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flashbots / mev-research

Project management for MEV Research
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Bundle pricing for large bundles #76

Closed JVillella closed 1 year ago

JVillella commented 2 years ago

Hi folks, we have been working on block-building, and have recently started to add support for sending larger bundles we find along the way to flashbots.

In debugging the auctions we lost, it quickly became clear that the bundle pricing used today is preferring small bundles w/ high miner payouts, instead of the highest overall payout. This is problematic because it leaves significant MEV on the table for miners/validators.

Here's a real life example that happened yesterday afternoon.

However, if you put Tx 2 in front of Tx 1 and backrun them as one big bundle it's 0.95 ETH MEV opportunity (due to AMM slippage). N.B. this is the order it landed on chain anyways (but not as one bundle) - so the DeFi user isn't getting a worse exchange rate.

Now let's look at the bundle pricing, simplified to: mevPerGas = minerPayout / totalGasUsed. And for further simplification, let's say we paid entire 100% as a payout to the miner.

0.95 ETH / (150000 + 116331 + 170353) = 2175 GWEI
0.80 ETH / (150000 + 116331)          = 3004 GWEI

The 0.80 ETH opportunity w/ its significantly higher mevPerGas (but lower total payout) will win the auction (and they did). However, the miner is losing out on 0.15 ETH here.

With bundles ranked according to their mevPerGas, adding more transactions to a bundle quickly increases the denominator on the pricing formula and pushes them down the ranking.

We've been discussing some other approaches over here that could help maximize miner payout, but I wanted to first check with you folks if this was something of interest to improve, or if you have thoughts yourselves on it.

sambacha commented 2 years ago

You are not account for miners also stealing your bundles.

you can try submitting via our gateway, api.securerpc.com/v1

JVillella commented 2 years ago

Hi Sam, do you have a different method for bundle pricing? How does this gateway differ?

As I showed with the example, there's no bundle stealing going on here.

sambacha commented 2 years ago

Hi Sam, do you have a different method for bundle pricing? How does this gateway differ?

As I showed with the example, there's no bundle stealing going on here.

This gateway differs in that it covers all available flashbots compatible rpc gateways with the added heuristics of over a year's worth of bundle submissions both from public data sets and our own.

If you would like to talk shoot over a calendar invite to sam@manifoldfinance.com - I can share stats etc of the increased hit rate and more context that is not published publicly at this time.

as for bundle pricing, we do not expose public our pricing API, however, you can examine the transaction pricing API that it is originally based on at: api.txprice.com/v1

JVillella commented 2 years ago

ok, thanks - I'll shoot you an email separately to understand better the details of your service. I want to be careful to keep the discussion here on bundle pricing for large bundles because I do think this is a problem affecting miner payouts. If you have any input on that, would be great to hear - perhaps influenced by what you've learned building securerpc.com.