Is there a historical timeseries of market depth & transactions available? Has anyone stored the historical market depth &amp; tick data from MtGox? Is it available publically? Would be useful if you were making a bot.
Current market depth available at 


https://mtgox.com/api/0/data/getDepth.php?Currency=USD


All trades which happened in the last 24 hours available at


https://mtgox.com/code/data/getTrades.php


Retrieves 100 trades that happend after specified transaction


https://mtgox.com/code/data/getTrades.php?since="transaction tid"


A script is required to retrive all historical data, like the one posted by mizerydearia. The idea is to cycle download request while incrementing "transaction tid" aka "lasttrade" to download all data in steps.

#!/bin/bash
outputfile=data
lasttrade=0
while test -n "$lasttrade";do
    wget --quiet https://mtgox.com/code/data/getTrades.php?since=$lasttrade
    if test "`cat getTrades.php\?since\=$lasttrade`" != "[]";then
        cat getTrades.php\?since\=* &gt;&gt; $outputfile;
        echo &gt;&gt; $outputfile;
        lasttrade=`cat getTrades.php\?since\=$lasttrade|sed "s/,/\n/g"|grep tid|tail -n 1|cut -d ":" -f 2|cut -d "\"" -f 2`;
        lasttradets=`cat getTrades.php\?since\=*|sed "s/,/\n/g"|grep date|tail -n 1|cut -d ":" -f 2`;
        echo "$(date -d @$lasttradets)  tid $lasttrade"
    else
        echo Finished
    fi
    rm getTrades.php\?since\=*;
done


See MtGox - API for more http API calls.