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murich2014-01-29 18:55:32
Algorithms
murich, 2014-01-29 18:55:32

What is the algorithm for constructing an order book chart?

Given:
input data about open buy and sell orders, for example
[
{price:20,kind:BID},
{price:21,kind:BID},
....
{price:900,kind:BID},
{price :898,kind:ASK},
...
{price:900,kind:ASK},
]
Question:
How to build a sane order book chart (like bitcoincharts.com/charts/mtgoxUSD/orderbook.png ), while excluding orders that are essentially out of the market - like those like {price:20,kind:BID}?
Those charts should be informative for the trader and not contain "extra" information.

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