About thirty days ago I shared a chart on Price Discovery in this sub. There was a lot of interest in it and I promised to explain in detail a Bitcoin price discovery algorithm.
. I do so in this post. *this text post is a slightly shorter version of what I wrote in my blog
I applied price discovery algorithms to 5 Min OHLCV data from Bitmex and CME contracts and Bitstamp, Coinbase, HitBTC, Kraken, Poloniex, Binance, and OkEx BTCUSD/BTCUSDT markets from March 2016 to May 2020. Some exciting results I got was:
- Before the 2017/18 bull run, Bitfinex dominated the price discovery process. They started the run. But as the price increased, trades on other exchanges, Binance and Bitstamp played a more dominant role in leading the price up.
- Since then, CME Contracts and Bitmex contracts have had an increasing role in price discovery. Today Bitmex and CME Contracts play the most substantial role in determining the direction of Bitcoin price.
- In 2020, market dominance by Bitmex has been negatively correlated with price. Dominance by Bitfinex, Huobi and OkCoin has had high positive correlation with price.
Price discovery is the overall process of setting the price of an asset. Price discovery algorithms identify the leader exchanges whose traders define the price. Two approaches are most famous for use in Price Discovery. Gonzalo and Granger (1995) and Hasbrouck (1995). But they assume random walk, and a common efficient price. I do not feel comfortable assuming random walk and common efficient price in Bitcoin Markets. So I used this little know method by De Blasis (2019)
for this analysis. This work assumes that "the fastest price to reflect new information releases a price signal to the other slower price series." I thought this was valid in our market. It uses Markov Chains to measure Price Discovery. Without going into the mathematical details the summary steps used was:
De Blasis (2019)
- Data is first grouped into a daily interval. Then inside each daily interval's 5-minute candles, the change in prices between the current time t and previous time t-1 is calculated. The difference across the same time t across all exchanges in a given day is juxtaposed to create an initial matrix.
- The initial matrix is used to create a Transition Matrix, which measures the probability of price changing to something else at time t+1 for its state at t.
- Then other Markov Chain based algorithms are used to measure the influence an exchange at time t had over all other exchanges' price movement at time t+1 individually.
- Reduction and normalization is done to this data. In the end, each exchange receives a single number that sums to 1 for a given day.
names this number Price Leadership Share (PLS). High PLS indicates a large role in price discovery. As the sum of the numbers is 1, they can be looked at as a percentage contribution. I recommend reading the original paper
if you are interested to know more about the mathematical detail.
Data Andersen (2000)
argues that 5 Minute window provides the best trade-off between getting enough data and avoiding noise. In one of the first work on Bitcoin's Price Discovery, Brandvold et al. 2015
had used 5M window. So I obtained 5M OHLCV data using the following sources:
- Poloniex, Bitfinex, Binance and HitBTC: Exchange's API through CCXT.
- Huobi: Official Websocket Market API
- Coinbase: Official API using cbpro
- Kraken, Bitstamp, OkCoin: I created candles from the trade data obtained from Bitcoincharts
- OkEx: Bitdataset API
- CME: Okay, this was was supposed to be tricky and expensive. I broke a TOS and scraped the data for free, removing the expensive part from the equation. I will not go into detail about where I scraped this data.
- Bitmex: I got Bitmex data from the API.
Futures data are different from other data because multiple futures contract trades at the same time. I formed a single data from the multiple time series by selecting the nearest contract until it was three days from expiration. I used the next contract when the contract was three days from expiration. This approach was advocated by Booth et al ( 1999 )
I can't embed the chart on reddit so open this https://warproxxx.github.io/static/price_discovery.html
In the figure above, each colored line shows the total influence the exchange had towards the discovery of Bitcoin Price on that day. Its axis is on the left. The black line shows a moving average of the bitcoin price at the close in Bitfinex for comparison. The chart was created by plotting the EMA of price and dominance with a smoothing factor of 0.1. This was done to eliminate the noise. Let's start looking from the beginning. We start with a slight Bitfinex dominance at the start. When the price starts going up, Bitfinex's influence does too. This was the time large Tether printing was attributed to the rise of price by many individuals. But Bitfinex's influence wanes down as the price starts rising (remember that the chart is an exponential moving average. Its a lagging indicator). Afterward, exchanges like Binance and Bitstamp increase their role, and there isn't any single leader in the run. So although Bitfinex may have been responsible for the initial pump trades on other exchanges were responsible for the later rally.
