Shown: an illustrative order book over time, bids below the mid and asks above it.
Taker buys against sells, by size, with toxicity
Net taker flow moved with BTC's price in the same hour (correlation 0.72) and said almost nothing about the next hour (0.02).
Kyle's lambda, Amihud, and what size costs
A BTC of taker flow moved the price 1.5× as much at 00:00 UTC as at 11:00.
What taker trades paid against the quote
BTC's p95 slippage was 4.3× higher on its busiest bars than on its quietest.
Small, medium and large trades, and the tails
On BTC, 36% of trades are $1,000 or more, and they carry 97% of the notional.
How long buyers and sellers keep at it
BTC bars where trades rarely changed side moved 2.8× as far as bars where they flipped often.
Trades that moved the price up, down, or not
65% of BTC trades printed at the same price as the trade before.
Realized vol, jumps and trendiness
BTC's hourly volatility correlated 0.39 with the hour before. Its hourly return correlated -0.02.
High-low range and the shape inside the bar
A BTC 5-minute bar ranged 1.5× as far on a weekday as at the weekend.
Spread and dollars at the touch
BTC's spread on Binance was one tick in 99.5% of May's bars. Depth at the touch was 1.5× as large at 10:00 UTC as at 21:00.
Bid against ask size at the touch
BTC's top-of-book imbalance correlated 0.38 with the move in its own bar and 0.002 with the next.
Best bid and ask, mid and microprice
The microprice got the direction of BTC's next 5-minute move right 52.3% of the time.
Size resting 5 to 25 levels deep
74% of the BTC within 25 levels of Binance's book sat at the best bid and ask.
Bid against ask size, 5 to 25 levels deep
On BTC, deeper imbalance tracked the bar less, not more: 0.37 at 5 levels, 0.33 at 25.
What longs pay shorts, every perp
BTC funding on Binance was positive 90% of May, with a high of 0.0100% per 8 hours.
Perp price against its index, in bps
BTC's mark price on Binance sat below its index in 99.9% of May's 5-minute bars.
Contracts held open, and how fast it changes
BTC open interest on Binance rose 15.8% in May, yet its hours split almost evenly four ways.
Last, mark and index, and how far apart
BTC's last price closed a median 0.097 bps from its mark in May. On the widest bar the gap was 12.7 bps.
Size-weighted and plain average trade price
On BTC's busiest bars, VWAP sat 4.9× further from TWAP than on its quietest.
Candles and volume, built from every trade
A median 5-minute bar of BTC traded 3.9× as much at 14:00 UTC as at 21:00.
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