Bitstamp BTC/USD - Bitcoin to US Dollar Charts.

Price Discovery in Bitcoin exchange

About thirty days ago I shared a chart on Price Discovery in this sub. There was a lot of interest in it and I promised to explain in detail a Bitcoin price discovery algorithm.. I do so in this post.
*this text post is a slightly shorter version of what I wrote in my blog.

TL;DR

I applied price discovery algorithms to 5 Min OHLCV data from Bitmex and CME contracts and Bitstamp, Coinbase, HitBTC, Kraken, Poloniex, Binance, and OkEx BTCUSD/BTCUSDT markets from March 2016 to May 2020. Some exciting results I got was:

Introduction

Price discovery is the overall process of setting the price of an asset. Price discovery algorithms identify the leader exchanges whose traders define the price. Two approaches are most famous for use in Price Discovery. Gonzalo and Granger (1995) and Hasbrouck (1995). But they assume random walk, and a common efficient price. I do not feel comfortable assuming random walk and common efficient price in Bitcoin Markets. So I used this little know method by De Blasis (2019) for this analysis. This work assumes that "the fastest price to reflect new information releases a price signal to the other slower price series." I thought this was valid in our market. It uses Markov Chains to measure Price Discovery. Without going into the mathematical details the summary steps used was:
De Blasis (2019) names this number Price Leadership Share (PLS). High PLS indicates a large role in price discovery. As the sum of the numbers is 1, they can be looked at as a percentage contribution. I recommend reading the original paper if you are interested to know more about the mathematical detail.

Data

Andersen (2000) argues that 5 Minute window provides the best trade-off between getting enough data and avoiding noise. In one of the first work on Bitcoin's Price Discovery, Brandvold et al. 2015 had used 5M window. So I obtained 5M OHLCV data using the following sources:
Futures data are different from other data because multiple futures contract trades at the same time. I formed a single data from the multiple time series by selecting the nearest contract until it was three days from expiration. I used the next contract when the contract was three days from expiration. This approach was advocated by Booth et al ( 1999 )

Analysis

I can't embed the chart on reddit so open this https://warproxxx.github.io/static/price_discovery.html
In the figure above, each colored line shows the total influence the exchange had towards the discovery of Bitcoin Price on that day. Its axis is on the left. The black line shows a moving average of the bitcoin price at the close in Bitfinex for comparison. The chart was created by plotting the EMA of price and dominance with a smoothing factor of 0.1. This was done to eliminate the noise. Let's start looking from the beginning. We start with a slight Bitfinex dominance at the start. When the price starts going up, Bitfinex's influence does too. This was the time large Tether printing was attributed to the rise of price by many individuals. But Bitfinex's influence wanes down as the price starts rising (remember that the chart is an exponential moving average. Its a lagging indicator). Afterward, exchanges like Binance and Bitstamp increase their role, and there isn't any single leader in the run. So although Bitfinex may have been responsible for the initial pump trades on other exchanges were responsible for the later rally.
CME contracts were added to our analysis in February 2018. Initially, they don't have much influence. On a similar work Alexandar and Heck (2019) noted that initially CBOE contracts had more influence. CBOE later delisted Bitcoin futures so I couldn't get that data. Overall, Bitmex and CME contracts have been averaging around 50% of the role in price discovery. To make the dominance clear, look at this chart where I add Bitmex Futures and Perp contract's dominance figure to create a single dominance index. There bitmex leads 936 of the total 1334 days (Bitfinex leads 298 days and coinbase and binance get 64 and 6 days). That is a lot. One possible reason for this might be Bitmex's low trading fee. Bitmex has a very generous -0.025% maker fee and price discovery tend to occur primarily in the market with smaller trading costs (Booth et al, 1999). It may also be because our market is mature. In mature markets, futures lead the price discovery.
Exchange bitmex_futures bitfinex coinbase bitmex okex binance cme bitstamp okcoin kraken poloniex
Days Lead 571 501 102 88 34 12 8 7 6 4 1
 Table 1: Days Lead 
Out of 1334 days in the analysis, Bitmex futures leads the discovery in 571 days or nearly 43% of the duration. Bitfinex leads for 501 days. Bitfinex's high number is due to its extreme dominance in the early days.
Exchange binance huobi cme okcoin bitmex_futures okex hitbtc kraken poloniex bitstamp bitfinex coinbase bitmex
Correlation 0.809190 0.715667 0.648058 0.644432 0.577147 0.444821 0.032649 -0.187348 -0.365175 -0.564073 -0.665008 -0.695115 -0.752103
 Table 2: Correlation between the close price and Exchange's dominance index 
Binance, Huobi, CME, and OkCoin had the most significant correlation with the close price. Bitmex, Coinbase, Bitfinex, and Bitstamp's dominance were negatively correlated. This was very interesting. To know more, I captured a yearwise correlation.
index 2016 2017 2018 2019 2020
0 bitfinex 0.028264 -0.519791 0.829700 -0.242631 0.626386
1 bitmex 0.090758 -0.752297 -0.654742 0.052242 -0.584956
2 bitmex_futures -0.011323 -0.149281 -0.458857 0.660135 0.095305
3 bitstamp 0.316291 -0.373688 0.600240 -0.255408 -0.407608
4 coinbase -0.505492 -0.128336 -0.351794 -0.410874 -0.262036
5 hitbtc 0.024425 0.486229 0.104912 -0.200203 0.308862
6 kraken 0.275797 0.422656 0.294762 -0.064594 -0.192290
7 poloniex 0.177616 -0.087090 0.230987 -0.135046 -0.154726
8 binance NaN 0.865295 0.706725 -0.484130 0.265086
9 okcoin NaN 0.797682 0.463455 -0.010186 -0.160217
10 huobi NaN 0.748489 0.351514 -0.298418 0.434164
11 cme NaN NaN -0.616407 0.694494 -0.012962
12 okex NaN NaN -0.618888 -0.399567 0.432474
Table 3: Yearwise Correlation between the close price and Exchange's dominance index
Price movement is pretty complicated. If one factor, like a dominant exchange, could explain it, everyone would be making money trading. With this disclaimer out of the way, let us try to make some conclusions. This year Bitfinex, Huobi, and OkEx, Tether based exchanges, discovery power have shown a high correlation with the close price. This means that when the traders there become successful, price rises. When the traders there are failing, Bitmex traders dominate and then the price is falling. I found this interesting as I have been seeing the OkEx whale who has been preceding price rises in this sub. I leave the interpretation of other past years to the reader.

