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We exploit Binance’s shift from zero-fee to commission-based trading in March 2023 as a natural experiment to examine how fee structures affect order flow informativeness in cryptocurrency markets. Using high-frequency order book data for the BTC/USDT pair, we find that the explanatory power of order flow imbalances for price changes increased significantly after fee implementation, from 5% to 21.55% R2. The results suggest that zero trading fees may reduce price efficiency by diluting order flow information content. Our findings inform optimal market design for digital asset exchanges and demonstrate how trading costs influence the strategic behavior of market participants.

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Fee Structure and Order Flow Informativeness in the Cryptocurrency Market

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  • 出版模式：

    开放获取

  • 发表日期：

    2026年

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  • Christian Bozzetto,
  • Imtiaz Sifat,
  • Narmin Nahidi

摘要

We exploit Binance’s shift from zero-fee to commission-based trading in March 2023 as a natural experiment to examine how fee structures affect order flow informativeness in cryptocurrency markets. Using high-frequency order book data for the BTC/USDT pair, we find that the explanatory power of order flow imbalances for price changes increased significantly after fee implementation, from 5% to 21.55% R2. The results suggest that zero trading fees may reduce price efficiency by diluting order flow information content. Our findings inform optimal market design for digital asset exchanges and demonstrate how trading costs influence the strategic behavior of market participants.