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About the Dataset
You will receive a dataset containing trading information for Bitcoin (BTC) over one day (02/04/2019). The first tab (labelled ‘TX’) contains transaction information and the second tab (labelled ‘OB’) contains order book information. Transaction and order book information for BTC is provided for three cryptocurrency exchanges (“markets”): Bitfinex, Bitstamp, Coinbase. Bitfinex, Bitstamp, Coinbase are online marketplaces that broker exchanges of cryptocurrencies internationally.

Across the three exchanges included in the dataset, you are responsible for performing and assessing the following:
Calculate spreads (i.e. bid-ask, effective);
oWhere is the spread widest? Narrowest?
oSee Roll, R. The Journal of Finance, Vol. 39, No. 4. (Sep., 1984), pp. 1127-1139.
Analyze liquidity;
oWhere is liquidity highest? Lowest? Does there seem to be a relationship between spread size and liquidity?
oCalculate market impact cost.
Further reading here.
oSee Bernstein, P. Financial Management Vol. 16, No. 2 (Summer, 1987), pp. 54-62
Identify and analyze any arbitrage opportunities between the exchanges;
Create a table displaying the National Best Bid and Offer (NBBO);
oFurther reading here.
Construct BTC’s volume weighted average price (VWAP).
oFurther reading here.

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