Ormer: A Manipulation-resistant and Gas-efficient Blockchain Pricing Oracle for DeFi
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arXiv
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| Autori principali: | , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866908417660026880 |
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| author | Bai, Dongbin Cao, Jiannong Cao, Yinfeng Wen, Long Stojmenovic, Milos |
| author_facet | Bai, Dongbin Cao, Jiannong Cao, Yinfeng Wen, Long Stojmenovic, Milos |
| contents | Price feeds of cryptocurrencies are essential for Decentralized Finance (DeFi) applications to realize fundamental trading and exchanging functionalities, which are retrieved from external price data sources such as exchanges and input to on-chain smart contracts in real-time. Currently, arithmetic mean based time-weighted average price (TWAP) oracles are widely used to process price feeds by averaging asset price with short time frame to achieve reliable and gas-efficient pricing. However, recent research indicates that TWAP is vulnerable to price manipulation attacks, resulting in abnormal price fluctuations and severe financial loss. Even worse, TWAP oracles usually set a relatively long time frame setting to prevent such attack. However, it would further introduce long delays and high price deviation errors from the market asset price.
To address this issue, we propose a novel on-chain gas-efficient pricing algorithm (Ormer) that heuristically estimates the median of asset price within an observation window based on a piecewise-parabolic formula, while the time delay is suppressed by fusing estimations with different window sizes. Our evaluation based on multiple pairs of token swapping price feed across different chains show that Ormer reduces the mean absolute price error by 15.3% and the time delay by 49.3% compared to TWAP. For gas efficiency, regardless of the number of price observations, an encoding mechanism with constant storage requirement is employed without saving all the historical data for median estimation. Surprisingly, the lowest gas consumption of Ormer is even 15.2% less than TWAP, and the oracle querying fee would be saved up to ~20K USD per day for DeFi participants. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_07893 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Ormer: A Manipulation-resistant and Gas-efficient Blockchain Pricing Oracle for DeFi Bai, Dongbin Cao, Jiannong Cao, Yinfeng Wen, Long Stojmenovic, Milos Cryptography and Security Price feeds of cryptocurrencies are essential for Decentralized Finance (DeFi) applications to realize fundamental trading and exchanging functionalities, which are retrieved from external price data sources such as exchanges and input to on-chain smart contracts in real-time. Currently, arithmetic mean based time-weighted average price (TWAP) oracles are widely used to process price feeds by averaging asset price with short time frame to achieve reliable and gas-efficient pricing. However, recent research indicates that TWAP is vulnerable to price manipulation attacks, resulting in abnormal price fluctuations and severe financial loss. Even worse, TWAP oracles usually set a relatively long time frame setting to prevent such attack. However, it would further introduce long delays and high price deviation errors from the market asset price. To address this issue, we propose a novel on-chain gas-efficient pricing algorithm (Ormer) that heuristically estimates the median of asset price within an observation window based on a piecewise-parabolic formula, while the time delay is suppressed by fusing estimations with different window sizes. Our evaluation based on multiple pairs of token swapping price feed across different chains show that Ormer reduces the mean absolute price error by 15.3% and the time delay by 49.3% compared to TWAP. For gas efficiency, regardless of the number of price observations, an encoding mechanism with constant storage requirement is employed without saving all the historical data for median estimation. Surprisingly, the lowest gas consumption of Ormer is even 15.2% less than TWAP, and the oracle querying fee would be saved up to ~20K USD per day for DeFi participants. |
| title | Ormer: A Manipulation-resistant and Gas-efficient Blockchain Pricing Oracle for DeFi |
| topic | Cryptography and Security |
| url | https://arxiv.org/abs/2410.07893 |