An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers

Author name not available (Why is that?)

Publication date: 9 February 2023

Abstract: Constant function market makers (CFMMs) such as Uniswap have facilitated trillions of dollars of digital asset trades and have billions of dollars of liquidity. One natural question is how to optimally route trades across a network of CFMMs in order to ensure the largest possible utility (as specified by a user). We present an efficient algorithm, based on a decomposition method, to solve the problem of optimally executing an order across a network of decentralized exchanges. The decomposition method, as a side effect, makes it simple to incorporate more complicated CFMMs, or even include 'aggregate CFMMs' (such as Uniswap v3), into the routing problem. Numerical results show significant performance improvements of this method, tested on realistic networks of CFMMs, when compared against an off-the-shelf commercial solver.

Has companion code repository: https://github.com/bcc-research/cfmmrouter.jl

This page was built for publication: An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6425990)