This session presents some ideas, lessons learned and techniques used to build high frequency trading strategies in decentralized finance(DeFi). The deck describes some key practical tips that can help quants build HFT strategies for the new word of DeFi.
18. Mempool Monitors
Requirement
• Monitor transactions that
could trigger an
opportunity in a set of
DeFi protocols
Solution
• Host access to Ethereum
nodes with mempool
access capabilities
20. Gas Bidding Logic/Frontrunning Protection
Requirement
• Compete against alternative
strategies for executing
specific transactions
Solution
• Use mempool monitoring
and gas estimation
techniques to develop a
transaction-bidding method
21. Private Pool Interactions
Requirement
• Hide transactions from
potential competitors
Solution
• Incorporate private pool
routing engines to mine
transactions outside the
visibility of Ethereum
miners
22. Transaction Input Obfuscation
Requirement
• Prevent competitors
from identifying your
transactions
Solution
• Obfuscate your
transaction data to avoid
obvious competitors and
frontrunning bots
23. Transaction Replay
Requirement
• Evaluate the impact of
potential opportunities and
competitive transactions in
real time
Solution
• Use Ethereum nodes to
replay transactions offline
and evaluate the state of the
network
24. Other Relevant Building Blocks
• CeFi signals
• Multi-protocol integration
• Multi-chain execution
26. Automatic HFT Strategy Learning
Concept
• Use modern machine
learning methods to
automatically learn
new HFT strategies
based on the state of
the blockchain
27. Tokenized HFT Strategies
Concept
• Expose active HFT
strategies in the form
of tokens and smart
contracts that any
retail investors can
access
28. Summary
● DeFi represents a new playground for HFT strategies
● Infrastructure is key for executing HFT DeFi strategies in a highy competitive
environment
● HFT should be seen as a feature of DeFi