Limitations

My analysis does not include market data for other derivative exchanges like Huobi, OkEx, Binance, and Deribit. So, all future market's influence may be going to Bitmex. I did not add their data because they started having an impact recently. A more fair assessment may be to conclude this as the new power of derivative markets instead of attributing it as the power of Bitmex. But Bitmex has dominated futures volume most of the time (until recently). And they brought the concept of perpetual swaps.

Conclusion

There is a lot in this data. If you are making a trading algo think there is some edge here. Someday I will backtest some trading logic based on this data. Then I will have more info and might write more. But, this analysis was enough for to shift my focus from a Bitfinex based trading algorithm to a Bitmex based one. It has been giving me good results.
If you have any good ideas that you want me to write about or discuss further please comment. If there is enough interest in this measurement, I can setup a live interface that provides the live value.
submitted by warproxxx to BitcoinMarkets [link] [comments]

BTCWars v1.10.1

BTCWars v1.10.1

Screenshot

URL: http://dave.freeinforadar.ch/btcwars
Donations: bc1qdqunvewz22aqsdwnt2f944hampu6lppz9q6074

You can find older posts here: https://www.reddit.com/Bitcoin/comments/9yqdk8/as_the_bloodbath_continue_i_have_coded_a_btcwars/

v1.10.1
- Returned to Bitfinex as datasource
v1.10
- Changed data source to Binance - BTCUSDT as Bitstamp has low trade volume level
- Added COMBO effect for large trades
- Added current value in the titlebar
v.1.09
- Changed data source to Bitfinex - BTCUSD as Cryptowatch removed the trade id field
- Changed data fetching algorithm
v1.08
- added order disappear effect
- enhanced explosions behavior
- modified mouse indicator style
- modified front line movement
- intense code refactoring
v1.07.1
- minor bug fixes
v1.07
- Embedded audio effects as base64 data in javascript
v1.06
- modified trades log background effect
- added mobile device support
v1.05
- enhanced explosion effects
- added a game end
- added a new looking GUI
v1.04
- enhanced orders rendering code
- added upgrade / downgrade symbols
- minor bug fixes
v1.03
- frame rate 24 fps
- tanks weight, bigger is slower - as requested by Reddit user dpc_pw
- added menu bar
- added segwit address - as requested by multiple Reddit users
- centrer trade log move as the front-line
- changed computing of explosion's X position
- enhanced trades history behaviour
v1.02
- first public release


submitted by davegeetbf to BTCwars [link] [comments]

can somebody possibly help me with this?

So I posted this under web design and someone told me that it was in the java script and hadn't gotten any other answers than that..
What I am trying to do is trying to make this text a bit smaller a bit smaller so that it will fit in my header on muse and also trying to get rid of that little "Embedded by tradingview" thing at the bottom if at all possible.. I tried to adjust the code with changing the numbers in front of the px and I also tried just erasing the majority of the top part but none of that worked so hopefully you guys will know better than me.. Hopefully (Fingers Crossed)
Here it is: TradingView Widget BEGIN


TradingView Widget END
Heres the code
and heres a picture so you know what im talking about..
https://imgur.com/a/3AZNb
Please let me know thanks!
submitted by HOVA89 to javascript [link] [comments]

Hi can anyone help me with this please?

