Routing Frictions and Executable Liquidity in Fragmented Markets

RESUMO

Public blockchains can make many trading venues simultaneously visible and mechanically reachable, yet an order still has to pay to activate each additional venue: technological connectivity need not translate into economically integrated execution. Automated-market-maker (AMM) pools bridge this gap directly and measurably, because exact pre-trade venue states, transaction-level routing costs, and realized venue use can be reconstructed jointly from public blockchain records. Using 13,768 sampled family-transactions from 29 Ethereum Base token-pair families with 71 sibling pools, we document a sharp compression of gross to net execution opportunity: the equal-chain lower bound on gross multi-venue gains is 34.85%, while the corresponding upper bound after measured access costs is 6.89%, as access costs eliminate 80.45% of point-identified states with positive gains. Realized routing shows a distinct second contrast: actual multi-pool activation occurs in only 1.203% of opportunity population, among 170 eligible routes, yet observed allocation captures 94.8% of aggregate feasible gain. Holding recipient orders fixed, replacing Ethereum routing-cost regime with Base's lower-cost regime materially expands executable integration under both state and populations. For digital-market design, these results imply that blockchain scaling, cross-venue connectivity, and displayed liquidity do not by themselves establish economically integrated execution: order-specific property depends on transaction-level access costs.