Sorry SBF, but I'm going to have to disagree with you here on a core point
You NEVER want your SC to rely on a single exchange as its price oracle, it doesn't offer enough market coverage and is vulnerable to manipulation
Even a simple median across exchanges isn't enough
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Er I agree with you on that -- it's much better to do something like what FTX does (take an index and bound all data points at 30bps away from the median).
The "it all comes down to an API feed" really meant "some function of some set of API feeds"
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Taking a simple median across exchanges doesn't really provide an adequate market coverage either though because it doesn't take into account volume consolidation or new exchanges popping up
It's more nuanced than just you need to trust the APIs, it's about data quality
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It just scares me when you say things like this (linked tweet) because if projects are really going to be using serum as their only source of price data...
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To be clear:
1) I think they should use a sanitized version of it
2) Serum is on-chain. That makes it *way* different from the cases you cite; a lot of the problems you might worry about go away (at least for other projects on Solana).
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to be clear there are still a lot of nuances here but many of your points don't really apply to on-chain oracles that you can trade against composably in real time with small fees.
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Having the data being generated on-chain doesn't necessarily mean it's trustworthy
There have been numerous incidents involving DEX-based price oracles that led to millions in user funds getting lost
Promoting their usage is just downright dangerous in my opinion
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1) I think this is very different on Ethereum vs Solana. When it takes minutes to trade on a DEX and lots of tx's fail, you can't reliably hedge; that's way easier on Serum.
2) A lot of this is solved using EWMAs. E.g. mid(last, bid, offer), bounded by 5% away from 5m EWMA.
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(2) means that you'd need to sustain a bad price for minutes in order to have a significant attack, and anyone could trade against your (bad) orders on the DEX in seconds; that makes it *way* harder to attack.
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again, this isn't perfect, and you prob want to add a bunch of other sanity checks, but I do think that this ends up being way more safe than most current DEX-based oracles
I think it comes down to the simple fact that using a single exchange as your price oracle (yes even a on-chain exchange) will always be an attack vector no matter what data calculation method you use
You need market wide coverage
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Replying to
I mostly agree with you here! But there are tradeoffs.
And there are complications. E.g. what to do if there's legit ambiguity (e.g. ETC when it's xfer blocked on all exchanges b/c of 51% attacks).
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