SO I have been trying to add this ticker at the htop of my website that i am creating using adobe Muse, but for some reason when I upload it it is way to thick and makes it to where yoou can barely se my other header menu, and theres this annoying liittle "Created by Tradingview" thing that appearsa t the bottom, that I also dont want there..
I think that the size issue can be sorted and fixed by me adjusting the size of the text in it. However, when I went to change the numbers in front of the px in the code listed below it did nothing to the widget inside my website, and also I couldnt find or figure out whre it had this little "Embedded by Tradingview" thing so I can erase it and take it out..
I dont know anythin about code so I was hoping someone might be able to help me out?
TradingView Widget BEGIN


TradingView Widget END
Heres the code
and heres a picture so you know what im talking about..
https://imgur.com/a/3AZNb
Thanks!
submitted by HOVA89 to web_design [link] [comments]

Trading Bitcoin - $BTCUSD Resilient in Spite of Binance Sesion Scalping Btc Trade BitCoin Binance Bitstamp day ... Bitstamp  Bitfinex  Binance Trading Bot  Update How To Trade Bitcoin Cryptocurrency for Beginners - YouTube Buy Bitcoin or Any Cryptocurrency Instantly with a Credit ... Binance Vs Coinbase Vs Bittrex Vs Bitfinex 💰 Where & How ... How To Move Your Bitcoin From Gemini To Binance How To Transfer Bitcoin!! (Coinbase to Binance) - YouTube Moving BitCoin from Bitstamp to Bittrex Exchange BITSTAMP  Ethereum Trading With BTC, USD and EUR Launched  FREE TRADING  08.17.2017

Since the 6th August 2019 we have been supporting of Binance's BTCUSDT and Bitstamp's BTCUSD match up arbitrage spreads, as of now you can get 0.14% return executing this trade as it is momentarily displaying reliable since Monday, the pairing is positioned at 5.53 from 13:19:33 today looking at profit of 0.00142321 BTC for every 1 bitcoin spent. Since we began we have witnessed a range high ... Wechselkurs BTC/USD Bitfinex (Bitcoin US Dollar) mit Realtime-Kurs, Chart, Forum, News & Analysen sowie Währungsrechner. Real-Time Bitstamp BTC/USD Bitcoin to US Dollar Market Charts. Binance cryptocurrency exchange - We operate the worlds biggest bitcoin exchange and altcoin crypto exchange in the world by volume . Buy Crypto. Markets. Trade. Derivatives. Finance. English/USD. Support Center. Announcement. Latest News. Binance Pool Launches 13th Phase of Dual Savings Products. Binance. 2020-10-21 03:42. Fellow Binancians, Binance Pool will launch the 13th phase of Dual ... A peak was hit for Bitcoin (BTCUSD) at $15968.98 on the 6th of November. A Doji was printed on this day which signals indecision but not yet bearish. After the Doji, we need multiple additional bearish candles close for confirmation. So far Bitcoin has remained strong based on the fact that prices remain above EMA10. Any trading above EMA10 and ... Beobachten Sie live den Bitcoin / Dollar Chart, folgen Sie den BTCUSD Kursen in Echtzeit und erhalten Sie die Bitcoin Kurshistorie. Überprüfen Sie die technischen Analysen und Prognosen für Bitcoin. Binance cryptocurrency exchange - We operate the worlds biggest bitcoin exchange and altcoin crypto exchange in the world by volume

[index] [8206] [18441] [9949] [18872] [20288] [20751] [1380] [4275] [10472] [12873]

Trading Bitcoin - $BTCUSD Resilient in Spite of Binance

Get an additional $10 in Bitcoins from Coinbase when purchasing through my referral link http://fredyen.com/get/Bitcoins Here is a quick beginner's guide on ... Bienvenido! Si te gusto el video dale Like y Suscribite! Welcome! If you like please like and subscribe! Our team of producers, editors, writers are producin... #yobit #binance #bittrex #exmo #poloniex #btc-alpha#luno #kraken #tradebot #luno #bitfinex #bitstamp #okex #livecoin Download the trading bot from the video, you can download it for free from the ... How to Trade Bitcoin - Day 21🔥💯 Official Bitcoin Price Explained Profit Bitstamp Bittrex Tutorial - Duration: 1:03:56. Crypto Trader BK 3,638 views 1:03:56 Binance http://bit.ly/2krss1M -Fast, No ID required, Easy to withdraw funds -Based in China Coinbase http://bit.ly/2hJwa4Z -Most trusted exchange, excellent ... How do we buy Bitcoin or any cryptocurrency fast on Bitstamp using a credit card in 2017? Where do we send our BTC purchased on a credit card after buying on... Subscribe to my channel for more videos showing how to create passive income with Cryptocurrency. Start buying Bitcoin now with a FREE account by clicking he... Nakup Bitcoina in ostalih kriptovalut, kako uporabljati Bitstamp, Bittrex in denarnico MyEtherWallet - Duration: 22:46. Blockchain Slovenia Recommended for you 22:46 https://ToneVays.com Events --- Bitcoin: https://unconfiscatable.com/ Finance/Trading/Investing https://thefinancialsummit.com/ How to Use Bitcoin Tech: http... Thanks for watching! In this video I show you how to transfer money from Coinbase over to Binance in order to buy smaller alt coins! Be sure to leave a like ...

http://casino.cyrusmining.website