When the clock strikes: algorithmic trading in cryptocurrency markets

Periodicity in spot Bitcoin and Ethereum trading activity is present at the one-second frequency. Trade count rises sharply during the first and last seconds of the minute. Rapid trades executed around the turn of the minute are done in smaller sizes, reflect the presence of crossing order flows and do not contribute a meaningful share to price discovery. The pattern of recurring sharp increases in transactions over a short time that do not distort the market dynamics support the idea that such trading activity is execution-driven rather than speculative. Bitcoin and Ethereum perpetual futures lack the pattern of surges in trading activity at the turn of the minute prominently displayed in their spot trading segment. Trading activity in the spot market for Binance Coin, Solana and Ripple does not exhibit spikes in trade count at the intersection of the minute either. The combined evidence discounts or rejects the set of possible explanations of the observed phenomenon that include proprietary trading, crypto wash trading, exchange’s matching engine and retail bots, and is indicative of agency algorithms. The findings imply heterogeneity in the level of institutional adoption within the cryptocurrency market, with Bitcoin and Ethereum exhibiting the highest degree of institutional engagement.