Noticed high quality crypto spot feeds and perps lagging large ES moves by a handful of seconds (!)
Is this a function of ETH block times being 12sec~ and oracles/MM's relying on a bunch of spot feeds?
can some gigabrains plz halp
@therobotjames
@0xdoug
Nothing to do with block time. Bitcoin (and other cryptos) are risk assets and they are correlated to ES/NQ. Risk asset px discovery happens in the index futures, which tend to lead all other risk assets. Crypto is just a particularly extreme example of this.
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A crypto MM can’t immediately adjust their prices to follow ES because they would then be offside relative to other MMs — eg if ES is up a lot, an MM can skew up but they can’t increase their bid past the best offer without becoming a taker.
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Side question - are arbs hitting liquid AMMs (and waging gas wars) on significant Eco moves like CPI?
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x-asset reaction lag due to MM inertia (if that's wt ur getting at), veritably a gift.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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Meanwhile, I’m here just googled up what ES and NQ are.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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