devcon 7 / latency advantage in cex dex arbitrage
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Latency Advantage in CEX-DEX Arbitrage
Duration: 00:09:22
Speaker: Akaki Mamageishvili
Type: Lightning Talk
Expertise: Intermediate
Event: Devcon
Date: Nov 2024
We study the effects of having latency advantage in the CEX-DEX arbitrage in the first-come first-serve transaction ordering policies. We search for optimal strategies for a trader that owns such advantage. To find optimal strategies, we simulate price changes on CEX using real data and assume DEX price does not change in the latency advantage interval. We find that optimal strategy can even be to trade right away as soon as the price difference crosses a threshold where trading is profitable
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