bitcoin san francisco dev talk 6-23-14, tom johnson

Download Bitcoin San Francisco Dev Talk 6-23-14, Tom Johnson

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Bitcoin Algorithmic Trading with CoinTrader and R Tom Johnson, PhDBitcoin SF Dev Group6-23-2014

Bitcoin Algo Trading DevelopmentObjective:

Make Money, Help Bitcoin, Have Fun

Why focus on Price rather than Pipes?Price Volatility Big deterrent to public acceptance Smooth rise good for all!

Big Opportunities for:Products - Derivatives, Transaction infoServices - Price guides, Block executionTrading/Arb - Hedging, Funds, Day-tradeCoins - Medium of xchg vs Store of value

What does R have to contribute?R is Open Source, Global, Data ScienceR script - Interactive, Algo development, Prototyping, Live control, Easy to migratePackages - 5800, 120k functionsCommunity - Statistics & Machine LearningPros - Stable, fast math, answers/resourcesCons - Single threaded, in-memory, silosR tools well matched to Bitcoin challenges So are others like Python and ?

So how volatile is Bitcoin?Compared with EURUSD?

Compared with Gold?

Comparing Bitcoin, EUR & Gold

But getting out of, or into BTC will cost you

And what you see isnt what you get

And nothings isolated; it impacts other Crypto, Home, Cross Pairs

So what does Bitstamps BTCUSD Orderbook look like?Demo with CoinTrader CSV file in AWS

With all the turbulence - What about arbitrage opportunities?

And theres Triangular Arbitrage -- Demo ExamplePriceonomics.com -- Find best 2-currency plus Bitcoin arbitrage among 3 currencies in live price feed:

Find most profitable sequence of transactions from any Chosen Home Currency, through an Intermediate Currency, then through Bitcoin and finally back to the Home Currency.

Exchange Rates at a Point in Time{USD_JPY: "95.7422091",USD_USD: "1.0000000",JPY_EUR: "0.0080872",BTC_USD: "105.5641218",...}

R Script xchgTable