去中心化金融的交易机制综述

doi:10.11959/j.issn.2096-0271.2022064

大数据 ›› 2022, Vol. 8 ›› Issue (4): 67-84.doi: 10.11959/j.issn.2096-0271.2022064

去中心化金融的交易机制综述

邓钇敏¹^,², 司世景¹, 王健宗¹, 李泽远¹, 肖京¹

¹ 平安科技（深圳）有限公司，广东深圳 518063
² 中国科学技术大学先进技术研究院，安徽合肥 230026

出版日期:2022-07-15 发布日期:2022-07-01
作者简介:邓钇敏（1999- ），女，中国科学技术大学先进技术研究院硕士生，中国计算机学会（CCF）会员，主要研究方向为深度学习、计算机视觉和元宇宙等
司世景（1988- ），男，博士，平安科技（深圳）有限公司资深算法研究员，中国科学技术大学硕士生企业导师， CCF会员。发表机器学习、大数据和人工智能领域国际核心论文20余篇
王健宗（1983- ），男，博士，平安科技（深圳）有限公司副总工程师、资深人工智能总监。CCF理事、杰出会员， CCF大数据专家委员会委员，主要研究方向为联邦学习、深度学习、云计算、物联网和元宇宙
李泽远（1993- ），男，平安科技（深圳）有限公司高级产品经理，中国计算机学会青年计算机科技论坛深圳分论坛领域主席委员，主要研究方向为联邦学习、多方安全计算等
肖京（1972- ），男，博士，平安科技（深圳）有限公司首席科学家，深圳市政协委员，中国计算机学会深圳会员活动中心副主席，清华大学、上海交通大学、同济大学、香港中文大学、深圳大学、上海纽约大学客座教授，长期从事人工智能与大数据分析挖掘相关领域研究工作，发表计算机图形学、自动驾驶、3D显示、医疗诊断、联邦学习等领域国际核心论文230余篇，授权专利220余项
基金资助:
广东省重点领域研发计划“新一代人工智能”重大专项(2021B0101400003)

Exchange mechanism for decentralized finance: a survey

Yimin DENG¹^,², Shijing SI¹, Jianzong WANG¹, Zeyuan LI¹, Jing XIAO¹

¹ Ping An Technology (Shenzhen) Co., Ltd., Shenzhen 518063, China
² Institute for Advanced Technology, University of Science and Technology of China, Hefei 230026, China

Online:2022-07-15 Published:2022-07-01
Supported by:
The Key Research and Development Program of Guangdong Province(2021B0101400003)

摘要/Abstract

摘要：

去中心化金融（DeFi）是一种基于区块链和智能合约提供金融服务的新范式，现已涉及包括借贷及其衍生品在内的众多领域。因此，作为DeFi基础的交易机制成为重要的关注点，其直接影响着上层应用的稳定性。主要讨论DeFi领域的交易机制，首先介绍与交易机制相关的概念和协议；然后通过实现方式对交易机制进行分类，分别详细讨论了基于交易委托账本、自动做市商和聚合器方法的交易机制实现，并比较归纳实现方案之间的区别与联系；最后分析并总结了去中心化交易面临的公平性、安全性、匿名性问题，提出了相关的未来研究方向。

关键词: 区块链, 去中心化金融, 去中心化交易所, 交易机制, 自动做市商

Abstract:

Decentralized finance (DeFi) is a new paradigm for providing financial services based on blockchain and smart contract, which support many applications including loans and derivatives.Therefore, the exchange mechanism of DeFi has attracted large amount of attention, as it directly affects the stability of upper-level applications.The exchange mechanism of DeFi was reviewed.Firstly, the concept and the protocols related to exchange mechanism were introduced.Secondly, the transaction mechanism was classified through their approaches of realization, and the methods based on order book, automated market maker and aggregator were discussed respectively.The differences and connections among the implementation of those methods were introduced.Finally, the fairness, security and anonymity problems faced by the decentralized exchange were analyzed and summarized, and potential future research directions were proposed.

