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Analyzing Cryptocurrency Markets Using Python

blog.patricktriest.com

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Re: Analyzing Cryptocurrency Markets Using Python

#41

Post by davidgerard »

mrchicity wrote: post #33

Layering, Spoofing and Momentum Ignition are not "HFT Strategies." They're illegal market manipulation techniques, most often used by manual traders. You don't need to be ultra fast to bully prices around or enter large non bonafide orders. I've never heard of a legitimate proprietary trading firm (i.e. one that pays a salary and hires highly qualified people, not a boiler room operation) intentionally using these te…

If you're looking for malicious actors in the wild, crypto trading is where you want to be. There's all sorts of things that are ridiculously illegal on proper security exchanges that are de rigeur in cryptos. c.f. Mt. Gox admitting to painting the tape in 2015, a Bitfinex officer with access to the database admitting to trading on his exchange in 2015. A bot set up to detect that sort of thing would have plenty of data to work with.

Re: Analyzing Cryptocurrency Markets Using Python

#42

Post by bobwaycott »

grenkatost wrote: post #17

I wanted to do something like that, eventually I did it on the elasticsearch. Then I wanted to share with the society and added grafana. The final result is real-time analytics of trading on main exchanges and for major pairs: https://cointradeanalysis.com

Your site breaks the back button. Please don’t do that. Otherwise, it’s well done.

Re: Analyzing Cryptocurrency Markets Using Python

#43

Post by jetti »

ghgr wrote: post #37
jetti wrote: post #30

Earlier quoted context omitted.

What are you using to listen to GDAX sockets? I've been able to successfully connect using their node library but when trying to connect directly without using their library I'm unable to connect.

I use the Python library WebSocketClient. Here is the code: https://github.com/ghgr/HFT_Bitcoin/blob/master/download_boo...

Thanks for the code. I've been trying with the Elixir library websockex [1] but it has been giving me nothing but troubles. I just gave up and poll every X minutes now.

[1] https://github.com/Azolo/websockex

Re: Analyzing Cryptocurrency Markets Using Python

#44

Post by grenkatost »

bobwaycott wrote: post #42
grenkatost wrote: post #17

I wanted to do something like that, eventually I did it on the elasticsearch. Then I wanted to share with the society and added grafana. The final result is real-time analytics of trading on main exchanges and for major pairs: https://cointradeanalysis.com

Your site breaks the back button. Please don’t do that. Otherwise, it’s well done.

Really... I did not notice this before...

Re: Analyzing Cryptocurrency Markets Using Python

#45

Post by bobwaycott »

grenkatost wrote: post #44
bobwaycott wrote: post #42

Earlier quoted context omitted.

Your site breaks the back button. Please don’t do that. Otherwise, it’s well done.

Really... I did not notice this before...

Yep. Not sure if it’s just mobile, but after visiting and scrolling, it was impossible to swipe to leave, and just kept reloading the page. Forever.

Re: Analyzing Cryptocurrency Markets Using Python

#46

Post by Finnucane »

Is it possible to get data on economic activity in cryptocoins? Which is to say, not just the coin trading, but goods and services being paid for with coin tokens? Every now and then you see a post to the effect of 'so-and-so is taking payment in Bitcoin.' Does anyone actually do that? Or are the coins just hoarded for their investment value?

Re: Analyzing Cryptocurrency Markets Using Python

#47

Post by ucha »

johnt113 wrote: post #13

What's the point of correlation ? If I put 2 buys either I will have double profit or double loss. If I put 1 buy 1 sell I get zero.

If two assets are correlated and one of them moves up but not the other, you expect the return of both over a longer time period to converge, you can make a statistical arbitrage by selling the one that moved up and buying the other c.f. https://en.wikipedia.org/wiki/Pairs_trade

Re: Analyzing Cryptocurrency Markets Using Python

#48

Post by [deleted] »

bdfhjk wrote: post #25

I'm surprised they didn't mentioned Machine Learning to further analyze the cryptocurrencies. Especially, that a few years ago an experiment shown, that if we would trade algorithmically on S&P500 via Machine Learning, traders could earn 8.5% returns comparing to the 5.6% by a random tactic. Here is a nice explanation: https://sigmoidal.io/machine-learning-for-trading/

[deleted]

Re: Analyzing Cryptocurrency Markets Using Python

#49

Post by ativzzz »

What's a good resource to learn the technical statistical background for an analysis like this? It's beyond the basics of calculating P values but it also builds on the basics by analyzing a large space of correlation coefficients.

Would this be considered data science? It doesn't dive into machine learning, or anything advanced computer science wise.

Re: Analyzing Cryptocurrency Markets Using Python

#50

Post by [deleted] »

jetti wrote: post #32
grenkatost wrote: post #17

I wanted to do something like that, eventually I did it on the elasticsearch. Then I wanted to share with the society and added grafana. The final result is real-time analytics of trading on main exchanges and for major pairs: https://cointradeanalysis.com

Interesting site. It would be an interesting exercise to try and arbitrage the price differences of BTC on different exchanges.

[deleted]
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