2013, 03:20:25 AM

Some days before the bitcoin 2013 conference we saw Litecoin stabilize neatly around the $3 mark into a channel with a suppressed trading range, very narrow. And we saw this happen on the way up from the last correction to $2.5 levels where very large buy and sell walls were placed on the orderbook at btc-e which effectively obscured and made the bid/ask ratio metric unuseable unless filtered with a dynamic view. These large, moving buy and sell walls were articulated such that the trading ranges were constricted to channels and moved up to consolidate trading ranges sideways at the $3 levels.

One of the tools I find sorely lacking in trading Crypto is an interface to filter out the largest buy walls, or see only the buys/sells that are for example in an 8LTC to 45LTC range, and to examine other ranges of orders on the book might give one a perspective on a more accurate market depth, and market depths in different channels of the orderbook.

When we attempt to use the "short orderbook" on btc-e itself to gauge market depth, volume and movements, often we find the buy and sell walls heavily peppered with automated, high frequency, bot spam orders, or micro-orders. Filtering this out, and removing the largest buy/sell walls, would provide a much more accurate picture of buy/sell interests on the "long orderbook".

When performing statistical analysis, one of the first steps in finding a mean, or an average of course is to throw out the lows and the highs and average the middle values, and then of course there are many other metrics which can be derived from the orderbook. Of all of the tools in Crypto trading I find to be the least utilized it is the orderbook.

That makes a perfect sense. When we see a 10,000 coin dump then pump on a $0.20 scale, the $0.01 move becomes very hard to monitor. I like the candle charts more as you can see which one is a sell and which one is a buy candle and how much difference is left out between sell/buy, but if we can get something similar to the charts on MCXnow and btc-e integrated together and make one candle colored orders but with the price separate to the volume, I think we'd have a good chart for the 24 hours period.

BUT, if we have the option to filter bots/micro orders and be able to scale the chart up to 7 days and down to 1 hour, we'd have a GREAT chart.

You both make good points. While implementing this sort of functionality shouldn't be too difficult, figuring out what high/low volume orders are real and which ones are meant purely for manipulation might be a little tricky for the trading bot. Sometimes buy/sell walls are real. Even if they're not, they influence the direction of the market. While I could write a tool that filters down the order-books to a narrow spectrum of volumes, I don't know if I can incorporate it into the trading algorithm. My bots depend on these volume indicators to place their orders (and many different sub-functions within the trading bots use and process that information). If you're not interested in automated trading, then this isn't really an issue. You can just use that tool to filter the order-book and do your own analysis to place your orders by hand. Also, scaling the chart was one of the first features I implemented. I don't understand why that's not a standard feature on all the exchanges (it seems so basic and yet so incredibly useful). Does this address your suggestions or did I miss something?