Athena: Smart order routing on centralized crypto exchanges using a unified order book

IF 1.5 4区计算机科学 Q3 COMPUTER SCIENCE, INFORMATION SYSTEMS

International Journal of Network Management Pub Date : 2024-03-26 DOI:10.1002/nem.2266

Robert Henker, Daniel Atzberger, Jan Ole Vollmer, Willy Scheibel, Jürgen Döllner, Markus Bick

{"title":"Athena: Smart order routing on centralized crypto exchanges using a unified order book","authors":"Robert Henker, Daniel Atzberger, Jan Ole Vollmer, Willy Scheibel, Jürgen Döllner, Markus Bick","doi":"10.1002/nem.2266","DOIUrl":null,"url":null,"abstract":"<p>Most cryptocurrency spot trading occurs on centralized crypto exchanges, where offers for buying and selling are organized via an order book. In liquid markets, the price achieved for buying and selling deviates only slightly from the assumed reference price, that is, trading is associated with low implicit costs. However, compared to traditional finance, crypto markets are still illiquid, and consequently, the reduction of implicit costs is crucial for any trading strategy and of high interest, especially for institutional investors. This paper describes the design and implementation of Athena, a system that automatically splits orders across multiple exchanges to minimize implicit costs. For this purpose, order books are collected from several centralized crypto exchanges and merged into an internal unified order book. In addition to price and quantity, the entries in the unified order book are enriched with information about the exchange. This enables a smart order routing algorithm to split an order into several slices and execute these on several exchanges to reduce implicit costs and achieve a better price. An extensive evaluation shows the savings of using the smart order routing algorithm.</p>","PeriodicalId":14154,"journal":{"name":"International Journal of Network Management","volume":"34 4","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/nem.2266","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Network Management","FirstCategoryId":"94","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/nem.2266","RegionNum":4,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"COMPUTER SCIENCE, INFORMATION SYSTEMS","Score":null,"Total":0}

引用次数: 0

Abstract

Most cryptocurrency spot trading occurs on centralized crypto exchanges, where offers for buying and selling are organized via an order book. In liquid markets, the price achieved for buying and selling deviates only slightly from the assumed reference price, that is, trading is associated with low implicit costs. However, compared to traditional finance, crypto markets are still illiquid, and consequently, the reduction of implicit costs is crucial for any trading strategy and of high interest, especially for institutional investors. This paper describes the design and implementation of Athena, a system that automatically splits orders across multiple exchanges to minimize implicit costs. For this purpose, order books are collected from several centralized crypto exchanges and merged into an internal unified order book. In addition to price and quantity, the entries in the unified order book are enriched with information about the exchange. This enables a smart order routing algorithm to split an order into several slices and execute these on several exchanges to reduce implicit costs and achieve a better price. An extensive evaluation shows the savings of using the smart order routing algorithm.

Abstract Image

查看原文本刊更多论文

雅典娜：使用统一订单簿在集中式加密货币交易所进行智能订单路由选择

摘要大多数加密货币现货交易都是在集中式加密货币交易所进行的，交易所通过订单簿组织买卖报价。在流动性高的市场中，买卖价格与假定参考价格的偏差很小，也就是说，交易的隐性成本很低。然而，与传统金融相比，加密货币市场仍然缺乏流动性，因此，降低隐性成本对任何交易策略都至关重要，尤其是对机构投资者而言，更是如此。本文介绍了雅典娜（Athena）系统的设计与实现，该系统可在多个交易所之间自动拆分订单，以最大限度地降低隐性成本。为此，我们从多个集中式加密货币交易所收集订单簿，并将其合并为内部统一订单簿。除了价格和数量外，统一订单簿中的条目还丰富了交易所的信息。这样，智能订单路由算法就能将订单分割成多个片段，并在多个交易所执行，从而降低隐含成本，获得更好的价格。一项广泛的评估显示，使用智能订单路由算法可以节省成本。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

International Journal of Network Management COMPUTER SCIENCE, INFORMATION SYSTEMS-TELECOMMUNICATIONS

CiteScore

5.10

自引率

6.70%

发文量

审稿时长

>12 weeks

期刊介绍： Modern computer networks and communication systems are increasing in size, scope, and heterogeneity. The promise of a single end-to-end technology has not been realized and likely never will occur. The decreasing cost of bandwidth is increasing the possible applications of computer networks and communication systems to entirely new domains. Problems in integrating heterogeneous wired and wireless technologies, ensuring security and quality of service, and reliably operating large-scale systems including the inclusion of cloud computing have all emerged as important topics. The one constant is the need for network management. Challenges in network management have never been greater than they are today. The International Journal of Network Management is the forum for researchers, developers, and practitioners in network management to present their work to an international audience. The journal is dedicated to the dissemination of information, which will enable improved management, operation, and maintenance of computer networks and communication systems. The journal is peer reviewed and publishes original papers (both theoretical and experimental) by leading researchers, practitioners, and consultants from universities, research laboratories, and companies around the world. Issues with thematic or guest-edited special topics typically occur several times per year. Topic areas for the journal are largely defined by the taxonomy for network and service management developed by IFIP WG6.6, together with IEEE-CNOM, the IRTF-NMRG and the Emanics Network of Excellence.