We study Bitcoin (BTC) trading at the Chicago Mercantile Exchange (CME) and four settlement spot exchanges that transact $146 million per day in the BTC/USD pair. Spot market median trade sizes are under $1,300 but exceed $18,000 on the CME. Bid‐ask spreads average 0.0298%. Trade sizes of over $1 million move markets by less than 1%. 2.5% of trades and 15.5% of cancellations on Coinbase take place within 50 ms. Bid‐ask spreads exceed 0.8% for only 226 s. Most executions trade‐through better quotes, with estimated losses of $36 million. The CME leads price discovery. BTC leads Ethereum price adjustment.

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比特币现货和期货市场的微观结构

我们研究了芝加哥商业交易所（CME）的四个比特币（BTC）交易，以及四个每天在BTC / USD对中交易1.46亿美元的结算点交易所。现货市场中位交易规模低于1,300美元，但CME超过18,000美元。买卖价差平均为0.0298％。超过100万美元的贸易规模使市场波动不到1％。2.5％的交易量和15.5％的Coinbase取消量发生在50毫秒内。竞价价差仅226 s超过0.8％。大多数处决者通过更好的报价进行交易，估计损失为3600万美元。CME负责价格发现。BTC引领以太坊价格调整。