Considering the deviation spotted in bitstamp-btce_2015-08-18 and bitstamp-btce_2015-08-19. Here zooming in on a 6 hour window, 18 Aug 21:00 - 19 Aug 03:00
The volume on Bitstamp preceeds the volume on Btce and also leads the fall. Interestingly the greatest difference is not in the first fall but somewhere in the recovery. Zooming in further at 80 min interval shows the deviation is affected the greatest where btce leading recovery. (the shift appears different because it depends on the interval)
Towards proposal of a trading-strategy, if we (somewhat arbitrarily) select a -4 threshold for initiating buy-orders and a +4 for sell-orders, and considering a 24 hour window here centered on the event
Executing when a threshold is met is an implementable real-time strategy, triggering on (-4,4) (somewhat arbitrarily) produces the following "events".
2015-08-18 23:52:39, -4.0889 2015-08-19 02:14:19, 4.1555
To get insight into dynamics at a very small scale, the very high-resolution closeups
are across 1 minute intervals surrounding
the threshold-indicators (and individual trades are marked with crosshairs). On 23:52 and following minutes suggest we can pick up trades on 222 USD
in the order of at least 100K. There is less activity on 02:14 and following minutes, but still suggests
we would be able to sell at 235 USD in the order of around ~10K.
Transcripts of the trades (same as the charts) also provided below.
Executing trades according to this "strategy" would in this example produce a 235/222 x 0.996%(fee) = 5% profit
Bitstamp-Btce, 18 Aug 23:47 - 23:58, 1 min intervals
Bitstamp-Btce, 19 Aug 02:10 - 02:23, 1 min intervals
2015-08-18 23:52:39 USD amount=0.24995200 price=222.000 volume=55.489 2015-08-18 23:52:39 USD amount=0.07124730 price=222.400 volume=15.845 2015-08-18 23:52:40 USD amount=0.75004798 price=222.000 volume=166.511 2015-08-18 23:52:43 USD amount=0.57200003 price=221.990 volume=126.978 2015-08-18 23:52:44 USD amount=0.24997000 price=221.990 volume=55.491 2015-08-18 23:52:46 USD amount=0.12017100 price=221.990 volume=26.677 2015-08-18 23:52:48 USD amount=0.11978100 price=221.770 volume=26.564 2015-08-18 23:52:48 USD amount=6.21822023 price=221.990 volume=1380.383 2015-08-18 23:52:54 USD amount=3.04600000 price=221.770 volume=675.511 2015-08-18 23:52:54 USD amount=0.11997500 price=221.770 volume=26.607 2015-08-18 23:53:00 USD amount=0.07622250 price=221.770 volume=16.904 2015-08-18 23:53:00 USD amount=0.52899998 price=221.770 volume=117.316 2015-08-18 23:53:01 USD amount=0.24996801 price=221.990 volume=55.490 2015-08-18 23:53:01 USD amount=0.24998900 price=221.780 volume=55.443 2015-08-18 23:53:01 USD amount=14.50000000 price=222.400 volume=3224.800 2015-08-18 23:53:04 USD amount=0.27669999 price=221.770 volume=61.364 2015-08-18 23:53:09 USD amount=0.24995901 price=221.770 volume=55.433 2015-08-18 23:53:10 USD amount=0.22507800 price=221.790 volume=49.920 2015-08-18 23:53:11 USD amount=36.50500107 price=222.390 volume=8118.347 2015-08-18 23:53:11 USD amount=0.67452103 price=222.380 volume=150.000 2015-08-18 23:53:15 USD amount=0.24996400 price=221.780 volume=55.437 2015-08-18 23:53:16 USD amount=0.10560000 price=222.400 volume=23.485 2015-08-18 23:53:17 USD amount=0.24996300 price=221.780 volume=55.437 2015-08-18 23:53:18 USD amount=11.91909981 price=222.400 volume=2650.808 2015-08-18 23:53:18 USD amount=5.07547998 price=221.990 volume=1126.706 2015-08-18 23:53:18 USD amount=9.22599030 price=222.400 volume=2051.860 2015-08-18 23:53:19 USD amount=0.04983570 price=222.400 volume=11.083 2015-08-18 23:53:19 USD amount=0.04636920 price=222.400 volume=10.313 2015-08-18 23:53:22 USD amount=0.07351010 price=221.770 volume=16.302 2015-08-18 23:53:22 USD amount=0.17644000 price=221.780 volume=39.131 2015-08-18 23:53:25 USD amount=0.24999000 price=221.770 volume=55.440 2015-08-18 