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Venture Capitalist Tim Draper Wins Bitcoin Auction

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Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#91

Post by hft_throwaway »

drpancake wrote: post #63
minimax wrote: post #27

Earlier quoted context omitted.

For more lols check out the trading API. There is no TIF for orders and there isn't any obvious way to get fills as they occur. I guess you just poll the api to check for fills but they also say they'll ban your IP if you poll too often. Nice. Also no mechanism for cancel on disconnect or whatever the HTTP equivalent of that would be. Maybe there is some money to be made there, but it's hard to imagine trading with t…

Most of the exchange APIs are pretty dreadful to work with. Shameless plug, but I've had to a build a unified library to deal with this at Tradewave[1] and it has been challenging. Some of the newer, more professionally managed exchanges support FIX but those are at very low volumes right now. [1] https://tradewave.net

Cool idea!

Some questions/thoughts:

Do you provide any access to raw tick-by-tick event data or just bars?

How do you secure your users' scripts so they don't worry about you stealing their ideas or front-running them?

It might be useful to provide FX rates as a feed so users could come up with a synthetic price for non-USD pairs.

For guys who want to work passive orders, an API where they can pass a dictionary of prices/sizes they're willing to buy/sell at into a goal seeking algorithm that handles canceling/placing individual orders might be a better match and more convenient.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#92

Post by haakon »

dclusin wrote: post #46
chollida1 wrote: post #10

Wow, looking at the order book of bitstamp [1] through the eyes of someone who lives in the world of market microstructure is eye opening:) There are huge holes everywhere in the order book and the liquidity at each offering level seems to be completely without reason. I just spent 20 minutes applying the sort of algorithms that'd we'd normally run on each stock to make markets in it and it can't detect any real patt…

https://www.bitfinex.com/ allegedly (or at one point) claims to offer FIX connectivity. And they have swaps for BTC.

https://www.coinsetter.com/ also offers FIX.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#93

Post by jackgavigan »

voltagex_ wrote: post #84
jackgavigan wrote: post #24

Earlier quoted context omitted.

Well, in TFA, it's pretty clear that he plans to team up with Vaurum "to provide Bitcoin liquidity to emerging markets." So, it sounds like he may end up selling them to other people but only as part of a broader strategy to (and I'm guessing here) make it easier to transfer money to and from emerging markets. If that's what he's doing (and bear in mind I'm just guessing here) it's a very ambitious goal. I used to tr…

I've always wondered - what do you do when you lose that much money? What happens next?

You turn to the desk head and say "Boss, I just lost $16,000." and he says "Don't worry. It's happened before, it'll happen again."

That incident happened just a few weeks into my (short) career as a trader. I later learnt that everybody makes a mistake once in a while. It's unavoidable. It becomes a problem if you try to cover it up or if you keep making mistakes.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#94

Post by xorcist »

chollida1 wrote: post #10

Wow, looking at the order book of bitstamp [1] through the eyes of someone who lives in the world of market microstructure is eye opening:) There are huge holes everywhere in the order book and the liquidity at each offering level seems to be completely without reason. I just spent 20 minutes applying the sort of algorithms that'd we'd normally run on each stock to make markets in it and it can't detect any real patt…

Genuinely interested here. Would you mind explaining the terminology, or even better, expand on your thoughts in a blog post or something?

Bitcoin exchanges are generally very illiquid, in the meaning that little funds are kept on the exchanges. (Because there are no regulations and guarantees.) Would you not expect "huge holes" in such an order book? Why not?

What does "price level" mean? I read it as the distance between orders in the order book, but then your comment does not make sense. You are surprised these levels are farther apart than the bid/ask spread. Why?

What does "unsophisticated" mean? It seems to me you mean this in a specific sense rather than the dictionary meaning of the word. How is it that no discernible pattern is indicative of a less sophisticated market? In the layman definition of the word, one would expect the opposite.

I don't know if other markets behave the same but Bitcoin exchanges have large dark components to them. If the price moves dramatically, lots of coins move in/out of the exchanges. Some people believe the days-destroyed metric is indicative of these movements, but in practice things are of course not that simple.

As you might understand, I do dabble with Bitcoin trading on the side on a pure hobbyist basis and I would be very interested in your views on this. I don't know if there is a personal message function on the HN board but any answer would be appreciated. I think a lot of traders on Bitstamp and other exchanges are hobbyists too, but I have the feeling that something happened during the runup to the October rally and would not be surprised if there are quite a few pros among us now.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#95

Post by throwaway283719 »

hft_throwaway wrote: post #87
throwaway283719 wrote: post #50

Earlier quoted context omitted.

