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Kaihi

Named, not delivered. A liquidity pool loses value to better-informed arbitrage, a loss measured apart from the fees it earns. The piece would read that loss and the toxicity of the order flow, and move a liquidity range only when the gate commits.

In one picture

Kaihi: entry, mechanism and output.KaihiactupcomingENTRYA pool and its flowthe pool's trades and reserves, fromthe chainthe reference price the arbitrage actsonMECHANISMLoss versus rebalancing, flowtoxicityloss versus rebalancing, fees trackedapartinformed flow and the spread it forcesa volume-synchronized toxicity measureOUTPUTA range move, gatedexit, re-enter or hold a rangeon commit only, never a trading signalDrawn in the style of its register status: upcoming.
Kaihi executes on commit: what it reads, how it works, what it hands on. The boxes are drawn in the style of the register status; the words come from this page’s data and the contract titles from the frozen schemas.

What exists today

What it does not claim

Sources

  • Jason Milionis, Ciamac C. Moallemi, Tim Roughgarden and Anthony Lee Zhang (2022) Automated Market Making and Loss-Versus-Rebalancing. working paper. read in part Used for what a liquidity pool loses to better-informed arbitrage, with fees tracked apart.
  • Lawrence R. Glosten and Paul R. Milgrom (1985) Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders. Journal of Financial Economics, vol. 14, no. 1, pp. 71-100. read in part Used for informed flow and the spread it forces.
  • David Easley, Marcos M. Lopez de Prado and Maureen O'Hara (2012) Flow Toxicity and Liquidity in a High-Frequency World. Review of Financial Studies, vol. 25, no. 5, pp. 1457-1493. read in full Used for a volume-synchronized measure of order-flow toxicity.

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