Thread by @ltrd_

[1] The hottest topic in the crypto universe last couple of days was $PEPE - a meme coin that went to top 40 coins and was the biggest meme surprise since SHIB in October 2021. How did the market look in the HFT data? Let’s see! 🧵🧵

#pepe #cryptocurrency #trading

[2] I focus on CEX trading because there were more analyses related to the $PEPE and trading on DEXes, such as the great thread by @thiccythot_ which can bring you a lot of value in terms of understanding what happened on $PEPE. Highly recommended thread.

https://twitter.com/thiccythot_/status/1654775743577038848

[3] What is important in terms of the analysis of $PEPE is that we should divide our analysis into two periods: The first move with only a couple of exchanges that had $PEPE listed with really small liquidity and the second move with other exchanges in the game such as OKX.

[4] The first move was dominated by MEXC and GATE IO exchanges which collected almost all (except DEXes) volume in the first phase. The next phase was dominated by OKX with a huge volume there. Relatively slow in terms of listing was KuCoin and Binance with listing on May 5th.

[5] Let’s dive into the first phase of the move and focus on what was happening on the GATE IO exchanges. This first move should base on low liquidity, sharp moves with big market impact, and pretty big spreads.

[6] On the left y-axis, we have CVD (Cumulative Volume Delta) in USDT for Gate.io spot exchange. You can clearly see that we had big sell pressure - there was no sign of accumulation during the April 26-29 period, which we could anticipate.

[7] Especially from April 30th, we can see huge (probably) take profits and sell pressure. Even with such big sell pressure, there was so much bid liquidity in the orderbook that the price still was going parabolic.

[8] Spread in such times when the market is not full of market makers is pretty big and market impacts are huge, especially on those sharp moves where we can a lot of bad factors combined: fewer MMs, less liquidity, more FOMOers, and bigger latency.

[9] We see similar sell pressure on perps which means that big players were looking for a way to hedge their on-chain positions. It was probably the first perp for PEPE, so it was a great place to use the leverage in order to TP on their previously accumulated positions.

[10] As I said before - the first phase of the market is always related to the low liquidity and huge market impacts. This time was NOT different - we could see more than 10% of the market impact on the trades on PEPEUSDT.

[11] One of the trades filled over 340 levels in the orderbook and there were 51 trades that filled more than 50 levels.

[12] In the second phase on $PEPE, OKX exchange (both spot and perps) dominated the market in terms of volume. The CVD is much different and we can see sell pressure after the peak around .45 price of $PEPE. We see that market impacts are not as big as it was in the first phase.

[13] Here, we have OKX Perps. I checked it a few times and I can promise you that I have never seen such a chart before where the CVD and Price have such similar shapes. I cannot tell you how it is possible and I will definitely think about it more in the next few days.

[14] Let’s look at the market after the Binance Futures listing. BFUT is the exchange that can (on average) absorb the most market orders, so the market always changes a lot after a BFUT listing. This time was no different.

[15] We can see that right after the Binance Futures listing, OKX lost its dominance in the market, although, before the listing, OKX highly dominated the $PEPE market. From that point, spreads are much lower and liquidity is much better in the orderbooks.

[16] As you can see, there is still a big sell pressure both on the spot and perp. A similar situation was in the first half of 2021 where CVD on all of the pumped coins was highly negative. Those who could - hedged their position left retail in a trap. IS THIS TIME DIFFERENT?

[17] Listing policy is much more aggressive now than it was before and it makes the game much tougher for smaller market makers. Markets are much more efficient and the propagation of signals is faster than it was before - even on such illiquid coins as $PEPE.

[18 - the end] That's all for now - if you enjoyed it, please share it and comment.