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.
Synchronization of transaction pools (mempools) has shown potential for improving the performance and block propagation delay of state-of-the-art blockchains. Indeed, various heuristics have been proposed in the literature to incorporate early exchanges of unconfirmed transactions into the block propagation protocol. In this work, we take a different approach, maintaining transaction synchronization externally (and independently) of the block propagation channel. In the process, we formalize the synchronization problem within a graph theoretic framework and introduce a novel algorithm (SREP—set reconciliation-enhanced propagation) with quantifiable guarantees. We analyze the algorithm's performance for various realistic network topologies and show that it converges on static connected graphs in a time bounded by the diameter of the graph. In graphs with dynamic edges, SREP converges in an expected time that is linear in the number of nodes. We confirm our analytical findings through extensive simulations that include comparisons with MempoolSync, a recent approach from the literature. Our simulations show that SREP incurs reasonable bandwidth overhead and scales gracefully with the size of the network (unlike MempoolSync).