Window 2024-01-01..2024-01-31 | 1-min bars | enter t+1, exit t+h | threshold 10bps | cost ladder one-way bps. Event-weighted net bps; p = day-block bootstrap on daily mean.
Feed: tick trades from data.binance.vision (1m klines), public.bybit.com, and okx.com/cdn tick archives (data/cross_venue_trades.py).
Aligned minutes: 44640 (2024-01-01 00:00:00 .. 2024-01-31 23:59:00)
| lead | lag | k=-3 | k=-2 | k=-1 | k=+0 | k=+1 | k=+2 | k=+3 | best k |
|---|
| binance | bybit | -0.041 | -0.061 | +0.178 | +0.980 | +0.161 | -0.070 | -0.042 | +0 |
| binance | okx | -0.043 | -0.062 | +0.175 | +0.981 | +0.169 | -0.066 | -0.042 | +0 |
| bybit | binance | -0.042 | -0.070 | +0.161 | +0.980 | +0.178 | -0.061 | -0.041 | +0 |
| bybit | okx | -0.043 | -0.068 | +0.155 | +0.978 | +0.166 | -0.062 | -0.042 | +0 |
| okx | binance | -0.042 | -0.066 | +0.169 | +0.981 | +0.175 | -0.062 | -0.043 | +0 |
| okx | bybit | -0.042 | -0.062 | +0.166 | +0.978 | +0.155 | -0.068 | -0.043 | +0 |
| lead | lag | leg | n | gross bps | cost0 | cost1 | cost2 | cost5 | hit | p(cost1) |
|---|
| binance | bybit | fade | 50 | -3.62 | -3.62 | -5.62 | -7.62 | -13.62 | 58.0% | nan |
| binance | bybit | follow | 3,941 | -0.59 | -0.59 | -2.59 | -4.59 | -10.59 | 36.0% | 1.000 |
| binance | okx | follow | 3,941 | -0.53 | -0.53 | -2.53 | -4.53 | -10.53 | 35.9% | 1.000 |
| bybit | binance | fade | 50 | +3.97 | +3.97 | +1.97 | -0.03 | -6.03 | 38.0% | nan |
| bybit | binance | follow | 4,130 | -0.63 | -0.63 | -2.63 | -4.63 | -10.63 | 36.0% | 1.000 |
| bybit | okx | follow | 4,130 | -0.61 | -0.61 | -2.61 | -4.61 | -10.61 | 35.7% | 1.000 |
| okx | binance | follow | 3,923 | -0.54 | -0.54 | -2.54 | -4.54 | -10.54 | 36.6% | 1.000 |
| okx | bybit | follow | 3,923 | -0.59 | -0.59 | -2.59 | -4.59 | -10.59 | 36.8% | 1.000 |
| lead | lag | leg | n | gross bps | cost0 | cost1 | cost2 | cost5 | hit | p(cost1) |
|---|
| binance | bybit | fade | 50 | -5.12 | -5.12 | -7.12 | -9.12 | -15.12 | 48.0% | nan |
| binance | bybit | follow | 3,941 | -1.03 | -1.03 | -3.03 | -5.03 | -11.03 | 39.5% | 1.000 |
| binance | okx | follow | 3,941 | -0.98 | -0.98 | -2.98 | -4.98 | -10.98 | 39.4% | 1.000 |
| bybit | binance | fade | 50 | +5.56 | +5.56 | +3.56 | +1.56 | -4.44 | 46.0% | nan |
| bybit | binance | follow | 4,130 | -1.00 | -1.00 | -3.00 | -5.00 | -11.00 | 39.3% | 1.000 |
| bybit | okx | follow | 4,130 | -0.96 | -0.96 | -2.96 | -4.96 | -10.96 | 39.6% | 1.000 |
| okx | binance | follow | 3,923 | -0.93 | -0.93 | -2.93 | -4.93 | -10.93 | 39.3% | 1.000 |
| okx | bybit | follow | 3,923 | -1.00 | -1.00 | -3.00 | -5.00 | -11.00 | 39.5% | 1.000 |
| lead | lag | leg | n | gross bps | cost0 | cost1 | cost2 | cost5 | hit | p(cost1) |
|---|
| binance | bybit | fade | 50 | -6.11 | -6.11 | -8.11 | -10.11 | -16.11 | 48.0% | nan |
| binance | bybit | follow | 3,941 | -1.48 | -1.48 | -3.48 | -5.48 | -11.48 | 43.2% | 1.000 |
| binance | okx | follow | 3,941 | -1.41 | -1.41 | -3.41 | -5.41 | -11.41 | 43.1% | 1.000 |
| bybit | binance | fade | 50 | +7.83 | +7.83 | +5.83 | +3.83 | -2.17 | 46.0% | nan |
| bybit | binance | follow | 4,130 | -1.47 | -1.47 | -3.47 | -5.47 | -11.47 | 42.6% | 1.000 |
| bybit | okx | follow | 4,130 | -1.56 | -1.56 | -3.56 | -5.56 | -11.56 | 42.6% | 1.000 |
