Is a price you see the price you get?

TL;DR

Measuring spread dynamics

An “event” is a case of a significant change of the Bitcoin price.

Midprice and Delta over the observed period (BTC/EUR, Binance, N=5)
A data sample showing Delta and Spread (BTC/EUR, Binance, N=5)
Scatter plot Delta vs. Spread (BTC/EUR, Binance, N=5)
Correlation of Delta and Spread across selected venues (BTC/EUR, N=5)
A data sample showing Delta and Spread (BTC/EUR, Binance, N=1 (left) and N=15 (right))
The distribution of the Spread delta on Binance and Kraken (BTC/EUR, N=5); OY is a log scale.
The distribution of the Spread delta on Finery Markets (BTC/EUR, N=5); OY is a log scale.
The distribution of the Spread delta on selected exchanges when the midprice changes by >1% (BTC/EUR, N=5)
The distribution of the Spread delta on Finery Markets when the midprice changes by >1% (BTC/EUR, N=5)
Statistics on Delta spread distribution (from top left to bottom right X=0.5%, 1%, 1.5%, 2%)

Methodology

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