Support Board
Date/Time: Tue, 26 Nov 2024 21:32:17 +0000
Why is Volume Rounded to the Nearest Integer? And why in 10^-4 units?
View Count: 1210
| [2014-06-13 13:17:47] |
| btcdt95 - Posts: 8 |
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Hi all, I've exported tick-level data for bitcoin transactions from the bitstamp exchange, and the volume is in units like "10000" and "120000" and "140000" to represent transactions of 1, 12, and 14 bitcoins respectively. Two questions: 1) How do I prevent the volume from being rounded to the nearest integer (or in this case the nearest 10,000 units)? The way you are displaying the data makes it seem like volume is "0" whenever it is less than 1 because you round down, but this massively skews results whenever <1 bitcoin is traded. Precise data from the bitstamp exchange: date...................... price........vol 05/03/2013 11:06:10........95.81........0.4037394 05/03/2013 11:06:10........95.81........0.2404239 05/03/2013 11:07:10........96.37........0.8648957 05/03/2013 11:07:15........96.37........1.5 05/03/2013 11:07:15........95.81........0.8558367 SierraChart Data (same sample of observations): date.................... price......vol 2013/5/3 11:06:10........95.81........0 2013/5/3 11:06:10........95.81........0 2013/5/3 11:07:10........96.37........0 2013/5/3 11:07:15........96.37........10000 2013/5/3 11:07:15........95.81........0 2) Why do you measure volume traded in terms of 10^-4 bitcoins? As far as I can tell, this is not any actual unit of measurement, as mBTC = 10^-3 BTC, not 10^-4 BTC. Thanks! Date Time Of Last Edit: 2014-06-13 13:21:41
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| [2014-06-13 17:13:13] |
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The data is stored as integers since volume data has integer storage in Sierra Chart. However, the floating-point volume values are multiplied by 10,000. We just looked at a recent trade on Bitstamp and the volume was: 49.9317 This is stored as in Sierra Chart: 499317 You can check this through Edit >> Edit/Download Data-Intraday Chart. It will be exported as: 499317 So we do not observe what you are seeing. You will see the unadjusted values multiplied by 10,000. However, the last four digits will not always be 0000. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-06-13 17:14:31
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| [2014-06-13 17:21:46] |
| btcdt95 - Posts: 8 |
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Well, I suppose we are seeing different things. Maybe what you are saying is accurate for recent trades, but not for older trades. Without even exporting the data, I can look at the text file inside of the SierraChart application and I see this: 9/15/2013 20:23:41 125.360001 125.360001 125.360001 125.360001 0 1 0 0 9/15/2013 20:25:45 125.360001 125.360001 125.360001 125.360001 0 1 0 0 9/15/2013 20:26:20 125.360001 125.360001 125.360001 125.360001 0 1 0 0 9/15/2013 20:27:11 125.360001 125.360001 125.360001 125.360001 80000 1 0 0 9/15/2013 20:27:16 125.059998 125.059998 125.059998 125.059998 10000 1 0 0 9/15/2013 20:27:16 125.050003 125.050003 125.050003 125.050003 0 1 0 0 9/15/2013 20:27:16 125.050003 125.050003 125.050003 125.050003 0 1 0 0 9/15/2013 20:27:16 125.050003 125.050003 125.050003 125.050003 10000 1 0 0 9/15/2013 20:27:16 125.040001 125.040001 125.040001 125.040001 10000 1 0 0 9/15/2013 20:27:21 125.010002 125.010002 125.010002 125.010002 10000 1 0 0 9/15/2013 20:27:28 125.360001 125.360001 125.360001 125.360001 10000 1 0 0 Based on your data, it seems as though you start multiplying unadjusted values sometime on 12/9/13 but before then all the values are multiples of 10,000 with all 000 at the end. After 12/9/13 there are observations like "3193" and "34292" but before then it is all "3000" and "30000." It would be great if you could show me what your data says for 12/8/2013 and 12/10/2013 to compare. Date Time Of Last Edit: 2014-06-13 17:23:07
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| [2014-06-13 17:42:38] |
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We see why this is happening. It has to do with data imported from the Bitcoin charts website. We can solve this. Please allow 2 to 3 days for us to correct the data. We might have it done today though.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-06-13 18:18:46] |
| btcdt95 - Posts: 8 |
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Thank you. Are you saying you are getting data from bitcoincharts.com? My impression was that you were pulling from bitstamp.net directly, no? |
| [2014-06-13 18:24:09] |
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If we are missing data and when we begin to maintain data for an exchange, we will get the historical data from bitcoincharts.com to have some initial history.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-06-13 19:13:17] |
| btcdt95 - Posts: 8 |
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Makes sense. Do you know what dates you have from bitcoincharts.com versus what dates you have pulled directly from the exchange? This is important because I am trying to get the exact order of trades between direct pulls from the exchange and bitcoincharts.com, and so far your data does not line up with their data.
Date Time Of Last Edit: 2014-06-13 19:19:23
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| [2014-06-14 08:09:11] |
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We have re- downloaded all of the historical data for BTC-BSTMP from before 2013-12-10. The volume data should all be correct now . This is tick by tick data . Previously some of the data may have been 1 minute data. From this date forward, this is direct from the exchange. Otherwise, it is from bitcoincharts.com. We have added data from 2011-09. Go to your bitstamp chart and select Edit >> Delete All Data and Download, to get the updated data from our server. Let us know if there any further problems. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-06-14 08:11:56
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