Cryptocurrency microstructure and high-frequency trading patterns: a review of order book dynamics, liquidity provisions and price discovery

The rapid evolution of cryptocurrency markets requires a comprehensive understanding of their distinct microstructural characteristics, including high-frequency trading, fragmented liquidity, and dynamic price discovery. However, the current body of research is fragmented, leading to inconsistent conclusions regarding market efficiency, liquidity provision, and trading behaviour. This study employs a systematic literature review to elucidate the influence of order-book dynamics, high-frequency trading patterns, liquidity provisions, and price-discovery mechanisms on the structure of cryptocurrency markets. Using a structured, replicable methodology applied in peer-reviewed journal articles from 2009 to 2025, this review synthesizes existing knowledge and identifies key emerging research trends to capture inconsistencies in the field. The review demonstrates that the cryptocurrency market shares several fundamental characteristics with traditional financial markets, including the prevalence of algorithmic trading and improved price discovery. Nonetheless, cryptocurrency trading remains fragmented due to multiple trading platforms, regulatory heterogeneity, and a high share of retail participation. High-frequency trading typically improves liquidity under normal market conditions but exacerbates volatility during periods of market stress. Additionally, findings indicate that price discovery in cryptocurrency is shaped by cross-exchange arbitrage and information asymmetry, leading to temporary inefficiencies and price discrepancies. The study offers several contributions. It provides a comprehensive synthesis of current research on cryptocurrency market microstructure and identifies specific knowledge gaps requiring further investigation. In particular, the review underscores the importance of additional empirical evidence utilizing tick-level and multi-exchange data.