Market Quality

Analyzing venue quality from published market data, both full depth book and trading activity. In this case with specific Crypto markets to identify and categorize “real” against “fake” trading activity.

“Real” trading activity has certain characteristics in relation to trade size frequency, price movement, spread movement, and execution location in relation to the book.

Even with limited time synchronization, it is simple to categorize market quality for each investigated venue and instrument.

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