Well, a big part of the sparsity of the order book is that the tick size is tiny for a market this immature. Take the USD/JPY rate for example, which moves in ticks of 0.01 and is currently sitting at 101.83, so the tick size is 0.0098% of the price (or about 1 basis point). This is a mature currency market between two giant countries. By comparison, BTC/USD also moves in increments of 0.01 but its price is 655, so t…

That should create opportunity for automated trading. Identify large orders and place small orders a de minimis amount ahead of them when the bid-offer spread is sufficiently large. If someone trades with your bid (offer), try to be the best offer (bid) to exit and make the spread. If the large order behind you starts trading, trade with it to lose 0.01. I've traded these markets by hand before using relative value s…

Yes, the exchange fees are astronomical.

It looks like the spread if you wanted to trade 10BTC is around $2 (just looking at the last hour or so of data).

On BitStamp the exchange fee is 0.2% (at minimum - can be higher) so trading 10BTC twice (one buy, one sell) would cost you $20 in bid-offer spead, but about $26 in exchange fees - insanely high!

Usually you expect the exchange fees to be 1/10th to 1/5th of the spread. With fees this high and no rebates, I wouldn't even be sure I could make a profit as a market maker even if you could exit every position immediately.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#96

Post by drpancake »

hft_throwaway wrote: post #91
drpancake wrote: post #63

Earlier quoted context omitted.

Most of the exchange APIs are pretty dreadful to work with. Shameless plug, but I've had to a build a unified library to deal with this at Tradewave[1] and it has been challenging. Some of the newer, more professionally managed exchanges support FIX but those are at very low volumes right now. [1] https://tradewave.net

Cool idea! Some questions/thoughts: Do you provide any access to raw tick-by-tick event data or just bars? How do you secure your users' scripts so they don't worry about you stealing their ideas or front-running them? It might be useful to provide FX rates as a feed so users could come up with a synthetic price for non-USD pairs. For guys who want to work passive orders, an API where they can pass a dictionary of pr…

Thanks.

> Do you provide any access to raw tick-by-tick event data or just bars?

The minimum granularity is 1-minute candles, where the latest candle becomes available at the close of each clock minute (e.g. 02:00:01 if we're fast enough).

> How do you secure your users' scripts so they don't worry about you stealing their ideas or front-running them?

There's certainly an element of trust here. There's a clause in our license agreement stating that we'll never access user strategies unless you ask us to, or it's needed for some kind of maintenance.

We don't trade on user strategies. That's not the model here.

>It might be useful to provide FX rates as a feed so users could come up with a synthetic price for non-USD pairs.

More generally I'll be adding a way to load in arbitrary data via HTTP requests within a strategy.

> For guys who want to work passive orders, an API where they can pass a dictionary of prices/sizes they're willing to buy/sell at into a goal seeking algorithm that handles canceling/placing individual orders might be a better match and more convenient.

These kinds of features (e.g. VWAP orders) are in the pipeline. There's certainly a need for tools like that.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#97

Post by gnaritas »

Cyther606 wrote: post #73
gnaritas wrote: post #70

Earlier quoted context omitted.

> but it's not worth doing that when you consider taxes and reporting requirements That's like saying it's not worth owning stock because of taxes and reporting requirements; you're either very young, or you're just way off base.

Sorry, but you can't compare MtGox to the NYSE. Two points: 1. Bitcoin is _very_ thinly traded. I'm speaking as someone who sold at $1100 and bought back in at $450, which at the time was very near the bottom. In a matter of seconds, the price was $500. In those precious seconds, I'd be shocked if more than 10000 BTC traded hands. That's barely enough room for a handful of traders to call the bottom. Like I said, ver…

> Sorry, but you can't compare MtGox to the NYSE

I didn't, in fact I never mentioned Gox at all. Gox is not Bitcoin. I commented on your mention of taxes/filing being too burdensome, nothing more. Saying trading is not worth doing because of taxes/filing being too burdensome is just silly; the requirements are the same as for any other capital asset. People don't avoid trading the stock market because the taxes/filing of capital gains is too burdensome and they shouldn't avoid trading bitcoin for that either. If you can trade profitably, then it's worth it.

Re: Venture Capitalist Tim Draper Wins Bitcoin Auction

#98

Post by hueving »

pmorici wrote: post #25
hueving wrote: post #13

Earlier quoted context omitted.

That's a terrible indicator. Unless the guy was a complete moron, he wouldn't just submit an order to the market to buy 30k coins at the market price. It would be trickled over the process of a couple of weeks. By your same logic, the coins he bought are hardly worth anything because if he tried to sell them it would just crash the price. There is only about 5k worth of buy orders in the book at the moment. In fact,…

Yeah, that's the point. You would have to go through a lot of work slowly buying coins over several weeks to get to 30k and even then it would affect the price. So it makes sense to bid a little high and get them all in one go.

What 'work'? It would be trivial to just keep setting small orders until you reach your target. With how volatile bitcoin is there is no reason to chase the price up.
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