CME contracts were added to our analysis in February 2018. Initially, they don't have much influence. On a similar work Alexandar and Heck (2019)
noted that initially CBOE contracts had more influence. CBOE later delisted Bitcoin futures so I couldn't get that data. Overall, Bitmex and CME contracts have been averaging around 50% of the role in price discovery. To make the dominance clear, look at this chart
where I add Bitmex Futures and Perp contract's dominance figure to create a single dominance index. There bitmex leads 936 of the total 1334 days (Bitfinex leads 298 days and coinbase and binance get 64 and 6 days). That is a lot. One possible reason for this might be Bitmex's low trading fee. Bitmex has a very generous -0.025% maker fee and price discovery tend to occur primarily in the market with smaller trading costs (Booth et al, 1999
). It may also be because our market is mature. In mature markets, futures lead the price discovery.
|Exchange ||bitmex_futures ||bitfinex ||coinbase ||bitmex ||okex ||binance ||cme ||bitstamp ||okcoin ||kraken ||poloniex |
|Days Lead ||571 ||501 ||102 ||88 ||34 ||12 ||8 ||7 ||6 ||4 ||1 |
Table 1: Days Lead
Out of 1334 days in the analysis, Bitmex futures leads the discovery in 571 days or nearly 43% of the duration. Bitfinex leads for 501 days. Bitfinex's high number is due to its extreme dominance in the early days.
|Exchange ||binance ||huobi ||cme ||okcoin ||bitmex_futures ||okex ||hitbtc ||kraken ||poloniex ||bitstamp ||bitfinex ||coinbase ||bitmex |
|Correlation ||0.809190 ||0.715667 ||0.648058 ||0.644432 ||0.577147 ||0.444821 ||0.032649 ||-0.187348 ||-0.365175 ||-0.564073 ||-0.665008 ||-0.695115 ||-0.752103 |
Table 2: Correlation between the close price and Exchange's dominance index
Binance, Huobi, CME, and OkCoin had the most significant correlation with the close price. Bitmex, Coinbase, Bitfinex, and Bitstamp's dominance were negatively correlated. This was very interesting. To know more, I captured a yearwise correlation.
| ||index ||2016 ||2017 ||2018 ||2019 ||2020 |
|0 ||bitfinex ||0.028264 ||-0.519791 ||0.829700 ||-0.242631 ||0.626386 |
|1 ||bitmex ||0.090758 ||-0.752297 ||-0.654742 ||0.052242 ||-0.584956 |
|2 ||bitmex_futures ||-0.011323 ||-0.149281 ||-0.458857 ||0.660135 ||0.095305 |
|3 ||bitstamp ||0.316291 ||-0.373688 ||0.600240 ||-0.255408 ||-0.407608 |
|4 ||coinbase ||-0.505492 ||-0.128336 ||-0.351794 ||-0.410874 ||-0.262036 |
|5 ||hitbtc ||0.024425 ||0.486229 ||0.104912 ||-0.200203 ||0.308862 |
|6 ||kraken ||0.275797 ||0.422656 ||0.294762 ||-0.064594 ||-0.192290 |
|7 ||poloniex ||0.177616 ||-0.087090 ||0.230987 ||-0.135046 ||-0.154726 |
|8 ||binance ||NaN ||0.865295 ||0.706725 ||-0.484130 ||0.265086 |
|9 ||okcoin ||NaN ||0.797682 ||0.463455 ||-0.010186 ||-0.160217 |
|10 ||huobi ||NaN ||0.748489 ||0.351514 ||-0.298418 ||0.434164 |
|11 ||cme ||NaN ||NaN ||-0.616407 ||0.694494 ||-0.012962 |
|12 ||okex ||NaN ||NaN ||-0.618888 ||-0.399567 ||0.432474 |
Table 3: Yearwise Correlation between the close price and Exchange's dominance index
Price movement is pretty complicated. If one factor, like a dominant exchange, could explain it, everyone would be making money trading. With this disclaimer out of the way, let us try to make some conclusions. This year Bitfinex, Huobi, and OkEx, Tether based exchanges, discovery power have shown a high correlation with the close price. This means that when the traders there become successful, price rises. When the traders there are failing, Bitmex traders dominate and then the price is falling. I found this interesting as I have been seeing the OkEx whale who has been preceding price rises in this sub. I leave the interpretation of other past years to the reader.
