Ok so, let me rephrase it to make sure I understand it.
You want to get the cumulative amount of liquidity available, across exchanges, given a certain offset from 1$…
It will reply the answer the question : ‘How much sell|buy liquidity is available right now across all exchanges untill the price of 1,xx $’ ?
Is my understanding correct ? (note that I tend to talk about offset expressed in $ rather than spreads which are ambiguous metrics
I know volumes can be manipulated (and they also are, especially mainstream BTC exchanges are doing this daily lately) , however to manipulate an exchange you have to be the exchange owner, to manipulate the orderbook you just need an account. So it is less likely that the exchange owner itself will take advantage of volume faking for purpuses of defeating our liquidity distribution mechanism .
How do you imagine gathering t1(frame) then, if not by order book analysis?
By triangulating it with liquidity info. Each liquidity info comes with an identifier you can retrieve with getliquiditydetails , and the identifier should be formed as following tier:pair:exchange:sessionid .
Example : 2:BTCNBT:ccedk:0.1.5_1424193501841_d5ef77
This way you can parse the identifier and see if it matches the orderbook… If you detect a big difference than its either a fake, a bug, or a lack of correct reporting by liquidity operator.
You had a “by the way”, I scrolled up a few posts and down again and it was gone. Almost thought I was hallucinating. Interesting that post edits work that way…
I’m still trying to figure out if those 500 NBT on the NBT/BTC sell side are a wall. It seems so, but the price I’ve calculated in a snapshot a few minutes ago is around 1,023 NBT, which is a bit far above the 1.015 NBT tolerance.
I see the numbers fluctuating wildly from refresh to refresh. Could you display 15 min moving average of the last row? (even better with standard deviation)
That’s what is basically happening on the exchange as well. Add another variable (external btc price) and there you have it… This data is gathered by the minute. Not very much I can do about, without switching to a live scheme with Ajax.
You want a 15 minute average for the total value? That’s no problem. Please confirm, that this is what you want.
If these are calculated every time there is a new data point, using data from the last 15 min (counted from this latest data point), we get a moving average and standard deviation. Note that N could change if data come in at irregular intervals.
