Quote from: ledmaniak on February 08, 2014, 07:20:18 PM

Quote from: btcva on February 08, 2014, 06:08:37 PM

I have a question about the new way that Bitfinex integrates the Bitstamp order book. Raphael has said that now Bitstamp orders are augmented by between 0.15% and 0.25% before being displayed on the Bitfinex order book. However, take a look at these images of Bitstamp and Bitfinex order books taken at the same time earlier today:

Bitstamp's order book - http://imgur.com/D8TqTks
Bitfinex's order book - http://imgur.com/AKh049t

Based on what Raphael said about price augmentation, the lowest ask on Bitfinex's order book should be no greater than $706.91 ($705.15*1.0025) - the lowest displayed is $709.41. And the highest bid should be no lower than $706.06 ($705*1.0015) - the highest displayed is $704.34. So either what Raphael told us about integration of the two order books is wrong, or the process is error-prone. And I have observed this phenomenon very often. This, to me, is very troubling. Does anybody have an explanation for this?

Since the update, I never see bitstamp orders being executed. I had a limit order at 702.35, price drops below 702 and still the order was not executed..

By the way, it seems that bitfinex solved the 'issue' where you could put 10 orders in the order book that are way higher than what you have in your account. I was not allowed to put another in.. had to remove the old one first.

Based on my understanding, if the price fell to $702 on Bitstamp, you'd actually have to place an order on Bitfinex at $703.755 ($702*1.0025) to ensure execution, based on the price augmentation I discussed. The problem that I see, however, is that I'm not sure what is actually occurring in the integration process, given the errors I described. Are Bitstamp orders being integrated into Bitfinex's order book and executed, just with augmentations other than the 0.15% to 0.25% Raphael mentioned? Or are Bitstamp orders not being integrated at all? Or are they being integrated based on what Raphael said, but with errors? I don't know.