1) some thoughts on the liquidity metric:
First, it's definitely better than what you've had before! This table isn't crazy:
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Suprised to see a lot of exchanges above FTX. LATOKEN, really?
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As mentioned, we can only report what exchange report on their public API, and evaluate the data based on that. The only real way to test would be to send actual orders into the book and evaluate. We would appreciate any feedback based on that testing. 🙂
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One thing you can do is the BBO-trades test: see what % of an exchange's fills happen on the BBO at the time of the trade, and throw out any exchange with < 40% of volume trading on the BBO. This catches ~90% of fake exchanges.
(1/3) We think this form of testing is heavily dependent on the threshold of time defined for "BBO". More sophisticated wash trading techniques focus on RNGing this element (shouldn't be too difficult to do), waiting for 1 sec or so, before trading themselves out.
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(2/3) If we went down this path, we would need to continuously adjust the "time" variable and make the model unusable because we would just get too many false positives. In essence, the detection of wash trading needs to be done via
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But if they did this, #s would change so dramatically that half those exchanges wouldn't be able to find more investors to fund their ops based on the lowered cmc stats and shut down. Shutdown dominos to the MMs that help them wash, then comes the PR people and the rest.
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But maybe it's a good time for a cleanse and consolidation so the industry can level up.