Bitcoin spot and futures market microstructure

Saketh Aleti and Bruce Mizrach

Journal of Futures Markets, 2021, vol. 41, issue 2, 194-225

Abstract: We study Bitcoin (BTC) trading at the Chicago Mercantile Exchange (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 ms. Bid‐ask spreads exceed 0.8% for only 226 s. Most executions trade‐through better quotes, with estimated losses of $36 million. The CME leads price discovery. BTC leads Ethereum price adjustment.

Date: 2021
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