Data & methods

Trade-size fingerprints: what volume rankings miss, including ours

In six hours on 23 September, Binance printed 30,407 bitcoin trades at a median of $6. Another venue that out-ranks it on weekly volume printed 4,031 trades at a median of $1.55 — and an average of $12,851. The shape of the trades tells you more than the total, and it is the reason our index weights venues the way it does.