{"title":"Bitcoin Spot and Futures Market Microstructure","authors":"Saketh Aleti, Bruce Mizrach","doi":"10.2139/ssrn.3459111","DOIUrl":null,"url":null,"abstract":"We study Bitcoin (BTC) trading at the CME and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000 on the CME. Bid-ask spreads average 0.0298%.Trade sizes of over $1 million move markets by less than 1%. 2.5% of trades and 15.5% of cancellations on Coinbase take place within 50 milliseconds. Bid-ask spreads exceed 0.8% for only 226 seconds. Most executions trade-through better quotes, with estimated losses of $36 million. The CME leads price discovery. BTC leads ETH price adjustment.","PeriodicalId":11757,"journal":{"name":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"22","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3459111","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 22
Abstract
We study Bitcoin (BTC) trading at the CME and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000 on the CME. Bid-ask spreads average 0.0298%.Trade sizes of over $1 million move markets by less than 1%. 2.5% of trades and 15.5% of cancellations on Coinbase take place within 50 milliseconds. Bid-ask spreads exceed 0.8% for only 226 seconds. Most executions trade-through better quotes, with estimated losses of $36 million. The CME leads price discovery. BTC leads ETH price adjustment.
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