23:53:26 USD amount=33.21279907 price=222.400 volume=7386.526 2015-08-18 23:53:36 USD amount=0.24996100 price=221.770 volume=55.434 2015-08-18 23:53:40 USD amount=0.24995700 price=221.770 volume=55.433 2015-08-18 23:53:41 USD amount=0.07482930 price=221.770 volume=16.595 2015-08-18 23:53:41 USD amount=0.24995600 price=221.790 volume=55.438 2015-08-18 23:53:44 USD amount=0.67449099 price=222.390 volume=150.000 2015-08-18 23:53:45 USD amount=0.24999900 price=222.400 volume=55.600 2015-08-18 23:53:45 USD amount=6.43886995 price=222.400 volume=1432.005 2015-08-18 23:53:46 USD amount=25.00000000 price=223.120 volume=5578.000 2015-08-18 23:53:46 USD amount=13.46949959 price=223.280 volume=3007.470 2015-08-18 23:53:46 USD amount=0.38999999 price=222.900 volume=86.931 2015-08-18 23:53:46 USD amount=36.50500107 price=223.160 volume=8146.456 2015-08-18 23:53:46 USD amount=0.39994600 price=222.910 volume=89.152 2015-08-18 23:53:47 USD amount=2.90787005 price=223.280 volume=649.269 2015-08-18 23:53:52 USD amount=0.24996901 price=222.300 volume=55.568 2015-08-18 23:53:53 USD amount=0.04855550 price=222.370 volume=10.797 2015-08-18 23:53:56 USD amount=0.11995600 price=222.300 volume=26.666 2015-08-18 23:53:59 USD amount=0.20141600 price=222.370 volume=44.789 2015-08-18 23:53:59 USD amount=4.73670006 price=223.280 volume=1057.610 2015-08-18 23:53:59 USD amount=0.38999999 price=222.900 volume=86.931 2015-08-18 23:53:59 USD amount=0.22807500 price=222.300 volume=50.701 2015-08-18 23:54:00 USD amount=0.10550000 price=223.280 volume=23.556 2015-08-18 23:54:02 USD amount=0.10000000 price=222.100 volume=22.210 2015-08-18 23:54:03 USD amount=0.14996900 price=222.100 volume=33.308 2015-08-18 23:54:03 USD amount=0.52104902 price=223.810 volume=116.616 2015-08-18 23:54:10 USD amount=8.61999989 price=223.270 volume=1924.587 2015-08-18 23:54:10 USD amount=11.38000011 price=223.510 volume=2543.544 2015-08-18 23:54:11 USD amount=0.17399999 price=223.510 volume=38.891 2015-08-18 23:54:14 USD amount=0.76013201 price=223.510 volume=169.897 2015-08-18 23:54:14 USD amount=0.24996801 price=222.110 volume=55.520 2015-08-18 23:54:19 USD amount=0.06019220 price=222.390 volume=13.386 2015-08-18 23:54:19 USD amount=4.00000000 price=222.390 volume=889.560 2015-08-18 23:54:26 USD amount=0.24999700 price=222.100 volume=55.524 2015-08-18 23:54:32 USD amount=0.24998800 price=222.100 volume=55.522 2015-08-18 23:54:34 USD amount=0.17399999 price=222.110 volume=38.647 2015-08-18 23:54:37 USD amount=0.07597860 price=222.110 volume=16.876 2015-08-18 23:54:37 USD amount=0.24995799 price=222.120 volume=55.521 2015-08-18 23:54:37 USD amount=0.42576900 price=222.390 volume=94.687 2015-08-18 23:54:41 USD amount=0.24999900 price=222.240 volume=55.560 2015-08-18 23:54:44 USD amount=0.24996699 price=222.240 volume=55.553 2015-08-18 23:54:44 USD amount=0.10560000 price=222.390 volume=23.484 2015-08-18 23:54:49 USD amount=0.08750000 price=222.240 volume=19.446 2015-08-18 23:54:52 USD amount=0.11998900 price=222.260 volume=26.669 2015-08-18 23:54:52 USD amount=1.47618997 price=223.270 volume=329.589 2015-08-18 23:54:52 USD amount=0.58920503 price=222.390 volume=131.033 2015-08-18 23:54:55 USD amount=0.24999601 price=222.270 volume=55.567 2015-08-18 23:54:57 USD amount=1.24794996 price=223.270 volume=278.630 2015-08-18 23:55:00 USD amount=4.46847010 price=223.790 volume=999.999 2015-08-18 23:55:02 USD amount=0.24996200 price=222.260 volume=55.557 2015-08-18 23:55:04 USD amount=0.17399999 price=223.790 volume=38.939 2015-08-18 23:55:08 USD amount=0.24996500 price=223.270 volume=55.810 2015-08-18 23:55:11 USD amount=0.24999300 price=223.270 volume=55.816 2015-08-18 23:55:17 USD amount=0.24999399 price=223.280 volume=55.819 2015-08-18 23:55:18 USD amount=0.16900000 price=223.270 volume=37.733 2015-08-18 23:55:18 USD amount=0.24999000 