TLDR Tech / Crypto
Can a CEX Microstructure Signal Survive Ethereum Execution Latency and MEV?
Researchers are probing whether predictive signals from CEX perpetual markets can transfer profitably to Ethereum DEXs, with source-venue backtests showing BTC at +0.82 bps P&L per trade (76.4% win rate) and ETH at +0.95 bps (69.5% win rate) before fees. The dir_mr event-driven state machine generates signals in 4 to 50 microseconds locally, but six cross-venue risks threaten transfer viability: signal decay during transport latency, AMM versus order book architecture mismatch, oracle-driven price leadership, fill execution uncertainty, MEV sandwiching and reordering, and timestamp misalignment. The study proposes freezing source models before testing destination outcomes and benchmarking against causal baselines including momentum and order flow imbalance, with source records published to a public S3 archive for independent replication. A verified cross-venue signal would give DEX participants a method to reduce adverse selection from CEX-informed order flow, a structural problem that has eroded LP returns across AMM protocols.
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