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In cryptocurrency/trading what does it mean if the spread is temporarily shown to be 0 (see diagram below)?

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  1. There were no bids (or asks) on the order book at that time

  2. Market data was not available for that time

  3. A trade happened

I was tempted to pick option #1

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Another possible choice is that you are looking at bad data.

I don't know the crypto markets but in the stock market:

  • A crossed market is when the bid price exceeds its ask price.

  • A locked market is when the bid price at one exchange is the same as the ask price at another exchange.

With computerized trading, these are relatively rare events and they tend to happen in a fast market when there's a buying or selling frenzy and share price is moving rapidly.

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