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Quantitative Finance · Glossário

O que é Sandwich attack, slippage tolerance?

Também chamado de: sandwich attack · slippage tolerance

Definition 22.3 Markets III: Commodities, Energy and Crypto · Capítulo 22 — Maximal Extractable Value

A sandwich attack is a front-run and a back-run around a victim’s swap in the same pool: the attacker buys what the victim is buying, the victim buys at the higher price, and the attacker sells after it. The victim’s slippage tolerance is the worst price, expressed as a percentage below the quote at submission, at which it allows its swap to execute; below it, the swap reverts.

A sandwich attack. The attacker’s two trades bracket the victim’s in the same block; the victim’s slippage tolerance is the only limit on the size of the first. Schematic.
Figure 22.1. A sandwich attack. The attacker’s two trades bracket the victim’s in the same block; the victim’s slippage tolerance is the only limit on the size of the first. Schematic.
The sandwich of a USD 1 million purchase of ether in a pool of USD 15 million and 5 000 ether (0.30% fee), at the largest front-run the victim’s tolerance allows (). Both grow linearly with the tolerance. Integer pool arithmetic; illustrative pool. Data: the chapter’s tutorial.
Figure 22.2. The sandwich of a USD 1 million purchase of ether in a pool of USD 15 million and 5 000 ether (0.30% fee), at the largest front-run the victim’s tolerance allows (Proposition 22.4). Both grow linearly with the tolerance. Integer pool arithmetic; illustrative pool. Data: the chapter’s tutorial.
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