Why a second

Markets are usually shown in days. A day suits a person and means very little to a market. By the time a day closes, everything inside it has been averaged into one candle, and the machinery that produced the number has been thrown away. This issue works at the other end of the scale.

How this one was chosen

We scanned six hours of our own bitcoin capture: 21,291 seconds with any activity in them. Each was scored on how many venues were live, how many events it held, and whether the sequence inside it could be followed: a cause, an effect, a response. 07:24:04 UTC scored highest. It was frozen to a file before a word of the issue was written, and nothing in it has been edited since.

A busy second was chosen because a busy second can be followed. It is not a typical one, and the issue does not pretend otherwise: an ordinary second from the same six hours, drawn at random from those with a median number of trades, sits beside it in the data room. That one holds 11 prints and $14,485, against 741 prints and $3.2 million here.

What was withheld

Kraken. It was connected and quoting throughout, but its order book in our capture is crossed, bids above asks, for 98.8% of the window. The cause was a bug in our own collector: it never deleted price levels that fell out of the depth it subscribed to. We found it while preparing this issue and fixed it the same day. Every Kraken quote in this second is unusable, so none is in the tables. Page 99 shows one of them anyway.

How to read the footer

The stamp is the time elapsed at that page, with time spread evenly over 112 pages. Beside it is the event we captured nearest that instant: a quote, with its best bid and ask, or a print, with the price it crossed at. By page 112 the second is over.