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
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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.
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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I doubt they are responding to big macro announcements directly. They respond to price dislocations. But to the extent that macro causes big price moves and dislocations, there is probably more arb activity just after macro numbers.
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Which brings you to the obvious conclusion: those with enough capital and sufficiently low fees *do* take based on ES/NQ moves. And those who know about this, and are fast enough, tend to get out of the way. Yours truly, A happy taker
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