Data types regarding to trading sessions on cryptocurrency exchange
Buying cryptocurrency data, you are going to deal with different types of data on the cryptocurrency trade market. Depending on the timelines of trading sessions and order type, the following types of data are distinguished.
Intraday data show general information about trading status throughout the day. In contrast to classic market, cryptocurrency trade market continues to function through the night.
The more data of trading sessions we collect, the better picture we get. It is necessary to adjust trade bots correctly.
EOD (end of day)
This type of data is the most aggregated. The data is gathered by the end of a day. For example, BTCUSD 01/10/2018 $6630. It means the price has been $6630 per bitcoin by the end of the day. The data are used by economists and analysts for making calculations. It indicates trends in cryptocurrency value.
OHLC, or open-high-low-close, is a chart which demonstrates open prices at the start of a trading day, the highest and the lowest price range during the day, and close prices by the end of the day. OHLCV chart also demonstrates trading volume during the day.
For example, BTCUSD pair on Binance on 1 October 2018 has OHLCV: 6543; 6890; 6125; 6630; 70M. That means bitcoin-dollar exchange range is assumed to be $6543 at the start of the day, the highest price range is $6890 during the day, the lowest one — $6125, close price is $6630 at the end of the day. Close price is open price at the beginning of the following day. 70М means that trading volume is 70$ millions during the day.
These data are still too aggregated which don’t allow us to watch the whole picture of trading during the day. To see a more detailed picture you should check data every 1/5/10/15/30 seconds or every 1/5/10/15/30 minutes or every hour. These data show the precise trading sessions which could be analyzed to predict traders and investors attitude.
Now you have a question: why shouldn’t you use complete data all the time? First of all, it’s hard to collect such data and, secondly, it costs too much. So you should choose correct volume of data for every single task. For example, if you want to construct an economic model in cryptoeconomics you can choose intraday ohlcv data. For strategic investments it’s enough to have EOD data. More complete data is needed to customize and test trading bots.
There is also another reason to use other types of data. The data types mentioned above are of established trading on the market. However these data don’t include bid orders and sell orders. For example, in this situation with OHLCV: 6543; 6890; 6125; 6630; 70M, trader put bitcoins 200$ millions on the market, but sold only 70$ millions. 130$ millions were unrealized. That is a crucial information for understanding of further changes in exchange rate. Most likely the price will fall below $6125.
There is another group of data types which helps to understand such situations on the exchange market.
This is the most complete data type — these data show every changes of trading sessions on the market. Here are all sell and bid orders, prices and volumes.
Level 1 Market Data (top of book, best bid offer)
The data include:
- Bid price: the highest price per asset.
- Bid size: Number of assets wanted to buy at that price.
- Ask price: The lowest priced sell order
- Ask size: Number of assets wanted to sell at that price.
- Last price: The last price at which the last trade occurred.
- Last size: Number of assets sold at the last price.
Bid price: $6750
Bid size: 50BTC.
Ask price: $6780
Ask size: 10BTC
Last price: 6770
Last size: 5BTC
The data show traders who are willing to sell 10 bitcoins at a price $6780. Also there are traders who are willing to buy 50 bitcoins at a price $6750. As we can see, trades cannot be accomplished in such conditions. Trades pause until one of the parties changes the price. Meanwhile we have information that previous sale took place at $6770, and 5 bitcoins were sold.
Level-1 data type demonstrates the lowest ask price and the highest bid price at real time. This data type is useful for trading bots which play on big price fluctuations.
Full orderbook data aka level-2
Comparing to Level 1 Market Data, this data type is more complete. The main difference is that data show every order of a trader. For example, if we have 3 000 of orders, all of them will be represented in that data type.
This data type is used mostly by scalpers. Scalpers are a specific type of short-term traders.
Such a data type creates a better understanding of traders needs and attitudes. Moreover, it allows to define the existence or the lack of walls. Whether there are big players who are trying to hold up prices.
Time and sales data
There is a third real-time data type — “time and sales”. The following data type demonstrates an every accomplished trade on the cryptocurrency market.
The data include:
- Date and Time: Accurate date and time at which the last trade occurred.
- Direction: Which order was performed (seller or buyer)
- Price: Price at which the last trade occurred
- Volume or Size: Trade volume in cryptocurrency
Let’s take for example:
Date and Time: 01.10.2018 19:37:09
Volume or Size: 0,2BTC
All orders enter the market and are ranked by the price. Buy and Sell orders line up opposite one another in the Market Depth Table. Exchange market manages orders. The crucial moment is a trade range, i.e. which orders are performed — those, who are willing to buy or those, who are willing to sell. This indicates how the price can change.
Thank you for reading our article. Now, answer the question: If you have trading data per second, what is the data type you‘re dealing with?
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