Optimal Routing for Constant Function Market Makers
Abstract
We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an order on a CFMM, this optimal routing problem can be cast as a convex optimization problem, which is computationally tractable. When we include the fixed costs, the optimal routing problem is a mixed-integer convex problem, which can be solved using (sometimes slow) global optimization methods, or approximately solved using various heuristics based on convex optimization. The optimal routing problem includes as a special case the problem of identifying an arbitrage present in a network of CFMMs, or certifying that none exists.
Cite
@article{arxiv.2204.05238,
title = {Optimal Routing for Constant Function Market Makers},
author = {Guillermo Angeris and Tarun Chitra and Alex Evans and Stephen Boyd},
journal= {arXiv preprint arXiv:2204.05238},
year = {2022}
}