My analysis does not include market data for other derivative exchanges like Huobi, OkEx, Binance, and Deribit. So, all future market's influence may be going to Bitmex. I did not add their data because they started having an impact recently. A more fair assessment may be to conclude this as the new power of derivative markets instead of attributing it as the power of Bitmex. But Bitmex has dominated futures volume most of the time (until recently). And they brought the concept of perpetual swaps.
There is a lot in this data. If you are making a trading algo think there is some edge here. Someday I will backtest some trading logic based on this data. Then I will have more info and might write more. But, this analysis was enough for to shift my focus from a Bitfinex based trading algorithm to a Bitmex based one
. It has been giving me good results.
If you have any good ideas that you want me to write about or discuss further please comment. If there is enough interest in this measurement, I can setup a live interface that provides the live value.
2016 HotSpot company
2017 Advertising agency focused on Wi-Fi advertising
2018 Decentralised free Wi-Fi network based on blockchain technology Our existing projects Adrenta and Radius Wi-Fi are focused on Wi-Fi advertising in public areas. As of today, Adrenta network accounts for more than 14 000 open networks and over 100 franchise partners. The companies operate in 80 cities and have more than 100 employees. The increase in the number of our Wi-Fi access points in 2017 was 784%.
14K open networks
WITH OUR ANTENNAS YOUR ROUTER WILL EARN UP TO 5 TIMES MORE!
World Wi-Fi has created antennas that focus the signal, guarantee the high-quality uniform Wi-Fi coverage of a given area and are compatible with a wide range of Wi-Fi routers.
Built with the most cutting-edge technologies in the field, these antennas direct the Wi-Fi signal, providing stable Wi-Fi.
World Wi-Fi antennas are:
compact equipped with different mounting structures suitable for using inside, for instance in offices suitable for outside The devices underwent rigorous lab testings.
WORLD WIFI ROADMAP 1 August 2017 – December 2017 Development completion of project’s prototype. Development of smart contract, financial and marketing plans. Inviting additional team members in big data, marketing and financial management. 2 December 2017 – April 2018 Start of fund raising campaign (PRE-SALE stage). Alpha testing completion of the platform. Launch of WORLD WI-FI marketing campaign. 3 April 2018 – May 2018 Run of TOKEN SALE and completion of fund raising campaign. 4 April 2018 Beta testing launch of WORLD WI-FI platform. Referral program launch. 5 May 2018 – June 2018 Completion of beta-testing. Official release of the WORLD WI-FI platform. Start of international information campaign to invite users and advertisers. Listing of WeToken at the exchanges. 6 June 2018 Completion of developing the software for all main models of private routers. Listing of WeToken at major exchanges. 7 August 2018 – March 2019 Launch of mobile device application. New modification and adding new functions to the WORLD WI-FI platform. Opening of the representative office in San Francisco. Reaching 150 000 000 ad impressions per day and 3 million of active routers. 8 March 2019 – December 2019 Holding three conferences for our partners and advertisers. Inviting new partners, new community members and advertisers. Reaching 400 000 000 ad impressions per day and 8 million of active routers. 9 December 2019 – March 2021 Expanding into major areas of the world: America, Asia, Europe and Australia. Inviting major international advertising networks. Reaching 1 000 000 000 ad impressions per day and 20 million of active routers. WORLD WIFI PROJECT DEVELOPMENT DEPLOYMENT OF WI-FI NETWORK ON A REGIONAL BASIS BY THE AMOUNTS RECEIVED IN TOKEN SALE
