Whalepool - Bitcoin Volume Validator

Whalepool has created and released an open-source tool for analysing volume on exchanges and to sniff out fake volume. See:

• https://twitter.com/whalepool/status/1251662837031882758
• https://github.com/Whalepool/Bitcoin-Volume-Validator/

From the GitHub repository:

Theory

Every trade execution by law of Central Limit Order Book logic has both a "maker" and a "taker" side from orders created.

Every "maker" order has an event pushed to the "OrderBook" websocket stream.

The API documentation in all cases of exchanges used indicates real-time pushing of updated data (we did not use streams where there was indication of 1000ms or so delays).

So the methodology used throughout is to programmatically watch:
- The order book best bid/offer
- The raw trade feed

Then look for trades which occur inbetween the bid/ask.

This would indicate a trade took place which no one else was able to execute because the trade never appeared on the order book for anyone to be able to see, to then take.

It is known that some exchanges are just not good at reporting the orderbook data and trade data in synch, or they do not provide detailed enough information of event timestamp/id to be able to resolve suspicious data.

The scripts here compute both Fake Trades Count vs Legit Trades Count, as well as Fake Volume vs. Legit Volume.

Feel free to request an exchange you use to be analysed using our methodology and we'll be happy to post it along with results.

Some results (also from the GitHub repository):

Exchange	Volume executed between the spread (_o_) ?	Notes
Binance	30%	Approx 30% of volume executes between the spread
Coinbase	2-3%	Approx 2-3% of volume executes between the spread
Bitstamp	<1%	Tested over a 12h period
FTX	<1%	within margin of error for latency issues
Kraken	0%	PERFECT - Tested and no fake volume identified
Bitfinex	-	Exchange has hidden orders so test is non applicable
"Bilaxy"	YES	Totally fake. See video