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On-chain optimal aggregation of Uniswap v3 clones

Author

Listed:
  • Vincent Danos

    (DI-ENS - Département d'informatique - ENS-PSL - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique)

  • Leo Murao Watson

    (University of Toronto)

  • Hamza El Khalloufi

    (UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Santiago Valencia

Abstract

In this paper we define a simple and efficient "push-and-solve" algorithm to compute the best execution or "optimal split" of a market order given a finite set of AMMs. Each AMM has to be decomposable into basic building blocks which we call price-parametrised AMMs. This has a practical application to the optimal splitting of orders among Uniswap v3 clones, as the algorithm is query-optimal (information on sources is queried on a call-by-need basis) and therefore of low enough complexity to be implemented as a smart contract. We also find a sufficient condition for AMMs based on price parametrisations to be aggregatable which is of independent interest as it allows one to build novel AMMs with concentrated liquidity, families of which can also be optimally executed on-chain.

Suggested Citation

  • Vincent Danos & Leo Murao Watson & Hamza El Khalloufi & Santiago Valencia, 2024. "On-chain optimal aggregation of Uniswap v3 clones," Working Papers hal-04800479, HAL.
    • Handle: RePEc:hal:wpaper:hal-04800479
    Note: View the original document on HAL open archive server: https://hal.science/hal-04800479v1
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