Quiver Sweeper (Aggregator)

Although regular arbitrage bots can indeed duplicate liquidity from external exchanges, Quiver also has an explicit built-in aggregator, designed specifically for arbitrage bots to serve large orders.

This aggregation fits in nicely with the auction cycle, requiring a momentary interruption of the market, but in return allowing arbitrage with zero execution risk.

Here is how it works:

  • Sweeper bots are special liquidity providers. They constantly provide non-binding quote estimates.

  • Suppose a large buy order is sent on Quiver. During the ascending-price auction phase of the engine cycle, the price reaches the top of what is called the execution band (top price). This indicates that the slippage of that order was going to be significant if only internal liquidity was used.

  • The Engine cycle is halted momentarily, and one sweeper bot is selected and informed of the sweeper demand (buy demand minus sell demand at this top price). This bot then has an opportunity window (called the sweeper window) to return with a trade confirmation, selling up to the extra demand at up to the top price.

Because the trade only happens once the sweeper bot returns with a trade confirmation, the sweeper bot has the opportunity to send buy orders up to the top price (including fees) on other exchanges, and only return with a confirmation if these orders fill. Therefore, there is zero execution risk to providing liquidity as a sweeper on Quiver.

In the alpha version, there is a single sweeper bot that is run by the exchange itself. However, a reputation system can be used to provide fair competition between sweepers.

The reputation system should select a single sweeper at a given moment, based on a conjunction of (1) the non-binding quotes provided at the time and (2) the average execution slippage (compared to quotes). This guarantees that the best sweeper is selected at any time, and that sweepers are incentivized to offer the best possible price (rather than always returning a trade confirmation at the top price).

It is crucial that a single sweeper is selected at a time, to avoid harmful latency competition between sweepers when executing at other exchanges, and to avoid giving away information to malicious sweepers intent on frontrunning the order at external exchanges.

Because sweepers can execute simultaneously on all other external exchanges, they are capable of providing deep liquidity for Quiver, up to the sum of liquidity in all other exchanges (including spots, futures, and maybe even other correlated assets).

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