| okx | binance | follow | 3,923 | -1.22 | -1.22 | -3.22 | -5.22 | -11.22 | 42.7% | 1.000 |
| okx | bybit | follow | 3,923 | -1.41 | -1.41 | -3.41 | -5.41 | -11.41 | 43.1% | 1.000 |
Aligned minutes: 44640 (2024-01-01 00:00:00 .. 2024-01-31 23:59:00)
| lead | lag | k=-3 | k=-2 | k=-1 | k=+0 | k=+1 | k=+2 | k=+3 | best k |
|---|
| binance | bybit | -0.042 | -0.059 | +0.219 | +0.972 | +0.209 | -0.065 | -0.046 | +0 |
| binance | okx | -0.046 | -0.058 | +0.226 | +0.979 | +0.204 | -0.066 | -0.043 | +0 |
| bybit | binance | -0.046 | -0.065 | +0.209 | +0.972 | +0.219 | -0.059 | -0.042 | +0 |
| bybit | okx | -0.052 | -0.066 | +0.220 | +0.968 | +0.209 | -0.068 | -0.045 | +0 |
| okx | binance | -0.043 | -0.066 | +0.204 | +0.979 | +0.226 | -0.058 | -0.046 | +0 |
| okx | bybit | -0.045 | -0.068 | +0.209 | +0.968 | +0.220 | -0.066 | -0.052 | +0 |
| lead | lag | leg | n | gross bps | cost0 | cost1 | cost2 | cost5 | hit | p(cost1) |
|---|
| binance | bybit | follow | 4,439 | -0.65 | -0.65 | -2.65 | -4.65 | -10.65 | 36.9% | 1.000 |
| binance | okx | follow | 4,439 | -0.62 | -0.62 | -2.62 | -4.62 | -10.62 | 36.8% | 1.000 |
| bybit | binance | follow | 4,739 | -0.62 | -0.62 | -2.62 | -4.62 | -10.62 | 37.1% | 1.000 |
| bybit | okx | fade | 53 | +3.76 | +3.76 | +1.76 | -0.24 | -6.24 | 32.1% | nan |
| bybit | okx | follow | 4,739 | -0.66 | -0.66 | -2.66 | -4.66 | -10.66 | 36.9% | 1.000 |
| okx | binance | follow | 4,483 | -0.54 | -0.54 | -2.54 | -4.54 | -10.54 | 37.5% | 1.000 |
| okx | bybit | fade | 53 | -5.35 | -5.35 | -7.35 | -9.35 | -15.35 | 47.2% | nan |
| okx | bybit | follow | 4,483 | -0.58 | -0.58 | -2.58 | -4.58 | -10.58 | 37.3% | 1.000 |
| lead | lag | leg | n | gross bps | cost0 | cost1 | cost2 | cost5 | hit | p(cost1) |
|---|
| binance | bybit | follow | 4,439 | -0.86 | -0.86 | -2.86 | -4.86 | -10.86 | 40.3% | 1.000 |
| binance | okx | follow | 4,439 | -0.81 | -0.81 | -2.81 | -4.81 | -10.81 | 40.3% | 1.000 |
| bybit | binance | follow | 4,739 | -0.85 | -0.85 | -2.85 | -4.85 | -10.85 | 40.8% | 1.000 |
| bybit | okx | fade | 53 | +7.60 | +7.60 | +5.60 | +3.60 | -2.40 | 49.1% | nan |
| bybit | okx | follow | 4,739 | -0.92 | -0.92 | -2.92 | -4.92 | -10.92 | 40.0% | 1.000 |
| okx | binance | follow | 4,483 | -0.77 | -0.77 | -2.77 | -4.77 | -10.77 | 41.0% | 1.000 |
| okx | bybit | fade | 53 | -9.18 | -9.18 | -11.18 | -13.18 | -19.18 | 45.3% | nan |
| okx | bybit | follow | 4,483 | -0.86 | -0.86 | -2.86 | -4.86 | -10.86 | 40.0% | 1.000 |
| lead | lag | leg | n | gross bps | cost0 | cost1 | cost2 | cost5 | hit | p(cost1) |
|---|
| binance | bybit | follow | 4,439 | -0.98 | -0.98 | -2.98 | -4.98 | -10.98 | 43.7% | 1.000 |
| binance | okx | follow | 4,439 | -0.94 | -0.94 | -2.94 | -4.94 | -10.94 | 43.3% | 1.000 |
| bybit | binance | follow | 4,739 | -1.09 | -1.09 | -3.09 | -5.09 | -11.09 | 43.3% | 1.000 |
| bybit | okx | fade | 53 | +3.08 | +3.08 | +1.08 | -0.92 | -6.92 | 49.1% | nan |
| bybit | okx | follow | 4,739 | -1.21 | -1.21 | -3.21 | -5.21 | -11.21 | 42.9% | 1.000 |
| okx | binance | follow | 4,483 | -0.70 | -0.70 | -2.70 | -4.70 | -10.70 | 44.0% | 1.000 |
| okx | bybit | fade | 53 | -4.04 | -4.04 | -6.04 | -8.04 | -14.04 | 47.2% | nan |
| okx | bybit | follow | 4,483 | -0.82 | -0.82 | -2.82 | -4.82 | -10.82 | 43.9% | 1.000 |