Bitcoin Orderbooks and High Frequency Market Microstructure

Рет қаралды 23,039

10 жыл бұрын

Originally presented at Inside Bitcoin Hong Kong in July 2014.
www.smartmediacorp.com
Bitcoin Orderbooks and High Frequency Market Microstructure. A study of how Bitcoin order books behave, and how size of queue effects prices. I discuss modeling the waiting time until a price change, and the probability of an upward price move.

Пікірлер: 43

@royreyes8422 5 жыл бұрын

waiting time and directional move looks golden. gaps are the key. this is cool stuff. thank you for sharing.

@BryceChudomelka 6 жыл бұрын

This was dope. Extremely easy to understand. Thank you.

@NoahSilverman 6 жыл бұрын

Thanks Bryce. Glad you enjoyed it.

@quanpham3143 3 жыл бұрын

Great content. Thanks you so much for sharing!

@genestone4951 7 жыл бұрын

Really enjoyed this talk. Thanks very much for posting it.

@NoahSilverman 7 жыл бұрын

Thanks Gene!

@ShopperPlug 2 жыл бұрын

Good explanation of such complex topic. 12:20 - The 2D chart is interesting...

@hotsawce3546 3 жыл бұрын

Your suggestions of Maker/Taker fees aged nicely, as well as the streaming order book.

@NoahSilverman 3 жыл бұрын

Thank You!

@spiz02930 4 жыл бұрын

great video, some of it went over my head. interesting to see the market has evolved like you said it should.

@NoahSilverman 4 жыл бұрын

Glad you enjoyed it

@sumit3195 5 жыл бұрын

What about hidden orders?

@aion2177 4 жыл бұрын

Interesting :) But i guess iceberg orders would cause you problems if your time window is too big. Lots of improvements have been done since 2014 when you recorded this video. Wish i found this sooner :)) Thanks. Have a nice day!

@77oxf 2 жыл бұрын

Could you elaborate on what improvements? Thanks,

@samidelhi6150 4 жыл бұрын

Hi Noah , have you tried to use or reconstruct these order books ? If so what are the best algorithms in your opinion to do so , does MC type of estimators / algos would be effective ?

@samidelhi6150 4 жыл бұрын

Would you kindly provide a new clip of the demo ?

@Shaunmcdonogh-shaunsurfing 2 жыл бұрын

Excellent video. Have you considered implementing reinforcement learning with your data and inputs to make recommendations?

@jroidcho 6 жыл бұрын

great video thanks. Are you running a trading bot in bitcoin market?

@nastyaamazing6571 3 жыл бұрын

Ooh

@ROHITRANJAN1994 6 жыл бұрын

Can you provide the link of the research paper/journal you followed?

@kosmokh2000 5 жыл бұрын

@3:38 when you say a seller wants to fill his 1 BTC sell immediately so he goes to the buy side and takes out a buyer, does the price of BTC then fall to $99 since the last transaction happened at 99? second question: if a buyer comes in and takes out 2+10+1 btc @100 how does the buy side fill up? i see on coinbase pro immediately buy orders come in at 100, where does this come from so fast?

@mikki7522 5 жыл бұрын

Answer to your first question: yes. Second: buy side only fills up if there's enough buying pressure.

@elevateyourselfnow2023 4 жыл бұрын

Dear Noah, thanks for the insights and analysis. Is there a way you would share the Python code you mentioned and used for your analysis? I would love to look at the data now in 2020 and use this analytical framework.

@NoahSilverman 4 жыл бұрын

Sorry, that code isn't avaialbe for the public

@wapitgood 6 жыл бұрын

I agree with Bryce, and thank you for sharing. The bot info was an eye opener. I new it existed but you graphically displayed it. Would love to see plain vanilla options too and the ability to buy or sell premium with any token with automated conversion.

@NoahSilverman 6 жыл бұрын

Thanks Lowell, To be fair, the "bot" is not necessarily anything nefarious. It may simply be a market maker, or some third party playing with algo-based trading. We'll never know.

@MitchRichard65 5 жыл бұрын

Have you looked into Deribit? They offer offer options. Or Bitmex? Lock in interest rates on futures contracts.

@chandshantanu 6 жыл бұрын

Hi Noah, The video was really enlightening but can you provide link for the paper so that we can develop a decision model for research purpose. I am unable to connect few missing dots like how to identify new orders, cancelled order or filled order from the order book data as it is just order book at some instance. Pardon me if I sound too naive. Thanks in advance.

@NoahSilverman 5 жыл бұрын

There is no paper available. Up to you to figure out how you want to implement.

@mickeyboaglio808 5 жыл бұрын

what would you call the VWAP that has a greater depth into the order book? Right before you talked about gasp.

@NoahSilverman 5 жыл бұрын

YOU have to decide the depth of the VWAP you want. i.e. Do you want the VWAP for buying 1 BTC, or 20 BTC?

@mickeyboaglio808 5 жыл бұрын

@@NoahSilverman oh so just using normal vwap with dif settings? I misunderstood. I thought it was a recalculation of the indi.

@NoahSilverman 5 жыл бұрын

@@mickeyboaglio808 There are *MANY* ways to do this. The scope of that discussion is way beyond video comments. Up to you, as the trader, to decide how you want to estimate VWAP or other indicators of price.

@fifaifofrum9306 7 жыл бұрын

Really interesting, I've been seriously looking at bitcoin for less than a year, but it's clear that much of your "wishlist" at the end of this vid has been fulfilled. Are you still paying attention to bitcoin? Would be interested to hear an update of your thoughts!

@NoahSilverman 7 жыл бұрын

I do still work with Bitcoin - much has improved since that talk.

@IFFranciscoME 7 жыл бұрын

I am an associate professor for a financial engineering major in bachelors of engineering, this semester i will lecture "Trading Systems and Market Microstructure", i am really interesting in your material and your experience, do you have any opensource project ? or willing to collaborate in an common license schema to develop applications and educational material for crytpocurrencies and trading with market microstructure focus ? . I am working with a real time orderbook querying and your framework it is very very useful. Are you interested in allowing me to use some of your material and contribute with working examples ?. please write to if.francisco.me@gmail.com

@majedbitonemajedbitone265 6 жыл бұрын

Thanks

@mickeyboaglio808 5 жыл бұрын

could an exchange stagger the arrival rates and throw all of this off? Or not really.. because the market efficiency requirements dictate that they need to happen so fast, that by polling at longer intervals they average out and balance anyway?

@NoahSilverman 5 жыл бұрын

They could, but I don't see why they would bother. Exchanges generally want to handle orderbook messages as fast as possible, and in strict time priority. Anything else would be considered "manipulation", which would be unethical, and probably illegal in any regulated market.

@mickeyboaglio808 5 жыл бұрын

@@NoahSilverman Right. That's what I was thinking. Only reason would be if the predictability in programming from being so new..produced an inefficiency in the market. But not really an ethical way around it, because like you said.. The speed is already so high.

@chandshantanu 6 жыл бұрын

How can I calculate GASP?

@i.umarov5245 4 жыл бұрын

Here gist.github.com/iUmarov/ff3689dcbd93ac081e3c4f526caa8a4a