If a binary colloidal mixture is oppositely driven by an external field, a transition towards a laned state occurs at sufficiently large drives, where particles driven alike form elongated structures ('lanes') characterized by a large correlation length ξ along the drive. Here we perform extensive Brownian dynamics computer simulations on a two-dimensional equimolar binary Yukawa system driven by a constant force that acts oppositely on the two species. We systematically address finite-size effects on lane formation by exploring large systems up to 262,144 particles under various boundary conditions. It is found that the correlation length ξ along the field depends exponentially on the driving force (or Peclet number). Conversely, in a finite system, ξ reaches a fraction of the system size at a driving force which is logarithmic in the system size, implying massive finite-size corrections. For a fixed finite drive, ξ does not diverge in the thermodynamic limit. Therefore, though laning has a signature as a sharp transition in a finite system, it is a smooth crossover in the thermodynamic limit.