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True liquidity and price discovery in crypto space

Coinbase is a liquidity leader among established digital asset exchanges in BTC/USD pair. Bitstamp and Kraken follow closely while Bitfinex, Binance, and Bittrex leg behind.

TL;DR

(1) Coinbase Pro provides the best bitcoin liquidity and execution opportunities in the cryptocurrency market. Bitstamp and Kraken are a very good choice for institutional and retail investors respectively. Bitfinex offers deep liquidity at the top of the book.


(2) Liquidity is an important criterion for selecting an exchange because it is easier to produce artificial (fake) volume than artificial liquidity, which generally implies a market risk for a fraudulent exchange.


(3) The analysis of order book dynamics is illustrative of how price discovery works. The ecosystem is highly correlated and originating price shifts trigger almost immediate price movements on other exchanges. However, the high reported volume doesn’t automatically mean price discovery. The spike on April 2, 2019, was likely to be originated on Bitfinex, while other exchanges followed the trend.


(4) Binance has a very odd histogram of intervals between consequent trades. It looks like a sinusoidal function with a descending trend. However, other exchanges have suspicious outliers, too.


The analysis is based on the BTC/USD (BTC/USDT in case of Binance) data from 0:00 UTC 12-Apr-2019 till 0:00 UTC 17-Apr-2019 across six selected exchanges: Binance, Bitfinex, Bitstamp, Bittrex, Coinbase Pro and Kraken.


Read more on our Medium blog.



 
 

Smoke and Mirrors: More reports of rampant wash trading detected among large crypto exchanges

  • Crypto Integrity found that up to 88% of reported volumes in February were artificial at some of the highest reported volume exchanges

  • On some less liquid trading pairs, the group estimates up to 100% of the volume is fake

The Block Crypto

ABOUT

Crypto Integrity is a non-commercial project aimed at fraud detection and forensics in the crypto markets.

Our mission is prepare and publish market research to foster transparency and market integrity. We are ready to share with the community the insights into what the raw market data may tell a watchful observer.


We are a team of enthusiasts with the background in finance, algorithmic trading, computer and data science. Based in four different countries in Europe and Asia, the team started its research in August 2017. In February 2019, the hobby has finally taken a shape of the independent project Crypto Integrity.  


Crypto Integrity is building a system that collects, processes and analyses low-level market data (order books and trades) from a number of crypto exchanges. It allows identifying what no one is able to find on charts or by the analysis of trades & volumes. Our codebase as well as methodology is public and accessible in GitHub. We look forward to those who would like to join us and champion transparency in cryptomarkets! 

The infrastructure costs money, and we will be grateful if you could share our burden:

BTC: 1KoTp5TiRFwdLZUs2FreQyrr3599n2VK9Q

ETH: 0x236251B0F405029E1A11411899db56569966cf53

XRP: rHhbJ8yPXcwSTctFiAYocpK3BCHZ6g8eFn

DASH: XsGeFrGn8mDQmoCjQ3YQpmpXBMMm8s2aMh