price=223.270 volume=55.815 2015-08-18 23:55:18 USD amount=0.31261700 price=223.790 volume=69.961 2015-08-18 23:55:18 USD amount=0.10000000 price=223.790 volume=22.379 2015-08-18 23:55:26 USD amount=0.10520000 price=223.290 volume=23.490 2015-08-18 23:55:30 USD amount=0.14475900 price=223.290 volume=32.323 2015-08-18 23:55:38 USD amount=0.07070640 price=223.510 volume=15.804 2015-08-18 23:55:38 USD amount=0.17924701 price=223.520 volume=40.065 2015-08-18 23:55:39 USD amount=0.20000000 price=223.530 volume=44.706 2015-08-18 23:55:41 USD amount=0.11057400 price=223.510 volume=24.714 2015-08-18 23:55:47 USD amount=0.24996200 price=223.510 volume=55.869 2015-08-18 23:55:50 USD amount=0.24998499 price=223.510 volume=55.874 2015-08-18 23:55:54 USD amount=0.04997780 price=223.530 volume=11.172 2015-08-18 23:55:54 USD amount=0.24996901 price=223.530 volume=55.876 2015-08-18 23:55:54 USD amount=0.10000000 price=223.510 volume=22.351 2015-08-18 23:55:55 USD amount=0.12076100 price=223.830 volume=27.030 2015-08-18 23:55:59 USD amount=0.24998000 price=223.550 volume=55.883 2015-08-18 23:56:01 USD amount=6.68548012 price=223.830 volume=1496.411 2015-08-18 23:56:01 USD amount=8.66341019 price=223.830 volume=1939.131 2015-08-18 23:56:08 USD amount=0.11998700 price=223.520 volume=26.819 2015-08-18 23:56:11 USD amount=0.20000000 price=223.540 volume=44.708 2015-08-18 23:56:12 USD amount=0.24996100 price=223.530 volume=55.874 2015-08-18 23:56:14 USD amount=0.07658910 price=223.570 volume=17.123 2015-08-18 23:56:14 USD amount=3.98295999 price=223.530 volume=890.311 2015-08-18 23:56:17 USD amount=0.11900000 price=223.530 volume=26.600 2015-08-18 23:56:21 USD amount=19.07399940 price=223.510 volume=4263.230 2015-08-18 23:56:21 USD amount=3.00000000 price=223.500 volume=670.500 2015-08-18 23:56:22 USD amount=0.24998499 price=223.540 volume=55.882 2015-08-18 23:56:22 USD amount=0.17339800 price=223.570 volume=38.767 2015-08-18 23:56:22 USD amount=0.24996001 price=223.490 volume=55.864 2015-08-18 23:56:22 USD amount=2.92599010 price=223.000 volume=652.496 2015-08-18 23:56:24 USD amount=5.00000000 price=223.570 volume=1117.850 2015-08-18 23:56:25 USD amount=0.24995200 price=223.570 volume=55.882 2015-08-18 23:56:29 USD amount=0.24820000 price=223.570 volume=55.490 2015-08-18 23:56:31 USD amount=32.25600052 price=223.830 volume=7219.861 2015-08-18 23:56:31 USD amount=4.23128986 price=224.360 volume=949.332
2015-08-19 02:14:28 USD amount=0.10256000 price=236.230 volume=24.228 2015-08-19 02:14:38 USD amount=3.02010989 price=236.230 volume=713.441 2015-08-19 02:14:49 USD amount=1.00000000 price=236.240 volume=236.240 2015-08-19 02:15:06 USD amount=8.46632004 price=236.230 volume=1999.999 2015-08-19 02:15:09 USD amount=0.25000000 price=236.120 volume=59.030 2015-08-19 02:15:26 USD amount=0.92573100 price=236.090 volume=218.556 2015-08-19 02:15:38 USD amount=1.09546995 price=236.100 volume=258.640 2015-08-19 02:15:48 USD amount=0.25000000 price=236.060 volume=59.015 2015-08-19 02:16:09 USD amount=1.00000000 price=236.010 volume=236.010 2015-08-19 02:16:09 USD amount=0.11626600 price=235.870 volume=27.424 2015-08-19 02:16:24 USD amount=1.00000000 price=235.870 volume=235.870 2015-08-19 02:16:25 USD amount=7.47242022 price=235.870 volume=1762.520 2015-08-19 02:16:36 USD amount=18.91130066 price=235.870 volume=4460.608 2015-08-19 02:17:07 USD amount=6.27209997 price=235.350 volume=1476.139 2015-08-19 02:17:07 USD amount=0.94169301 price=235.340 volume=221.618 2015-08-19 02:17:45 USD amount=0.58240002 price=235.580 volume=137.202 2015-08-19 02:17:54 USD amount=0.41999999 price=235.620 volume=98.960 2015-08-19 02:18:40 USD amount=0.05324790 price=235.690 volume=12.550 2015-08-19 02:18:40 USD amount=0.18911800 price=235.620 volume=44.560 2015-08-19 02:18:46 USD amount=20.00000000 price=235.700 volume=4714.000