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Coinbase – Exchange API

docs.exchange.coinbase.com

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Re: Coinbase – Exchange API

#31

Post by mrchicity »

benjaminjackman wrote: post #26
minimax wrote: post #22

(Thoughts from someone who works in this space) Exposing _all_ order entry traffic on the public market data feed is not great, especially the part where they expose client generated order uuids on the public feed. This allows market participants to potentially identify other market participants' orders based on their client order uuids e.g. if they are using a uuid generator that incorporates the MAC address. I thin…

I have not rwad the article but from what you are describing it sounds like they probably should just use itch. I think anonymity in markets might be something we should experiment with getting rid of. Doing that right is hard because it is difficult to prevent sock-puppetry-spoofing which would require regulations and penalties for rat hole order shredding. So order anonymity is 'easier'. But now the exchange has to…

I would never trade under my own name in a pre- or post-trade transparent market that included broker ID. Competitors are great at working with lots of data. You don't think they'd take a crack at reverse engineering my models given a feed of every trade I did (or even worse, all my orders)?

Re: Coinbase – Exchange API

#32

Post by minimax »

benjaminjackman wrote: post #26
minimax wrote: post #22

(Thoughts from someone who works in this space) Exposing _all_ order entry traffic on the public market data feed is not great, especially the part where they expose client generated order uuids on the public feed. This allows market participants to potentially identify other market participants' orders based on their client order uuids e.g. if they are using a uuid generator that incorporates the MAC address. I thin…

I have not rwad the article but from what you are describing it sounds like they probably should just use itch. I think anonymity in markets might be something we should experiment with getting rid of. Doing that right is hard because it is difficult to prevent sock-puppetry-spoofing which would require regulations and penalties for rat hole order shredding. So order anonymity is 'easier'. But now the exchange has to…

Orders should be anonymous or explicitly attributed. What I'm taking issue with is the grey zone coinbase has created where you are mostly anonymous but you might be leaking some identifying information via public client order ids. If they want identities to be public they could make it explicit via explicit market participant IDs.

Re: Coinbase – Exchange API

#33

Post by mrchicity »

benjaminjackman wrote: post #28
mrchicity wrote: post #25

Earlier quoted context omitted.

Also if they're charging 25 bps to be a taker vs. 0 to make, people will want a post-only order. I actually like the idea of putting ClOrdIDs on the feed, maybe encrypted with some key only the sender has? Would make excluding one's own orders so much easier and no concerns about who sees what first: http://www.wsj.com/articles/SB100014241278873237981045784550...

Another option is to include the pricefeed order id in the order submit ack message sent on the order channel to the submitter.

Yes that's how things work on itch/ouch. Downside with that is you can see your order hit the feed before you know it's yours. For people who want to exclude their orders from their view of the market, they have to build heuristics to handle this case or risk flashing/chasing their own tail.

Also doesn't help the IOC case. If market data dissemination is usually faster than the private order entry/ack/fill channel, it would be better to know that a trade resulted from my IOC by seeing it on the data feed rather than waiting.

Re: Coinbase – Exchange API

#34

Post by clarkmoody »

mrchicity wrote: post #27
clarkmoody wrote: post #3

After having looked at dozens of Bitcoin exchange APIs, this one was a breath of fresh air. The only other respectable API out there belongs to Kraken [1]. [1] https://www.kraken.com/help/api

Polling is an awful API for market data, especially when the poll rate is limited. People end up gaming the system with multiple accounts and getting additional "peeks" into the order book. Maybe it doesn't matter for Bitcoin but it's a bad design for a serious exchange.

The API specifies how to poll once and use the streaming data feed to keep an accurate state of the order book on the client side.

So it's not really a polled API, for serious clients.

Re: Coinbase – Exchange API

#35

Post by clarkmoody »

functionCall wrote: post #21
clarkmoody wrote: post #6

Earlier quoted context omitted.

The way Coinbase is doing the streaming WebSocket data looks very good. My frame of reference is Bitstamp and Mt. Gox before that... Keeping a proper copy of the order book on the client side should be fairly straightforward. Bitstamp's API makes it impossible to keep the full order book synced. They broadcast the top 20 rows over the socket, but for many situations that's not good enough.

Bitstamp has a new websocket channel https://www.bitstamp.net/websocket/ where you can get full order book updates.

Excellent!

Maybe one day and exchange will create a developer email list where they let people know when the API changes (Bitstamp has had an awful history of breaking the API without warning).

Re: Coinbase – Exchange API

#36

Post by jzwinck »

clarkmoody wrote: post #34
mrchicity wrote: post #27

Earlier quoted context omitted.

Polling is an awful API for market data, especially when the poll rate is limited. People end up gaming the system with multiple accounts and getting additional "peeks" into the order book. Maybe it doesn't matter for Bitcoin but it's a bad design for a serious exchange.

The API specifies how to poll once and use the streaming data feed to keep an accurate state of the order book on the client side. So it's not really a polled API, for serious clients.

Indeed. The WebSocket API is described here: https://docs.exchange.coinbase.com/#websocket-feed

Re: Coinbase – Exchange API

#37

Post by mrchicity »

clarkmoody wrote: post #34
mrchicity wrote: post #27

Earlier quoted context omitted.

Polling is an awful API for market data, especially when the poll rate is limited. People end up gaming the system with multiple accounts and getting additional "peeks" into the order book. Maybe it doesn't matter for Bitcoin but it's a bad design for a serious exchange.

The API specifies how to poll once and use the streaming data feed to keep an accurate state of the order book on the client side. So it's not really a polled API, for serious clients.

Thanks for the correction. You're right.

If one of these guys provided a more traditional fix/itch/ouch setup, they might get more traction with traders who are already active in other currencies/products.

Re: Coinbase – Exchange API

#38

Post by sandGorgon »

artursapek wrote: post #5

It looks like it's not running yet. I'm getting a Heroku "No such app" 404. https://api.exchange.coinbase.com/currencies/

heroku ? are they using rails here ?

really interested to see what stack would somebody use to build a financial exchange and websockets

Re: Coinbase – Exchange API

#39

Post by kasey_junk »

Animats wrote: post #8

Looks straightforward enough. They note that your trading 'bots should be running on Amazon AWS East for minimum latency. They're encouraging high frequency trading. Since they're coming up with zero fees, they may have huge 'bot volume. Then they can announce they are the biggest exchange.

Given their maker/taker fee setup, they clearly are trying to attract liquidity providers, who definitely want to be able trade algorithmically.

But, other technical choices make it clear that they are not targeting existing HFT firms. For instance, cloud based virtualized servers are unacceptable for HFT firms. Not being located at one of the "major" exchange data centers is a problem for most firms as well. Finally, building an http/json based proprietary api instead of a standards based one or a proprietary binary format is a clear signal that they are not targeting existing HFT firms.

Re: Coinbase – Exchange API

#40

Post by benjaminjackman »

mrchicity wrote: post #31
benjaminjackman wrote: post #26

Earlier quoted context omitted.

I have not rwad the article but from what you are describing it sounds like they probably should just use itch. I think anonymity in markets might be something we should experiment with getting rid of. Doing that right is hard because it is difficult to prevent sock-puppetry-spoofing which would require regulations and penalties for rat hole order shredding. So order anonymity is 'easier'. But now the exchange has to…

I would never trade under my own name in a pre- or post-trade transparent market that included broker ID. Competitors are great at working with lots of data. You don't think they'd take a crack at reverse engineering my models given a feed of every trade I did (or even worse, all my orders)?

Of course they would reverse engineer them. How do markets benefit from your (or my) models being given privacy versus not being given it?
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