An equity trader is protected by infrastructure they never think about: a consolidated tape showing the national best bid and offer, and rules requiring orders be routed to it. Crypto has no equivalent.
The same coin trades on many venues, each with its own book, its own price, its own depth and its own fees. Nothing forces them together except arbitrage, and arbitrage is not free.
What that means practically
There is no single price. Quoted prices differ across venues at any moment, usually slightly and sometimes not. An index that averages them — like the one behind a mark price — is a construct, useful precisely because no single venue is authoritative.
Depth is split. Total depth across all venues may be substantial while the venue you are on is thin. Your impact is set by the book you are actually in, not by the market in aggregate.
Nothing routes for you. Trading at a worse price than exists elsewhere is entirely permitted, and the difference is yours to lose.
Why the gaps persist
Because closing them costs money: fees on both sides, impact on both sides, and capital tied up on two venues at once with each venue’s counterparty risk attached. The observed spread between venues is roughly the market’s price for that inconvenience — the same reasoning as why funding differs by venue.
Which makes the gap informative rather than a free lunch. A persistent divergence says something about how hard capital is to move to that venue.
The practical read
Know where the liquidity for your specific asset actually is — it differs by coin, and the largest venue overall is not the deepest in everything. And treat any figure aggregated across venues as a construct, exactly as you would a blended funding rate: it may be useful, and nobody trades it.