$ 3 500 000 EASTERN AND CENTRAL EUROPE
$ 6 500 000 EASTERN, CENTRAL, WESTERN AND NORTHERN EUROPE
$ 8 100 000 EASTERN, CENTRAL, WESTERN, SOUTHERN AND NORTHERN EUROPE, WESTERN ASIA
$ 10 000 000 EASTERN, CENTRAL, WESTERN, SOUTHERN AND NORTHERN EUROPE AND WESTERN AND SOUTH-EAST ASIA
$ 15 500 000 EASTERN, CENTRAL, WESTERN, SOUTHERN ND NORTHERN EUROPE AND WESTERN, EAST AND SOUTH-EAST ASIA
$ 20 600 000 EASTERN, CENTRAL, WESTERN, SOUTHERN AND NORTHERN EUROPE AND WESTERN, EAST AND SOUTH-EAST ASIA AND NORTH AMERICA
$ 25 000 000 EASTERN, CENTRAL, WESTERN, SOUTHERN AND NORTHERN EUROPE AND WESTERN, EAST AND SOUTH-EAST ASIA, AMERICAS AND AUSTRALIA WORLD WIFI TOKEN DISTRIBUTION TOKEN DISTRIBUTION PRE-SALE, TOKEN SALE 43% FUTURE DEVELOPMENT 40% FROZEN FOR 1-5 YEARS FOUNDERS 7% FROZEN FOR 1 YEAR TEAM 5% ADVISERS 3% BOUNTY 2% WORLD WIFI COST STRUCTURE COST STRUCTURE ADVERTISING AND MARKETING 39.5% EXPENSES FOR AGENT NETWORK 25.5% Engaging and training agents (webinars, trainings), advertising / exhibition materials, technical support RESEARCH & DEVELOPMENT 24.4% Developing firmware for all existing models of Wi-Fi routers, upgrading the existing firmware, the DEAL protocol and other elements of the blockchain platform, enhancing capabilities for ad targeting EXPENSES FOR BUILDING B2B NETWORK 6.4% EXPENSESES ON SOFTWARE AND HARDWARE 2.4% PAYROLL 1.3% ADMINISTRATIVE EXPENSES 0.5% WORLD WIFI ADVISERS
Christel Quek Adviser Business Insider as one of the 30 best executives to follow on Twitter. Christel is a technology executive who has built brands and digital businesses since the advent of the digital economy. She was the Head of Content at Twitter across their International Markets, and led Social Business for Samsung Asia. Christel was selected by The Guardian as one of the top global digital strategists, Campaign Asia-Pacific as a Woman to Watch. Was an Advisor in Zilliqa one of the best ICO in 2018.
Dmitry Dain Adviser, one of the first developers of 802.11 Wi-Fi Protocol Adviser, one of the first developers of 802.11 Wi-Fi Protocol Member of the world's cryptographers' association. Founder of 'Virgil Security' (USA), a company specializing in cryptography and encryption.
Fred Ledbetter Adviser, executive in largest Telecom operators CEO Imaginet/Czech Telecom, CCO Virgin Connect, CMO Golden Telecom – executive management in WiFi, Internet, wireless, broadband and mobile in large and medium firms and start ups.
Thierry De Gorter Adviser Has a Princeton University degree in corporate finance. Fascination by modern fin tech, lead him to the deep commitment to the blockchain technology. Currently advising and developing decentralized infrastructure projects. Thierry is bitcoin enthusiast and philanthropist.
Yagub Rahimov Media Adviser Yagub Rahimov is serial entrepreneur operating within FinTech ecosystem. Investing since the age of 16, Yagub is an award winning trader and a savvy Crypto/Bitcoin investor since mid-2009. He has a vision that machine learning combined with the Blockchain technology will define the future of the FinTech ecosystem.
Yun Keun LEE Adviser in Korea Republic Journalist in New York, CEO of CLC Biz global marketing and investor, CEO of block chain Internet newspaper 'Daily Coin News', fluent in multiple languages (English, Japanese, Russian, Korean).