Key words: blockchain, decentralized finance, decentralized exchange, exchange mechanism, automated market maker

中图分类号:

TP399

邓钇敏, 司世景, 王健宗, 李泽远, 肖京. 去中心化金融的交易机制综述[J]. 大数据, 2022, 8(4): 67-84.

Yimin DENG, Shijing SI, Jianzong WANG, Zeyuan LI, Jing XIAO. Exchange mechanism for decentralized finance: a survey[J]. Big Data Research, 2022, 8(4): 67-84.

图/表 11

图1

图2

图3

图4

表1

表2

图5

表3

恒定函数"

对比项	UNISWAP	mStable	Balancer
恒定函数状态值C	$t_{1} \cdot t_{2}$	$t_{1} + t_{2}$	$\prod_{i} t_{i}^{w_{i}}$
预设价格E_i,j	$\frac{t_{1}}{t_{2}}$	$C - t_{2}$	$\frac{t_{1} \cdot w_{2}}{t_{2} \cdot w_{1}}$
交易后通证数量 ${t^{'}}_{2}$	$\frac{C}{t_{1} + x_{1}}$	$C - (t_{1} + x_{1})$	$t_{2} {(\frac{t_{1}}{t_{1} + x_{1}})}^{\frac{w_{1}}{w_{2}}}$
交换数量x₂	$- \frac{t_{2} \cdot x_{1}}{t_{1} + x_{1}}$	$- x_{1}$	$t_{2} [{(\frac{t_{1}}{t_{1} + x_{1}})}^{\frac{w_{1}}{w_{2}}} - 1]$
滑点 $S (x_{i}, {t_{i}}_{i = 1, \dots, n}, C)$	$\frac{x_{1}}{t_{1}}$	0	$\frac{\frac{x_{1} \cdot w_{1}}{t_{1} \cdot w_{2}}}{1 - {(\frac{t_{1}}{t_{1} + x_{1}})}^{\frac{w_{1}}{w_{2}}}} - 1$

表3

图6

表4

表5

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交易所	订单匹配机制	账本收集方式	底层区块链
Coinbase^[27]	FIFO	中心化链下	Ethereum
Binance^[28]	FIFO	中心化链下	BSC
dYdX^[33]	FIFO	去中心化链下	Ethereum
Serum^[34]	collateral-FIFO	去中心化链上	Solana^[35]
0x Relayer^[36]	open order book	去中心化链下	Ethereum
Waves Exchange^[38]	FIFO	去中心化链上	Waves Blockchain
Injective^[40]	FBA	去中心化链下	Ethereum

符号	定义
C	恒定状态值
t_i	通证i的数量
x_i	池内通证C的数量变动情况，x_i＜0表示从池内提取通证i，x_i＞0表示向池内添加通证i
C(t)	恒定函数
E_i,j	以通证j表示的通证i的价格
S	滑点

协议名称恒定函数	池内资产交易形式	底层区块链
UNISWAP^[51]恒定积	两类	Ethereum
mStable^[52]恒定和	两类	Ethereum
Balancer^[53]恒定积	多类	Ethereum
UNISWAP v3^[55] 恒定积	两类	Ethereum
StableSwap^[56]改良恒定和与恒定积	多类	Solana^[27]
SushiSwap^[57]同UNISWAP	同UNISWAP	同UNISWAP
Raydium^[59]特殊	两类	Solana

交易机制	交易委托账本	自动做市商	聚合器
价格发现机制	账本收集公开	智能合约	智能合约
交易撮合方式	账本收集公开	智能合约	智能合约
清算系统	区块链	区块链	区块链
治理方式	去中心化自治组织	去中心化自治组织+智能合约	去中心化自治组织+智能合约
流动性依赖	交易量	流动性提供者	流动性提供者
交易对象	最优报价者	同种流动性池	多种流动性池
交易实现	订单匹配	同个恒定函数	多个恒定函数

去中心化金融的交易机制综述

Exchange mechanism for decentralized finance: a survey

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