• Investigates how fragmentation affects the Bitcoin market by exploring the consolidated order book of five major exchanges. • Uses intraday hourly snapshots of the order book data from Jan 2017 to May 2019. • Finds that the Bitcoin market is significantly fragmented where costs associated with market order is severe even for small transactions. • Suggests that a consolidation tool, such as a smart order router, can be effective in reducing the cost of trading. • Recommends the need for further development in both trading and regulation of the Bitcoin market. We explore the consolidated order book of five major exchanges to investigate how fragmentation affects the Bitcoin market. Using intraday snapshots of the order book data, we find that the Bitcoin market is quite fragmented, wherein the exchange liquidity measure is significantly negative, even for small transactions. Our results suggest that consolidation tools, such as smart order routers, can be effective in reducing the cost of trading, and that further development of the Bitcoin marketâs trading and regulation is needed. [ABSTRACT FROM AUTHOR]