This paper focuses on the mechanism of arbitrage trading, focusing on the implementation aspect, aiming to show the relationship between the basic expenses of blocks, time blocks and the participants, limited partners and searchers who participate in these transactions. It includes the simulation results with available source code. It is generally believed that arbitrage trading has created a large part of the trading volume, and may even be a large part of the loss and rebalancing model of this trading volume. It is a kind of arbitrage that is quantified and modeled from a theoretical perspective. However, it is easy to be misunderstood and misunderstood. For example, some research papers state or imply that the loss of limited partners in the hypothetical arbitrage transaction increases with the square root of the block time. This comes from the works that are modeled in the idealized setting but actually run the simulation, such as this one, which usually reveals that the short block time has the least impact. How can we coordinate these different results and bridge the gap between theory and practice? It can be said that most of the differences come from arbitrage is a kind of two-person zero. And the assumption of the game is usually modeled in the research, however, this assumption is invalid in the later world, because the transactions there cannot be free. Each arbitrage transaction will not only distribute the profits between the searcher, the builder and the proposer as mentioned later in this paper, but also burn some borrowed physical terms according to the demand for block space during arbitrage, which will introduce friction in the process, which will eliminate a large part of potential transactions and reduce the income of limited partners. Personally, I prefer to call it cost and rebalancing, because in the real world, there is no real entity that quantifies losses accurately. On the contrary, a key question that designers can consider is what percentage of the theory they bear, that is, part of it is actually the expected loss in the model used only by arbitrage traders, that is to say, I will stick to it in this paper to avoid more confusion. Let's study the arbitrage mechanism in detail. The following figure shows. The price change on the market is enough to attract the typical state in the pool after arbitrage. The following figure depicts the state after arbitrage trading. The price has changed from to and its assets are sold at the price. This price represents the geometric average between the two prices. The new price is still slightly deviated from the price, but it is still in the non-arbitrage area. Therefore, unless the price rises slightly or falls sharply to completely cross the non-arbitrage threshold and then exceeds some, no further transactions will occur. What will happen if the price rises now, the transaction will not be issued. This is because there is a friction area on both sides of the non-arbitrage gap caused by the exchange fee of the mine pool, which is caused by the basic cost of the blockchain and other factors, including the prediction accuracy and risk tolerance of the arbitrageur if there is a priority fee for the fee and the bribe to the block proponent. For this purpose, it is assumed that the basic cost of the block causes most friction and ignores other factors. The friction caused by the basic cost is predictable by the arbitrageur and they are unlikely to be subtracted. Analysis of creating any swap single transaction when the expected profit of a block is negative after the expected basic cost; When the difference between the sum quotation and the swap rate of the pool is enough, the arbitrage transaction will be triggered, but the realization of a single arbitrage transaction is not proportional to the difference; on the contrary, it is proportional to the difference between the transaction execution price and the sum quotation, assuming that the transaction execution price is equal to the quotation, but the transaction execution price is the geometric average of the quotations before and after the transaction; in addition, the single transaction is distributed among the three entities. Providers, searchers, block builders and block proponents, as a collective entity holder, are affected by the destruction in the transaction, charging swap fees and collecting arbitrage profits, and these profits are then distributed among these three participants. It is not surprising that the comprehensive searchers and builders dominate the arbitrage market, because they have to deal with the simplified principal-agent problem in profit distribution, and the holders are not directly compensated, but their value will rise slightly for a long time due to deflationary pressure, and their high volatility has increased. In addition, it also makes the expected jump larger, which leads to the unfair distribution of limited partners when the volatility rises. By comparing the cost of a single transaction with that of the transaction, we can evaluate the fairness of the transaction pair. In the case of stable price evolution without jump, the cost can almost be recovered, and the loss is small. However, if the price difference is due to the time granularity of the block or the actual price discontinuity, However, the fluctuation will lead to some losses for this theoretical rebalancing strategy. Example scenario Let's model the liquidity within the pool. As of June, it has virtual assets worth about $100 million, which is equivalent to about $100 million in physical assets. The liquidity concentration is that if we want to carry out arbitrage swaps even in a relatively small scale, it is very important to have deep liquidity. A simple exchange may consume about the same amount. The dollar cost of each exchange is US dollars. Assuming that the reasonable basic cost and the price of US dollars can easily increase several times during the period of pressure and high volatility, the example assumes that the starting price of sum is US dollars. First, let's take a look at what will happen when the price changes. The current price is outside the non-arbitrage area for the US dollar. Arbitrators calculate the target price because the fees charged by the mine pool are equal to and partially replaced by raising the price to the target price. The exchange amount is changed from liquidity and virtuality in the pool. Reserves and definitions This will return the amount excluding fees. In order to obtain the input amount with fees, the result must be divided by the sum price for the pool, and then divided into the fee part, the profit part and the block basic fee. The fee does not depend on the details of the transaction, except its cost. If the estimated profit is a regular transaction, it will not be exchanged for the example pool of virtual assets with a value of US dollars. The fee of US dollars leads to about one-third of the theoretical loss of a single transaction. The loss comes from the block basic fee of US dollars. The example keeps the same assumption, but lets the price change. In this case, the limited partners do get the impressive fee of US dollars. However, the single transaction grows faster and reaches US dollars, which means that the loss accounts for the theory. This shows that the loss of the limited partners has a superlinear relationship with the price change, but the loss has doubled by more than US dollars. From the previous example, we can see that if the limited partners can trade gradually instead of all transactions at once, their situation will be better. Let's consider a short block world in which the price is two. 比特币今日价格行情网_okx交易所app_永续合约_比特币怎么买卖交易_虚拟币交易所平台

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