I've been working on a trading bot for BTC-e and I was comparing 3min intervals with bitcoinwisdom and my software. I noticed the bitcoinwisdom (BCW for short) produced some odd numbers.
For example here is the trades that take place according to btc-e's API:
date timestamp price trade id seqId amount
2014-01-13 09:41:59 1389642119 23.0611 27081938 42874 6.4243
2014-01-13 09:42:01 1389642121 23.0045 27081939 42875 7
2014-01-13 09:42:02 1389642122 23.09 27081940 42876 0.22634
2014-01-13 09:42:12 1389642132 23.09 27081942 42877 0.1
2014-01-13 09:42:12 1389642132 23.09 27081943 42878 0.1
2014-01-13 09:42:59 1389642179 23.1378 27081972 42879 1
2014-01-13 09:43:39 1389642219 23.1376 27082018 42880 0.64829
2014-01-13 09:43:39 1389642219 23.1377 27082019 42881 11.2153
2014-01-13 09:43:50 1389642230 23.1373 27082027 42882 100
2014-01-13 09:44:37 1389642277 23.0046 27082041 42883 0.64826
2014-01-13 09:44:54 1389642294 23.0046 27082053 42884 0.134273
2014-01-13 09:45:18 1389642318 23.0045 27082064 42885 0.922397
These time bracket the interval from 9:42 to 9:45 for computing a 3min interval. If you compare this to BCW report for the same time (9:45 with 3min interval)
open 23
close 23.1
high 23.1
low 22.97
While it seems ok until the Close and LOW, which are not correct. I've noticed other odd things on BCW like the volume not adding up correctly. Has anyone spent time looking at BCW's numbers? Is there something I'm not getting here?