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Offline bytemaster

Feed Statistics
« on: November 19, 2014, 05:36:03 PM »

Could someone please create a histogram of FEED price vs REALTIME price for BTC/BTSX?   

It would be great if we had historical data as well.   I would like the sample rate to be on the order of every minute or every 5 minutes.   

Once we know the error distribution we can calculate the risk profile for market makers.
For the latest updates checkout my blog: http://bytemaster.bitshares.org
Anything said on these forums does not constitute an intent to create a legal obligation or contract between myself and anyone else.   These are merely my opinions and I reserve the right to change them at any time.

Offline wasthatawolf

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Re: Feed Statistics
« Reply #1 on: November 21, 2014, 02:39:41 AM »
I put this together using Google Sheets, updates every 5 minutes using data from coinmarketcap and bitsharesblocks.com scraped via Kimonolabs API (script can easily be modified to use a more stable API).

https://docs.google.com/spreadsheets/d/1OqL3ysiSblO3PZgUX4vYcM78yUD4kt4tBF8rfQTpQLg/edit?usp=sharing

The Google Charts class is somewhat limited and won't allow creation of a Histogram chart via script.  I created two full sheet charts for histograms of the bid variance and ask variance from median feed price.  For up to date charts, you just need to modify the chart data to include the latest row.

Offline yangsbo

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Re: Feed Statistics
« Reply #2 on: November 21, 2014, 03:49:34 AM »
@bytemaster

I suggest using Chinese system of stock market
1  10% daily price fluctuation limit and T+1 transaction。
2  Cancel the feed price
3  after a period of time, if the prices trading steady on great scale of transaction ,cancel  these restrictions。

Offline wasthatawolf

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Re: Feed Statistics
« Reply #3 on: November 21, 2014, 04:15:55 AM »

Could someone please create a histogram of FEED price vs REALTIME price for BTC/BTSX?   

It would be great if we had historical data as well.   I would like the sample rate to be on the order of every minute or every 5 minutes.   

Once we know the error distribution we can calculate the risk profile for market makers.

Hahaha just re-read what you were asking for, I wasn't even close!

BTS/BitUSD data is still interesting though...

Offline abit

Re: Feed Statistics
« Reply #4 on: November 21, 2014, 05:26:16 AM »
Blocksharesblocks.com may have this data.
@svk
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Offline bytemaster

Re: Feed Statistics
« Reply #5 on: November 21, 2014, 10:12:49 AM »
Bump
For the latest updates checkout my blog: http://bytemaster.bitshares.org
Anything said on these forums does not constitute an intent to create a legal obligation or contract between myself and anyone else.   These are merely my opinions and I reserve the right to change them at any time.

Offline svk

Re: Feed Statistics
« Reply #6 on: November 21, 2014, 10:23:31 AM »
Bump

I'm not sure I get what you want in your histogram. One could make a histogram using the delta between the feed and the real price over a given period, 1hr for example. So the x-axis would be the delta range, the y values the count for each range of delta values over the period.

Is that what you want?

@wasthatawolf I could provide an API for you, but may not have time to do so over the weekend..
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Offline bytemaster

Re: Feed Statistics
« Reply #7 on: November 21, 2014, 10:24:35 AM »
Bump

I'm not sure I get what you want in your histogram. One could make a histogram using the delta between the feed and the real price over a given period, 1hr for example. So the x-axis would be the delta range, the y values the count for each range of delta values over the period.

Is that what you want?

@wasthatawolf I could provide an API for you, but may not have time to do so over the weekend..

Yes that is what I would like.   Potentially on a per-delegate basis.   
For the latest updates checkout my blog: http://bytemaster.bitshares.org
Anything said on these forums does not constitute an intent to create a legal obligation or contract between myself and anyone else.   These are merely my opinions and I reserve the right to change them at any time.

Offline svk

Re: Feed Statistics
« Reply #8 on: November 21, 2014, 10:28:04 AM »
Bump

I'm not sure I get what you want in your histogram. One could make a histogram using the delta between the feed and the real price over a given period, 1hr for example. So the x-axis would be the delta range, the y values the count for each range of delta values over the period.

Is that what you want?

@wasthatawolf I could provide an API for you, but may not have time to do so over the weekend..

Yes that is what I would like.   Potentially on a per-delegate basis.

Ok, I'll have to start tracking historical data for feeds to implement this, and increase the sampling time for price data. Added to my TODO list..
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Offline xeroc

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Re: Feed Statistics
« Reply #9 on: November 21, 2014, 10:59:03 AM »
Give BitShares a try! Use the http://testnet.bitshares.eu provided by http://bitshares.eu powered by ChainSquad GmbH

Offline wasthatawolf

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Re: Feed Statistics
« Reply #10 on: November 21, 2014, 02:09:55 PM »
@wasthatawolf I could provide an API for you, but may not have time to do so over the weekend..

Thanks! No rush, whenever you have a chance would be great.

Though not what BM had originally asked for, for anyone that's interested I created another sheet for BITBTC/BTS which tracks Median Feed price vs BitShares Asset Exchange bid and ask.  Histograms auto update on both BITBTC and BITUSD spreadsheets now.

https://docs.google.com/spreadsheets/d/1rwQrzCMlKAzU5bMfBW-OnfrhRSercDQiI4YmVYfqfVQ/edit?usp=sharing

Offline wasthatawolf

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Re: Feed Statistics
« Reply #11 on: November 21, 2014, 02:46:50 PM »
Here we go, I think this is in line with what BM is was originally looking for...

median feed price for bitbtc vs. btsx/btc current price (from coinmarketcap)

https://docs.google.com/spreadsheets/d/1gkXcRmpxFXv485A4ppIC0meG7DRyjBu8hQnpj6nuNxE/edit?usp=sharing
« Last Edit: November 21, 2014, 05:33:26 PM by wasthatawolf »

Offline wasthatawolf

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Re: Feed Statistics
« Reply #12 on: November 21, 2014, 05:27:01 PM »
Histogram showing data from the past three hours...


Offline svk

Re: Feed Statistics
« Reply #13 on: November 21, 2014, 06:04:33 PM »
Histogram showing data from the past three hours...



Good job! I'll see if i can get a feed going tomorrow for you cause that scraper is throwing off my google analytics stats..
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Offline Riverhead

Re: Feed Statistics
« Reply #14 on: November 21, 2014, 06:16:18 PM »
Your graph is flipping us off. I hope that's not an omen  :o

 

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