Bitcoin Spot and Futures Market Microstructure
Journal of Futures Markets (Forthcoming)
56 Pages Posted: 3 Oct 2019 Last revised: 14 Sep 2020
Date Written: September 12, 2020
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.
Keywords: Bitcoin, futures, market microstructure, cryptocurrency
JEL Classification: G10, G15
Suggested Citation: Suggested Citation