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Date/Time: Tue, 06 Dec 2022 06:32:40 +0000



Why is Volume Rounded to the Nearest Integer? And why in 10^-4 units?

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[2014-06-13 13:17:47]
btcdt95 - Posts: 8
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
[2014-06-13 17:13:13]
Sierra Chart Engineering - Posts: 104293
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
[2014-06-13 17:21:46]
btcdt95 - Posts: 8
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
[2014-06-13 17:42:38]
Sierra Chart Engineering - Posts: 104293
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
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]
Sierra Chart Engineering - Posts: 104293
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
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
[2014-06-14 08:09:11]
Sierra Chart Engineering - Posts: 104293
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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