Aug. 27, 2020

Contents

  1. Background
  2. ExxaBlock Bitcoin Reference Rate
  3. BRR Summary
  4. Partition Summary
  5. Outlier Summary
  6. Slippage Summary
  7. Market Depth Summary
  8. EBBO Summary
  9. Unified Order Book Summary
  10. Latency Summary

Appendices

  • Benchmark Market Prices
  • Prices and Volumes on Exchanges

B.1 CoinbasePro

B.2 Kraken

B.3 Gemini

B.4 Bitstamp

B.6 itBit

  • Cryptocurrency Exchanges
  • Outlier Detection Methodology

D.1 Z-score Method

D.2 IQR Method

Slippage

E.1 Slippage as a price difference

E.2 Slippage as a ratio

E.3 Slippage measures at the bid-side order book

E.4 Slippage measures at the ask-side order book

Market Depth

F.1 Multiple market depths at the bid-side order book

F.2 Multiple market depths at the ask-side order…

About

ExxaBlock Inc.

ExxaBlock, Inc. offers a suite of real time cryptocurrency market indices, advanced data analytics, global execution targeting, and reporting products.

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