An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers - Gauntlet
Authors
Tarun Chitra, Theo Diamandis, Max Resnick, Guillermo Angeris
February 1, 2023
An Efficient Algorithm for Optimal Routing Through Constant Function Market Makers
Key Takeaways
A natural question for constant function market makers is how to optimally route trades across a network of them in order to ensure the largest possible utility (as specified by a user).
This paper presents an efficient algorithm, based on a decomposition method, to solve the problem of optimally executing an order across a network of decentralized exchanges.
Numerical results show significant performance improvements of this method, tested on realistic networks of CFMMs, when compared against an off-the-shelf commercial solver.
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