Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

Questions tagged [bitcoin]

The tag has no usage guidance.

2
votes
1answer
260 views

Best way to buy and sell large volumes of crypto

I had a few questions about how to properly execute a large order of crypto currency without moving the price much. I know a lot of funds employ a TWAP/VWAP algorithm to liquidate or purchase a large ...
21
votes
5answers
6k views

Which Algorithmic trading library would you recommend for trading Bitcoin?

I am starting to do Algorithmic trading in cryptocurrencies using Python libraries. Most exchanges have RESTful API that make it easy to write you own code and get started. However, I would like to ...
1
vote
1answer
110 views

Bitcoin dynamics - C++ Simulation

I would like perform a simulation of Bitcoin future prices given a sample of the 4 past years (2014-2018). My problem is that I do not know what model to use! For common stocks I used the geometric ...
1
vote
1answer
74 views

How can I calculate the amount of volume to use to ensure highest profit on an arbitrage trade of two Constant Product Market Making exchanges? [closed]

If there exists an arbitrage opportunity between two Constant Product Market Making exchanges, how can you confidently determine the maximum volume to use in order to ensure highest profit? I can ...
9
votes
5answers
2k views

Which data sources are available for cryptocurrencies?

I am primarily looking for price and market cap histories for cryptocurrencies like Bitcoin, Ethereum, zcash, ... What are some good data sources and APIs where I can download history as well as get ...
0
votes
1answer
38 views

Why was a buy position not closed at the seller's price?

I'm trying to understand how the trading of crypto-currencies work. I imagine it's not that different from standard currency (or asset) trading, so I ask in this site. Consider the crypto market ...
0
votes
0answers
31 views

Inflation of Bitcoins

https://www.google.com/amp/s/www.coindesk.com/bitcoins-next-halving-rally-coming-soon-in-2019%3famp suggests that the inflation rate of Bitcoins is around 4 percent. Considering the fact that ...
0
votes
1answer
67 views

Are bitcoin futures daily settled at T+1 or is there another mechanism?

As in the title, are bitcoin futures daily settled at T+1 or is there another mechanism? Both CBOE and CME
8
votes
2answers
442 views

Something fundamentally different about cryptocurrencies?

You read a lot about cryptocurrencies these days, especially bitcoin. My question: Do you see something fundamentally different about them compared to other asset classes, i.e. other currencies, from ...
2
votes
0answers
237 views

Strange trading data coming from bitstamp

Through researching order execution algorithms I came upon something rather strange. My dev team wrote a program that captures live bitcoin trades on bitstamp through the WebSocket API for a single ...
3
votes
1answer
646 views

How can I calculate the margin requirements for a Bitcoin futures contract?

Suppose that I want to calculate what the margin requirements should be for a Bitcoin futures contract, where the contract is the USD/BTC exchange rate (settled in Bitcoins). I've looked at the SPAN ...
2
votes
0answers
170 views

Trading a large sum of bitcoin OTC

I was asked the following question at an interview: Suppose that you're an OTC trader for an exchange that trades bitcoin. What would you do in the following scenario? A large corporate ...
2
votes
1answer
195 views

Weierstrass function as market movement's attractor

I suddenly realized that BTC/USD index (while being unbounded to anything, yet liquid) in times of high volatility turns itself into something really beautiful and well-structured. Stochastic ...
0
votes
1answer
74 views

How to properly classify rate of change?

I am working in a Machine Learning Model for Bitcoin Price. I am attempting to predict how much the price changes in the next day. I am approaching this as a classification problem instead of ...
3
votes
2answers
177 views

Ethereum Price Movements

I've noticed a strange pattern for ethereum (ETH) prices over the past 3 months such that when sampling with a resolution of five minutes the mean time a continuous price drop/increase took ~25 ...
8
votes
1answer
327 views

Bitcoin CBOE futures listed today. Why its premium to cash product?

Today, CBOE Bitcoin futures were listed. I checked the price and was surprised that it has a premium to the cash price (Gemini exchange price from product specification) and am very shocked. I ...
1
vote
2answers
198 views

How to price bitcoins?

From January 2017 to this day, bitcoin price has increased more than 1000%. While debates over the criptocurrency are focused on its short term utility and its disconnection with real financial ...
1
vote
0answers
53 views

Are there ways of detecting a price bubble of an asset with no inherent value such as Bitcoin, purely based on an existing momentum in pricing?

I have heard of existing methods of detecting bubbles in the pricing of precious metals like gold and was wondering if, by extension, something similar could be done to examine prices of ...
2
votes
1answer
297 views

Build Implied Volatility Smile

I am currently to create my own volatility smile for cryptocurrency options. I am basically reading the bids and offers and calculating the implied volatilities. I now want to shape and parametrise ...
4
votes
0answers
744 views

Application of time series analysis to Bitcoin prices

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools from ...
1
vote
0answers
45 views

Has anyone found good data sources to model / backtest crypto-currency trading strategies? [duplicate]

I want to write trading strategies for crypto-assets. I am looking to find data sources I can play with to backtest. Has anyone found easy to use data or do I have to index / crawl data sources?
0
votes
1answer
234 views

How is the Blockchain.info Bitcoin Market Price Calculated?

I am about to apply traditional univariate GARCH tools to analyze the volatility of the Bitcoin - US Dollar exchange rate. The index that I would like to investigate is the Bitcoin Market Price (BMP) ...
3
votes
1answer
457 views

How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...