Key Takeaways
This paper considers the problem of optimally executing an order involving multiple cryptoassets on a network of multiple constant function market makers (CFMMs).
When ignoring the fixed cost associated with executing an order on a CFMM, this optimal routing problem can be cast as a convex optimization problem, which is computationally tractable.
When we include the fixed costs, the optimal routing problem is a mixed-integer convex problem, which can be solved using (sometimes slow) global optimization methods, or approximately solved using various heuristics based on convex optimization.
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