[论文解读] A2MM: Mitigating Frontrunning, Transaction Reordering and Consensus Instability in Decentralized Exchanges

Liyi Zhou, Kaihua Qin+1 more|arXiv (Cornell University)|Jun 14, 2021

Blockchain Technology Applications and Security参考文献 37被引用 26

一句话总结

A2MM 提出一个 Automated Arbitrage Market Maker 自动化套利市场制造商，能够原子路由交易并在同一区块链上对等 AMM 之间进行两点套利，以抑制 MEV、抢跑和共识不稳定。

ABSTRACT

The asset trading volume on blockchain-based exchanges (DEX) increased substantially since the advent of Automated Market Makers (AMM). Yet, AMMs and their forks compete on the same blockchain, incurring unnecessary network and block-space overhead, by attracting sandwich attackers and arbitrage competitions. Moreover, conceptually speaking, a blockchain is one database, and we find little reason to partition this database into multiple competing exchanges, which then necessarily require price synchronization through arbitrage. This paper shows that DEX arbitrage and trade routing among similar AMMs can be performed efficiently and atomically on-chain within smart contracts. These insights lead us to create a new AMM design, an Automated Arbitrage Market Maker, short A2MM DEX. A2MM aims to unite multiple AMMs to reduce overheads, costs and increase blockchain security. With respect to Miner Extractable Value (MEV), A2MM serves as a decentralized design for users to atomically collect MEV, mitigating the dangers of centralized MEV relay services. We show that A2MM offers essential security benefits. First, A2MM strengthens the blockchain consensus security by mitigating the competitive exploitation of MEV, therefore reducing the risks of consensus forks. A2MM reduces the network layer overhead of competitive transactions, improves network propagation, leading to less stale blocks and better blockchain security. Through trade routing, A2MM reduces the predatory risks of sandwich attacks by taking advantage of the minimum profitable victim input. A2MM also offers financial benefits to traders. Failed swap transactions from competitive trading occupy valuable block space, implying an upward pressure on transaction fees. Our evaluations shows that A2MM frees up 32.8% block-space of AMM-related transactions. In expectation, A2MM's revenue allows to reduce swap fees by 90%.

研究动机与目标

• 激励减少由同一区块链上多家竞争性去中心化交易所造成的开销和安全风险。
• 提出一种新的 AMM 设计（A2MM），原子路由兑换并在对等 AMMs 之间进行链上套利。
• 展示安全与经济效益，包括降低的 MEV 曝露和较低的交易成本。
• 展示经验性效益，如在对等 AMMs 之间路由时降低的区块空间使用和兑换费。

提出的方法

• 介绍 A2MM 设计，它能够原子路由兑换并在 N 个对等 AMMs 之间执行尽力而为的两点套利。
• 为两资产池定义 AMM 状态转换，并将定价函数形式化，具备流动性敏感特性。
• 证明路由优化是贪心的，并最小化跨 AMM 的价格发散性（定理1）。
• 将跨多个 AMMs 的套利利润最大化形式化（方程9）。
• 通过将路由/套利交易打包为至多 N 次交换来实现交换压缩（定理2）。
• 通过使用两个 AMMs（Uniswap 和 Sushiswap）回放过去的区块链数据来评估 A2MM，并量化交易费用和区块空间的减少。

实验结果

研究问题

• RQ1 链上在多个 AMMs 之间的路由和套利如何降低 MEV 相关风险？
• RQ2 与多个竞争的 DEX 相比，单一 AMM 链上方案的安全性与效率提升有哪些？
• RQ3 对等 AMMs 之间的最优路由是否能平抬价格并最小化诸如三明治攻击等对抗性机会？
• RQ4 采用 A2MM 对区块空间使用和兑换费的潜在影响是什么？

主要发现

• 与标准 AMM 交换相比，A2MM 平均将换币交易费降低 90%。
• 平均预期降低区块空间消耗 32.8%。
• 对等 AMMs 间的路由贪心地将交易量路由到最佳价格，降低 AMM 之间的资产价格差异（定理1）。
• A2MM 的链上路由与套利缓解两点套利 MEV 与三明治攻击，改善区块链安全。
• 兑换可以被压缩为至多 N 次交换而不改变最终状态（定理2）。
• 通过 Uni- 与 SushiSwap 的工业评估，展示对等 AMMs 路由时显著的效率与安全性好处。