We have coded a websocket script getting orderbook & execution data direct from the exchanges Binance, Kraken, and Coinbase -- checking for executions between bid/ask, i.e., potential fake volume.
The results may surprise you, see source here:
github.com/Whalepool/Bitc
#bitcoin
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Do you disagree with FTX's analysis that delays in updating order books result in too much room for error? They consider success for this metric as >50% of trades and failure as <5%. ftx.com/volume-report-
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No, there's definitely some margin for error.
but it's more reason why all exchanges should provide both integer monotonically increasing ids and timestamps (to nanosecond) for both order updates and trade executions, means out of order is not a big deal and more effort 2 fake.
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Yeah totally agree with that--it's hard to tell for lots of exchanges because they're bad at synchronizing orderbook updates with trade updates, but that also is something they should really fix.