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nikol


Total Posts: 520
Joined: Jun 2005
 
Posted: 2018-09-26 11:01
Understand.
Thank you for your advises.

nikol


Total Posts: 520
Joined: Jun 2005
 
Posted: 2018-10-01 19:03
Order book monitor

python

pyplot.scatter with markersize = order_size
pyplot.plot red line connecting best bid and best ask

not yet fully interactive, but very informative




ronin


Total Posts: 341
Joined: May 2006
 
Posted: 2018-10-02 10:33
What's the timescale on this one?

There is an obvious seller and an obvious buyer, both working their orders. The seller is more aggressive. They don't seem to be hitting each other - they are both improving until somebody random hits them. They also both seem to be blind - neither of them is reacting to the other one.

The orderbook is pretty sparse and pretty static. So what is the typical order size - is it one clip per level? Try colour coding for sizes, this doesn't really show much.

It doesn't really scream liquidity. So I wouldn't really expect you to be profitable with any sort of high to medium frequency approach.

"There is a SIX am?" -- Arthur

nikol


Total Posts: 520
Joined: Jun 2005
 
Posted: 2018-10-02 19:24
Remember that hitting (taking) is cost. making is not.
Time frame is about 10 second

Price slot volume:
Smallest size (at best line) is about 1 EUR :)
And the biggest one at this market (ETH-EUR) within this price window is at 50k EUR.
At BTC-EUR you can observe as big as 25k BTC's which is at current prices is around 150 Mio EUR.

Seller and buyer can be same trader.
In other time frames (2 hours later) I see that both are moving their smallish orders of ~1 EUR size in sync leaving very small spread in between, while often there is large empty space behind bid and ask with larger orders of few 10k EUR size.

Colouring idea is interesting, it seems to be possible. Now busy with some other urgent project, will come later.

Look at the picture above. I have updated it.

ronin


Total Posts: 341
Joined: May 2006
 
Posted: 2018-10-04 14:28
> Time frame is about 10 second

So these guys are going "OMG I didn't get hit in 100 miliseconds must improve OMG I didn't get hit in another 100 miliseconds must improve OMG I didn't get hit in another 100 miliseconds must improve" etc, while the market is doing nothing?

This is weird af.

The fact that there is something that looks like liquidity in deep book is more or less meaningless. It only matters if it's still there when you get to it.


"There is a SIX am?" -- Arthur

nikol


Total Posts: 520
Joined: Jun 2005
 
Posted: 2018-10-04 16:06
I understand your irony, but that's the slow life of this exchange... maximum you can have is 50 messages per second = in average 20 milliseconds under control.
Our setup allows 0.1 ms bouncing. If we stretch, perhaps we can go below 0.05 ms, but that's the major exercise.

Here is another time window of ~10 s.

Vertical sets of dots represent bits of information, which is tick update somewhere in the book not necessarily within this price range.

Such sawtooth pattern repeats 5-10 times regularly here and there at different time-scales and amplitude. However, amplitude does not exceed fee amount ;)
Already thinking about your earlier suggestions to scalp him.



This bar-plot is slice of log_volume(price) at time = 50 above.
Highest point here is ~226 ETH ~ 47k EUR
Best (front line) orders are ~1 ETH ~ 210 EUR




ronin


Total Posts: 341
Joined: May 2006
 
Posted: 2018-10-05 14:48
I'm not being ironic, I am genuinely trying to understand what is going on.

Your graph below is basically showing that you would pay 30 bps plus fees to roundtrip say 5k euro. 20k euro, who knows - it's outside the graph.

And you can't scalp the guy because he is only throwing 20 euro or so inside the spread. You could be scalping him all day and it wouldn't pay for a pint of beer in the evening.

So I would say this high frequency approach is fruitless at this stage. There is nothing you can make on this scale. Look at longer time scales, maybe something comes out.


"There is a SIX am?" -- Arthur

nikol


Total Posts: 520
Joined: Jun 2005
 
Posted: 2018-10-05 15:15
Ok. Then I will take a look to other exchanges.. There are about 20 of similar liquidity and wider spread.
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