Financial Markets - Market Microstructure Evaluation: Ethereum Liquidity Across Trading Venues

Problem

Benchmark Ethereum liquidity across trading venues to understand spreads, depth, and price impact.

Outcome

Delivered a cross-venue liquidity comparison that clarified spread, depth, and price-impact trade-offs for venue selection.

Artifacts

Data

High-frequency minute-level price data from Binance spot market, CME Ether futures, and Uniswap AMM pool.

Approach

Rolling-window computations of quoted spread, quoted depth, and price impact with time-series visualisation.

What I built

Python-based data pipeline to source, clean and standardise cross-venue price data.

Output / Insights

Produced liquidity benchmarks and visual comparisons to support trading venue choice and transaction cost insights.