Bitcoin spot and futures market microstructure

Saketh Aleti, Bruce Mizrach

Research output: Contribution to journalArticlepeer-review

9 Scopus citations


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.

Original languageEnglish (US)
Pages (from-to)194-225
Number of pages32
JournalJournal of Futures Markets
Issue number2
StatePublished - Feb 2021

All Science Journal Classification (ASJC) codes

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics


  • Bitcoin
  • cryptocurrency
  • futures
  • market microstructure


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