We study trading of Bitcoin (BTC) against US dollar (USD) on exchanges on three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book information. The BTCUSD market is highly liquid in terms of bid-ask spreads and order book...

We show that low-frequency measures of cryptocurrency liquidity perform adequately in describing high-frequency actual liquidity. We calculate benchmark measures from high-frequency order book data and document the performance of low-frequency transactions measures. The Abdi and Ranaldo (2017)...