Coinscious, a data and trading analytics provider for the cryptocurrency market, today announces the publication of its article illustrating the high importance of accurate data when creating quantitative and high-frequency trading models with far greater than average performance.
To view the article in its entirety, visit: https://coinscious.io/coinscious-lab/accurate-crypto-market-data/
A key aspect that is often overlooked in quantitative crypto-trading is the quality of the data being used to design sophisticated prediction models. In the new era of cryptocurrency trading, those with the most data of the highest quality will surely win as the underlying data ultimately determines the execution prices, the model’s behavior, and the model’s ability to fit the market efficiently and effectively.
Many algorithmic traders incorporate massive amounts of data into their algorithms to create better pricing models and leverage large volumes of historical data to backtest their trading algorithms. Particularly with recent advances in machine learning, the data-driven approach to modeling is being emphasized more than ever before.
In the article, the error rates of Binance, Bittrex, Bitfinex, Bitstamp, Bitmex, Huobi Global, Okex, and Coinbase Pro were measured and then placed in bar chart format to illustrate the accuracy of Coinscious data compared to Kaiko and CoinAPI. The data quality was assessed by comparing each well-known exchange’s OHLCV (open, high, low, close, volume) data with derived OHLCV data.
Whether viewing error rates in trading volume or price movements, Coinscious data proved to be the most accurate among the other data vendors for the top 3 coins (BTC, ETH, and XRP). In average, Coinscious data are 38% better than Kaiko’s data, where the relative errors on OHLC are 39%, 41%, 31%, and 37% respectively. Similar results have also been shown using four alternative coins (ADA, XLM, TRX, ZRX).
When answering the question of why accuracy discrepancies exist across different data providers, a couple of possible reasons are given. For example, it could be due to downtimes of exchange APIs or rate limits getting in the way when there is high activity among the thousands of combinations of cryptocurrency exchanges and trade pairs.
While many companies are collecting vast amounts of data across different exchanges and coins, the quality of the data may be hidden underneath the quantity of the data. Especially in this era of a data-driven finance world, success and risk can be heavily dependent on the data quality and the data operations environment. Obtaining the right trading tools and hiring talented traders can certainly help, but even then, tools and people cannot guarantee success if the data is imperfect. The cryptocurrency finance market could benefit from having more of data quality analysis in order to understand the granular level of datasets and where they can be obtained.
Coinscious provides comprehensive data, insights and solutions to professional and non-technical cryptocurrency traders alike. We focus on delivering quick and accurate data to our users, connecting trading systems and strategies to the dynamic crypto market through our enriched data sources and data-driven insights. We specialize in providing traders with tools to allow them to backtest, validate, optimize and execute their own strategies.
To learn more about Coinscious, visit: http://www.coinscious.io