We study learning in zero-sum games with delayed feedback. We introduce Multi-Anchor Optimistic Online Mirror Descent (MAO-OMD), a single algorithm which obtains optimal fast rates in self-play on smooth games, while simultaneously maintaining minimax optimal guarantees against arbitrary opponents. In particular, in smooth zero-sum games with arbitrary and unknown feedback delays, MAO-OMD obtains $O(σ_{\max}+1)$ social and individual regrets when used by both players, where $σ_{\max}$ denotes the maximum number of outstanding gradients, while also guaranteeing minimax optimal $O(\sqrt{T+d_{\mathrm{tot}}})$ individual regret against arbitrary opponents, where $d_{\mathrm{tot}}$ is the total delay. Moreover, we show that these optimal rates cannot be obtained simultaneously using the standard black-box reduction to the undelayed setting. We also extend our results to multi-player games, and to games with player-dependent delay sequences.

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