Wu Fei Adviser in China Expert at Public Diplomacy, International Communication and International Affairs, just focus on establishing the Sino-Russian ICO and the Block chain Alliance under the framework of the Belt and Road Initiative and the Guangdong, Hong Kong, Macao Bay areas. WORLD WIFI TEAM
Ilya Yashin Co-Founder & CEO The expert in the IT integration sphere, digital economy and a blockchain technologies. The co-founder of two actively developing Adrenta and Radius Wi-fi services. He participated in creation of the IT integrator in Moscow. Considers that a blockchain is the future of sharing-economy.
Vladislav Martynov Сo-Founder Co-founder of Yota Devices (developer of YotaPhone), www.BlockGeeks.com
- the largest online platform for teaching blockchain technology and the developer of sports analytics systems www.iceberg.hockey
, and head of the Ethereum competence center.
Yan Sepiashvili Co-Founder Entrepreneur, PhD in Medicine, over 10 years in IT, advertising and real estate projects. Managing partner and co-founder of the Adrenta and Radius Wi-Fi services.
Dmitry Koleznev Chief Operation Officer Previously General Director and stock-holder of WorldTelecom.Prior General Director and stock-holder of National Payment System and Delta Telecom.
Larry Cameron Technical Information Security Officer Chief Technology Officer with a proven track record in the information technology industry. Demonstrated skills in working with Data Centers, Systems Architecture, Management, Support and Cyber Security
Alisha Golden Marketing & PR in North America A growth strategist and media maven with 11 years of experience across 3 continents growing and scaling start-ups and brands. Alisha is well versed in investment and mainstream media. Alisha’s clients have been featured in Fast Company, INC, Wired, Forbes, Origin Magazine, ABC news, The Huffington Post, The New York Daily News as well as developed brand partnerships with the likes of silicon valley’s travel, tech giant.
Tim Kosykh CBDO Tech enthusiast and cosmopolite. Founder of a few IT startups in Ireland. Managed multiple technological projects in Europe, Asia, and USA. Believes in technological singularity.
Yury Polovinkin Technical Director Launch of Wi-Fi network in the Moscow Metro. Developed and launched his own hotspot solution. Participated in development and implementation of information systems in major companies.
Anand Gupta Big Data strategy Graduate of the Indian Institute of Technology. Extensive experience in Big Data solutions for Nokia and Mitel
Bhavik Limbani App Developer Master in computer science. Mobile App Developer, Web Developer, Java, Blockchain Developer
Valeriy Belousov Head of Radio Network Development Radiophysicist. Was a head of a special testing laboratory, a service of local and international radio monitoring. Developed the communication and control systems for the Army and Emergency services, the systems for calculating radio propagation. Was a Leading expert in the Higher School of Economics.
