Quote from: netrin on December 08, 2011, 10:28:17 PM

My question pertained not to spreads but to the precise trigger of the stop-buy, be it the ask price, a buy-ask median, or something more fuzzy. My eyeballs tell me the stops are triggered when the Bitcoinica ask is above my stop-buy, but I do not know for certain whether the ask is the precise trigger.

I sacrificed a few dollars when the Mt. Gox ask prices rose from $2.92 to $2.95. Bitcoinica charts show a wee bit over $2.94 and the Bitcoinica ask is currently a bit over $2.97 and the spread is about $0.8 at this moment:

Code:

Stop 1.0 $2.9300 2 hours ago Executed @ 2.9369
Stop 1.0 $2.9400 27 minutes ago Executed @ 2.9461
Stop 1.0 $2.9500 25 minutes ago Executed @ 2.9583
Stop 1.0 $2.9600 24 minutes ago Executed @ 2.965
Stop 1.0 $2.9700 24 minutes ago Executed @ 2.9769

Again, it's triggered by the Bitcoinica bid/ask price listed at that moment, based on whether you're buying or selling. In a perfect world, you place a limit buy order at @$4/BTC, and as soon as the Bitcoinica ask price reaches $4 or above, it will execute the quantity you requested at $4. Vice versa for a sell order.

Reality: spread changes over time. So even if Mt. Gox price/BTC doesn't move, you could see the Bitcoinica spread move around based on trading activity, other liquidity concerns, or factors that are inherent to Bitcoinica's (undisclosed) algorithm. The point is that order execute based on Bitcoinica's bid/ask prices, and nothing else.

If you're seeing execution of orders at prices other than the bid/ask spread, it's due to slippage (or the occasional bug).

BitMagic

Posts

Merits