Veriga blokov Terra, arbitraža in hitro posojilo znotraj bloka

KOGOVŠEK, ŽAN (author), Lavbič, Dejan (mentor)

Finančni sektor se je v zadnjem desetletju zaradi tehnologije veriženja blokov zelo spremenil. Verige blokov, med njimi tudi Terra, želijo ustvariti digitalni denar, ki bi postal alternativno plačilno sredstvo za vsakdanje transakcije milijonov uporabnikov po svetu. Posledica vedno večjega števila kriptovalut in naraščujočega števila uporabnikov je povečanje števila kriptomenjalnic, ki omogočajo promet s kriptovalutami. Cene posameznih kovancev in žetonov se med njimi razlikujejo, zato so uporabniki v tem našli priložnost za zaslužek v obliki t.i. arbitraže. Izvajanje arbitraže se začne z nakupom določene kriptovalute na eni menjalnici in prodajo iste kriptovalute na drugi menjalnici, pri čemer zaradi razlike v ceni ustvarimo dobiček. V okviru diplomske naloge smo ustvarili bota za arbitražo na verigi blokov Terra, kjer s pomočjo pametnih pogodb izvajamo decentralizirano arbitražo s pristopom hitrega posojila znotraj bloka. Testiranje implementacije je potekalo na javnem testnem omrežju (Testnet) in glavnem omrežju (Mainnet). V obdobju testiranja smo na Testnetu izvedli osem arbitraž na istem menjalnem paru v skupni vrednosti več kot 1.000 €. Kljub večjemu številu menjalnih parov na Mainnetu smo našli le eno priložnost za arbitražo, vendar je bila ta zaradi velikih stroškov nedonosna. Uspešnost arbitraže je predvsem odvisna od dnevnega volumna menjalnic, saj večji promet pomeni večje nihanje cen kriptovalut. To potrdi tudi analiza menjalnice na verigi blokov Ethereum, kjer je priložnosti za arbitražo občutno več kot na verigi blokov Terra. Med izvajanjem arbitraž na Testnetu smo prišli tudi do ugotovitve, da je za uspešno arbitražo z manipulacijo cene nujna nizka likvidnost. Za izboljšanje implementacije predlagamo vključitev stroškov izvajanja arbitraže v proces odločanja o njenem nadaljnjem izvrševanju.

• Language: Slovenian
• Keywords: kriptovalute, arbitraža, veriga blokov Terra, tehnologija veriženja blokov, hitro posojilo znotraj bloka, decentralizirana menjalnica
• Work type: Bachelor thesis/paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FRI - Faculty of Computer and Information Science
• Year: 2022
• PID: 20.500.12556/RUL-140243
• COBISS.SI-ID: 123068163
• Publication date in RUL: 13.09.2022

Secondary language

• Language: English
• Title: Terra blockchain, arbitrage and Flash loans

Abstract

Over the last decade, the financial sector has changed drastically due to blockchain technology. Blockchain, including Terra, wish to create digital money which would present an alternative payment method for everyday transactions for millions of users across the world. An increasing number of cryptocurrencies and crypto users has led to a rising number of cryptocurrency exchanges which enable trading with cryptocurrencies. Among them, the price of coins and tokens differs which gives the users an opportunity to profit in the form of arbitrage. The process of arbitrage begins with buying one cryptocurrency on the first exchange and then selling it on the second exchange. The difference in buying and selling price is the profit earned by the user. In this diploma thesis, a bot for arbitrage on the Terra blockchain was created. It uses smart contracts to execute decentralized arbitrage assisted with flash loans. Implementation has been tested on the public testing network (Testnet) and the main network (Mainnet). During the testing period, the bot discovered and executed eight arbitrage opportunities on the same cryptocurrency pair which resulted in a total net profit of over 1,000 \euro{}. Despite the larger number of cryptocurrency pairs on the Mainnet only a single arbitrage opportunity was discovered and executed. It ultimately resulted in negative net profit due to high operating fees. Arbitrage success is mainly dependent on the daily transaction volume of cryptocurrency exchanges since higher transaction volumes result in higher price fluctuations. This conclusion is confirmed by the analysis of cryptocurrency exchange on the Ethereum blockchain, where significantly more arbitrage opportunities were present than on the Terra blockchain. While testing on the Testnet we also discovered the possibility of manipulating token price on exchanges with lower liquidity in order to achieve successful arbitrage. The inclusion of arbitrage transaction fees in the process of arbitrage execution is proposed in order to improve the current implementation.

• Keywords: cryptocurrencies, arbitrage, Terra blockchain, blockchain, flash loan, decentralized exchange