Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data

Foley, Sean; Krekel, William; Mollica, Vito; Švec, Jiří

doi:10.1016/j.frl.2022.103401

Cited by 4 publications

(1 citation statement)

References 16 publications

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“…Partition Π allows us to derive a new, regular, price series p s = max t {p(t)|t ≤ t + s} and volume series v s = max t {v(t)|t ≤ t + s}. Note that since we aggregate trade executions in 1000ms wide increments we are effectively remediating the problem of imprecise data from slow exchanges like Kraken as suggested by Foley, Krekel, Mollica, and Svec (2023). Using this regularized price and volume series data we are able to derive estimators μp , μv , σp , σv , ρ for the processes drift, volatility and correlation coefficients 3 .…”

Section: Lob Model Calibrationmentioning

confidence: 99%

Optimal Trade Execution in Cryptocurrency Markets

Bundi

Wei²,

Khashanah

2023

Preprint

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Novel technologies allow cryptocurrency exchanges to offer innovative services that set them apart from other exchanges. In this paper we study the distinct features of cryptocurrency fee schedules and the implications for optimal trade execution. We formulate an optimal execution strategy that minimizes the trading fees charged by the exchange. We further provide a proof for the existence of an optimal execution strategy for this type of fee schedule. In fact, the optimal strategy involves both market and limit orders on various price levels. The optimal order distribution scheme depends on the market conditions expressed in terms of the distribution of limit order execution probabilities and the exchange's specific configuration of the fee schedule. Our results indicate that a strategy kernel with an exponentially decaying allocation of trade volume to price levels further away from the best price provides a superior performance and potential reduction of trade execution cost of more than 60%. The robustness of these results is confirmed in an empirical study. To our knowledge this is the first study of optimal trade execution that takes into consideration the full fee schedule of exchanges in general.

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Section: Lob Model Calibrationmentioning

confidence: 99%

Optimal Trade Execution in Cryptocurrency Markets

Bundi

Wei²,

Khashanah

2023

Preprint

View full text Add to dashboard Cite

show abstract

Optimal trade execution in cryptocurrency markets

Bundi,

Wei,

Khashanah

2024

Digit Finance

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Novel technologies allow cryptocurrency exchanges to offer innovative services that set them apart from other exchanges. In this paper we study the distinct features of cryptocurrency fee schedules and the implications for optimal trade execution. We formulate an optimal execution strategy that minimizes the trading fees charged by the exchange. We further provide a proof for the existence of an optimal execution strategy for this type of fee schedule. The optimal strategy involves both market and limit orders on various price levels. The optimal order distribution scheme depends on the market conditions expressed in terms of the distribution of limit order execution probabilities and the exchange’s specific configuration of the fee schedule. Our results indicate that a strategy kernel with an exponentially decaying allocation of trade volume to price levels further away from the best price provides superior performance and potential reduction of trade execution cost of more than 60%. The robustness of these results is confirmed in an empirical study. To our knowledge, this is the first study of optimal trade execution that takes into consideration the full fee schedule of exchanges in general.

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The information content of delayed block trades in cryptocurrency markets

Galati,

De Blasis

2024

The British Accounting Review

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Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data

Cited by 4 publications

References 16 publications

Optimal Trade Execution in Cryptocurrency Markets

Optimal Trade Execution in Cryptocurrency Markets

Optimal trade execution in cryptocurrency markets

The information content of delayed block trades in cryptocurrency markets

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