Sources
What the filter is doing
Unlike the FRED series, neither column has been transformed by a statistical filter. Both are exchange closes, taken straight from the venue's public market-data API. The "filter" here is the venue itself.
Why two exchange feeds disagree on the same asset, on the same day, at the same UTC second:
- Liquidity and order book depth. A venue that clears more volume tends to have tighter spreads; a thinner book can leave the closing print further from a hypothetical mid-market.
- Fee structure. Maker/taker fees and tier discounts shape which trades clear and at what price.
- User base. Coinbase serves more U.S. retail; Kraken's user mix skews more international and pro-trader. Their order flows differ in timing and direction.
- Stress events. The gap usually sits within tens of dollars but can widen by hundreds during outages, large liquidations, or differential withdrawal restrictions.
Observations
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Raw JSON: btc.json