Robust Bitcoin Candles from Multiple Exchange Feeds

Summary

This indicator constructs Bitcoin OHLC candles from data across multiple exchanges. Its motivation is that older exchange histories can contain isolated price spikes, frozen values, missing observations, and unsynchronized early records. The script gathers prices from several spot and derivatives venues, filters unavailable or stale feeds, and applies exchange-specific date limits where historical data is considered unreliable. It then uses cross-exchange price comparisons and median-based filtering to reduce the influence of outliers before averaging retained observations into aggregate candle values.

The resulting candles are intended to provide a cleaner reference series for chart analysis or algorithms that should not depend on a single venue. The source comments describe particular problems in early Bitcoin history and explain the design rationale, but provide no quantitative validation of data quality or downstream strategy performance. Coverage varies by exchange and period, and the method’s thresholds and constituent feeds shape the result. It is an aggregation approach, not a trading signal, and users should assess its behavior for their own data and use case.

Key ideas

• The indicator combines OHLC data from multiple Bitcoin exchanges to reduce dependence on a single venue.
• It removes unavailable, frozen, and date-inappropriate observations before aggregation.
• Cross-venue price comparisons and median filtering are used to limit the effect of anomalous feeds.
• The aggregate candles are intended as a cleaner analysis or algorithm input series, not as trade signals.
• The document gives design rationale but no quantitative validation, and results depend on feed coverage and filtering choices.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.