Post
Topic
Board Project Development
Re: Multi Exchange Streaming API for Market Data
by
marketstem
on 12/05/2014, 01:44:25 UTC
Another nice feature I implemented internally with all of the ticker data is more accurate price indexes which gave me the ability to convert from any currency to another for simulation.  The price indexes are calculated as a weighted average with the weight being the trade volume from each exchange. E.g. if the price for BTC/USD on Bitstamp is 500 with a volume of 1000 and the price is 480 with a volume of 500 on Kraken the weighted global price is ( ( 500 * 1000 ) + ( 480 * 500 ) ) / 1500 = 493.33.  except with values from all exchanges in the actual implementation of course.  I don't think I've seen another Cyrpto currency price index that takes that much data into account, but it can easily be done with this streaming ticker data.