Lasagne: A Suite of High-Profit Arbitrage Strategies for Blockchain-Based Decentralized Exchanges

Sandwich arbitrage is a popular strategy for blockchain-based decentralized exchange (DEX) users to facilitate decentralized token exchanges and make profits. However, conventional Sandwich arbitrage only focuses on one big-deal transaction and executes arbitrary actions within an intrablock, leading to a huge loss of profit opportunities. In this article, we present Lasagne, a novel high-profit arbitrage strategy that allows the exploration of profit opportunities from multiple small-deal transactions across interblocks. Specifically, Lasagne involves a suite of novel strategies: fishing, bundle, and grid, each of which is tailored to a liquidity pool with diverse transaction frequencies and skewness. The experimental results demonstrate the superiority of Lasagne over a state-of-the-art sandwich in terms of feasibility and effectiveness.