Futures bitfinex bitcoin
All of Quandl's Bitcoin price data and market statistics including full historical data is available for free via our unlimited, unrestricted Bitcoin API. If you prefer, you can download Quandl's Bitcoin data using our free apps for Python, R, Matlab and more. You can also download Bitcoin data directly from within Excel using our free Excel add-in.
Bitcoin is a digital currency based on an open-source peer-to-peer software protocol that is independent of any central authority. Bitcoin issuance and transactions are carried out collectively by the Bitcoin network.
Bitcoin relies on cryptography to secure and validate transactions, and is thus often referred to as a "cryptocurrency". Bitcoins can be "mined" by users, and also transferred from user to user, directly via computer or smartphone without the need for any intermediary financial institution. Bitcoin transactions are pseudonymous and decentralized. Proponents of Bitcoin argue that it is not susceptible to devaluation by inflation or seigniorage in the way other modern "fiat" currencies are.
Nor is it associated with an arbitrary store of value such as gold, unlike hard-money or representative currencies. The Bitcoin protocol was first described by Satoshi Nakamoto a pseudonym in Each bitcoin is divided into million smaller units called satoshis.
MtGox was the largest Bitcoin exchange in the world, until February when the site shut down and trading was suspended. It was subsequently announced on Bitcoin news that over , Bitcoins had been stolen from customers of this exchange. Quandl provides historical data for MtGox. Note that this data stopped updating on 25 Feb Quandl has daily prices for over crypto-currencies from Cryptocoin Charts.
There's a lot of ins and outs which can get confusing in arbitrage trading. We won't go into the technicals of why futures contracts trade at a premium to spot price. You can read a full explanation here. If it's not of interest to you, all you need to know is that there's a tendency, the further out in time the futures contract expires, for the premium to spot to be higher and higher in nominal percentage terms.
The biggest problem is friction between steps along the way. There's fees, there's time you have to wait which can be eliminated by see-sawing, but then you're not maximizing your capital utilisation , there's slippage in orderbooks, etc. We will go through all of these issues below. I find it best to show by example and then as issues are encountered we will review the concepts underlying.
This example is to illustrate all the moving parts and risks that can occur in an arb play. Another example will follow with a different scenario. You might be thinking, wtf? I thought arbitrage was guaranteed money? Well, in reality there's lots of services facilitating this process which demand fees. Therefore, when you take that into account, you need to wait for the premiums on futures contracts to reach a sufficient level that it makes sense to go through this process.