We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the efficiency of trading on DEXs. Our main tool is slippage -- the difference between the realized execution price of a trade, and its quoted price -- which we breakdown into its benign and adversarial components. We also present an alternative way to quantify and identify slippage due to adversarial reordering of transactions, which we call reordering slippage, that does not require quoted prices or mempool data to calculate. We find that the composition of transaction costs varies tremendously with the trade's characteristics. Specifically, while for small swaps, gas costs dominate costs, for large swaps price-impact and slippage account for the majority of it. Moreover, when trading PEPE, a popular 'memecoin', the probability of adversarial slippage is about 80% higher than when trading a mature asset like USDC. Overall, our results provide preliminary evidence that DEXs offer a compelling trust-less alternative to centralized exchanges for trading digital assets.

翻译：我们首次对去中心化交易所（DEX）的交易成本进行了深入的实证刻画。利用Uniswap Labs界面针对两个流动性池（USDC-ETH（5个基点）和PEPE-ETH（30个基点））的报价，我们评估了DEX的交易效率。主要分析工具是滑点——交易的实际执行价格与报价之间的差额——我们将其分解为良性成分与对抗性成分。我们还提出了一种量化并识别由对抗性交易排序所导致的滑点的替代方法，称之为重排序滑点，该方法的计算无需依赖报价或交易池数据。我们发现，交易成本的构成随交易特征而发生显著变化。具体而言，对于小额互换，Gas费用占主导地位；而对于大额互换，价格冲击和滑点则占据成本的大头。此外，在交易热门"模因币"PEPE时，遭遇对抗性滑点的概率比交易成熟资产（如USDC）高出约80%。总体而言，我们的结果初步表明，DEX为数字资产交易提供了一种比中心化交易所更具吸引力的无需信任替代方案。