Cubensis - A Fully On chain orderbook

The goal of this project is to realize a fully on chain orderbook.

It is based off of Uniswap V3 principles.

Architecture goals

The main insight is to use the tech stack that Uniswap V3 built for tracking liquidity across different price ticks to track limit order book activity.

Each pool is composed of 2 assets A and B. There are different price tickets for the asset pairs, each tick represents a 0.001% increment in price between two points on an asset pair's graph.

Any time a user sets a limit order, they select an amount of liquidity and a tick value to set their limit orders at. The contract first checks if there is enough opposite side liquidity at that tick. If it can find such a tick, then it will execute the trade on that tick, otherwise, it is going to provide liquidity on that tick and create an NFT for the user representing their newly created liquidity position.

The main goal of this project is to provide the basis for a fully on chain orderbook protocol. This project can then be adapted for deployed on privacy preserving EVMs to constitute a true source of dark liquidity on chain.

TODO

• Build price conversion engine - Built using fixed point math
• Build matching engine - We don't need one, MEV is going to match displaced orders for us in O(1)
• Emit events
• Build relevant tests

Future work

• Currently trading amounts that are very small can create rounding down scenarios where it is possible to buy tokens for "free". A production implementation must create larger fixed point types and conversion logic that ensures this never happens (it is possible and simple bu at the same time it's a lot of work to implement properly and efficiently)
• Currently order of execution within the same tick are executed in parallel, according to their share of the tick pool. We need to make sure that is acceptable - traditional orderbooks execute orders at same price range in FIFO
• Currently assets are locked and do not generate yield when they are awaiting execution. A way to generate yield would facilitate liquidity for the protocol
• A private implementation of Cubensis requires adapting to privacy preserving libraries and designs of the target chain