Jagadish Channagiri Big Data expert Software Executive with broad experience in product development for Big Data solutions. WORLD WIFI PARTNERS
WORLD WIFI LISTINGS | RATINGS
PLATINUM STATUS Rating: 97 of 100
Rating: 4,67 of 5
Rating: 4,6 of 5
WORLD WIFI BLOG
AMA Session with Ilya Yashin, CEO of World Wi-Fi. 03 July, 2018
World Wi-Fi at CES Asia 2018 14 June, 2018
Vladislav Martynov and Ilya Yashin united AMA session
Ethereum and World Wi-Fi look in the same direction 26 April, 2018
World Wi-Fi at Teamz Business Summit in Tokyo 22/23 March, 2018
Dmitry Dain About WorldWifi Follow us on our YouTube Channel and Medium
WORLD WIFI PRESS
WORLD WIFI FAQ World Wi-Fi is a blockchain platform for setting up a global decentralized free Wi-Fi network linking together mainly home-based routers. Participants of the platform are casual users, router owners and advertisers. Users get free Internet access; router owners receive remuneration from advertisers for the ads viewed by users; advertisers get an efficient tool to reach their target audience and study their advertising campaigns. WORLD WIFI CONTACTS SINGAPORE HEAD OFFICE Marina Bay Financial Centre Tower 1, Level 11, 8 Marina Boulevard, Singapore 018981
RUSSIA, MOSCOW TECHNICAL OFFICE Business center Glass House Lusinovskaya Street 36-1, Moscow 115093
the advertising agencies and Internet providers / operators to cooperation
Share wi-fi and earn cryptocurrency 비번 9933
Cooperation PR [email protected]
Legal [email protected]
Partners [email protected]
Telegram tele @world_wifi EXCHANGE LIST Binance Huobi Kucoin Bibox Qryptos Satoexchange BIGone Bitrue Bilaxy Bit-Z Linkcoin SECURE WALLET https://www.ledgerwallet.com/3b59
Trade over 40 cryptocurrencies and enjoy the lowest trading fees in America. Bitcoin Mining Profitability Calculator. Whether you're looking to get started in the world of cryptocurrency mining or you're a pro, this calculator can tell you your profit margins based on the current bitcoin mining difficulty and the Bitcoin price (BTC) to Dollar (USD) rate. Just input your hash rate, any pool fees you many incur, power ... One Binance Trader Believes Bitcoin Will Move Higher Soon 12/09/2020 Jack Dorsey Believes BTC Is The Best Manifestation Of Native Crypto 11/09/2020 Square Wants To Stop Patent Trolls From Killing The Bitcoin Adoption 11/09/2020 he CoinDesk Bitcoin Calculator converts bitcoin into any world currency using the Bitcoin Price Index, including USD, GBP, EUR, CNY, JPY, and more. Binance cryptocurrency exchange - We operate the worlds biggest bitcoin exchange and altcoin crypto exchange in the world by volume Free Binance profit calculator. It is now simple to calculate how Uk Energy In Brief 2018 Thank you for using Genesis Mining Wie Kann Man Mit Werbung Geld Verdienen Promo Code oBy7uDShort, roubini believes they concluded that while bitcoin reputable. Up 3.05x As you can see the difficulty is always going up, no matter what’s happening with the price. Power distribution system Genesis Mining ...
This video is a brief introduction on #Options Trading in #Binance JEX Exchange Binance JEX belongs to Binance.com. Here in Binance JEX, you can trade #Bitcoin Futures, Bitcoin Options, Ethereum ... Tutorial completo Binance do zero/ Criando e validando conta #binance #bitcoin #trade - Duration: 8:43. Canal ... Install Binance app for iPhone in under 2 minutes with QR code - Duration: 1:32 ... Maximum daily profits proved using my crypto trade calculator Net Profit: $671.88 ROI: 38.98% Must watch video: https://www.youtube.com/watch?v=Xc9TwWJZoWM&l... Bitcoin Technical Analysis & Bitcoin News Today: Craig Wright is a fraud and Binance delists Bitcoin SV. I'll use technical analysis on the Bitcoin price to make a Bitcoin price prediction. Watch ... bitcoin is going down! - stellar airdrop - binance september 23rd - bakkt crypto stories - STELLAR AIRDROP - BINANCE SEPTEMBER 23RD - BAKKT CRYPTO STORIES CryptoWendyO BİNANCE KAYIT LİNKİM : https://www.binance.com/?ref=12877237 paribu ya para yatırma ve borsaya para gönderme . binanceden bitcoin çekme paribu nasıl kullanılır Invite Code (for mobile): yNXtSRe (this is case sensitive!) Live NOVA Trading MasterClass at NAC3 Conference Buy Tickets: https://www.nac3.io Get a $15 dollar discount with CODE: cryptobud Bitcoin is a volatile instrument and can move quickly in any direction. Crypto Oracle is not responsible for any trading loss incurred by following this advice Category Subscribe to my channel for more videos showing how to create passive income with Cryptocurrency. Start buying Bitcoin now with a FREE account by clicking he... In this video I will show you how to figure out the price of your altcoin. Crypto math can be difficult at times but once you get the hang of it it's not so bad. ALTcoin calculator (To Edit ...