(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.
Source: True liquidity and price discovery in crypto space – HackerNoon.com – Medium