Building trust takes time: Limits to arbitrage for blockchain-based assets

The dataset contains all historical order book snapshots and blockchain network information used to generate the results for the paper \"Building Trust takes Time\".
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network and order book data that cross-exchange price differences coincide with periods of high settlement latency, asset flows chase arbitrage opportunities, and price differences across exchanges with low default risk are smaller. Blockchain-based trading thus faces a dilemma: reliable consensus protocols require time-consuming settlement latency, leading to arbitrage limits. Circumventing such arbitrage costs is possible only by reinstalling trusted intermediation, which mitigates default risk., This dataset provides three types of Bitcoin-related information:

Centralized crypto-exchange (CEX) characteristics which have been collected manually.
High-frequency order book information. The data has been retrieved by regularly fetching order book information from major centralized crypto exchanges (CEX) in minute-level intervals from 2018 - 2019. We provide the entire order book history across the exchanges with this dataset. 
Corresponding information on the state of the Bitcoin blockchain, for instance, the number of outstanding transactions at every point in time. The data has been used to analyze arbitrage activity across CEXes in relation to the time it takes for validators to execute cross-CEX transactions. Code to replicate the data processing parts is publicly available on Github: www.github.com/voigtstefan/building-trust-takes-time

, , # Data to Replicate the paper Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets

We provide all datasets required to replicate the paper \"Building Trust takes Time: Limits to Arbitrage for Blockchain-based Assets\". A description of the data sources and preprocessing steps is provided in the paper. All code to generate the results is available on .

## Description of the data and file structure

In principle, we offer three different types of crypto-currency-related data:

1. Centralized crypto-exchange (CEX) characteristics, which have been collected manually.
2. High-frequency order book information. The data has been retrieved by regularly fetching order book information from major centralized crypto exchanges (CEX) in minute-level intervals from 2018 - 2019. We provide the entire order book history across the exchanges with this dataset.
3. Corresponding information on the state of the Bitcoin blockchain, for instance, the number of outstanding transacti...

本数据集包含用于生成论文《Building Trust takes Time》研究结果的全部历史订单簿（order book）快照与区块链（blockchain）网络信息。
区块链以耗时的共识协议替代中央对手方，记录所有权的转移。此类结算延迟会拖慢跨交易所交易，使套利者面临价格风险；而链下结算则会让套利者承担高昂的违约风险。我们通过比特币网络与订单簿数据证实：跨交易所价差与高结算延迟时段相契合，资产流动追逐套利机会，且违约风险较低的交易所间价差更小。因此，基于区块链的交易面临两难困境：可靠的共识协议需要耗时的结算延迟，这会限制套利空间。规避此类套利成本的唯一途径，是重新引入可缓解违约风险的可信中介。

本数据集提供三类与比特币相关的信息：
1. 手动收集的中心化加密货币交易所（Centralized Crypto-Exchange, CEX）特征数据。
2. 高频订单簿信息。本数据集于2018年至2019年间，以分钟级间隔从主流中心化加密货币交易所（CEX）定期抓取订单簿数据，完整收录了各交易所的全量订单簿历史。
3. 对应比特币区块链状态的相关信息，例如任一时刻的未完成交易数量。本数据集曾被用于分析跨CEX的套利活动与验证者完成跨交易所交易所需的时长。用于复现数据处理环节的代码已公开至GitHub：www.github.com/voigtstefan/building-trust-takes-time

# 复现论文《Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets》所需数据
我们提供了复现论文《Building Trust takes Time: Limits to Arbitrage for Blockchain-based Assets》所需的全部数据集。论文中已说明数据来源与预处理步骤，生成研究结果的全部代码已公开至。

## 数据与文件结构说明
原则上，我们提供三类与加密货币相关的数据：
1. 手动收集的中心化加密货币交易所（CEX）特征数据。
2. 高频订单簿信息。本数据集于2018年至2019年间，以分钟级间隔从主流中心化加密货币交易所（CEX）定期抓取订单簿数据，完整收录了各交易所的全量订单簿历史。
3. 对应比特币区块链状态的相关信息，例如任一时刻的未完成交易数量。