Empirical Analysis of Internalization on Uniswap

A dataset analyzing the effects of order internalization on the Uniswap protocol, focusing on effective spreads, market depth, realized volatility, and transaction costs. The analysis examines how professional market makers' internalization practices impact market quality and transaction costs across different trade sizes.

The dataset is curated by Koshi Ota, and is part of the TLDR 2025 fellowship program.

About the dataset

For the entire-range dataset and more details of our work, stay in tune for this repo and the TLDR Conference 2025.

date_range: Dataset spans transaction activity on Uniswap

structure: [153 rows, 19 columns]

source: Dune Analytics

blockchain: Ethereum

variables:

• trade_day [String]: Date of the trading day
• UniswapV3: WETH/USDC (5bp ES, $1K–1.5K) [Float]: Effective spread for $1K-1.5K trades on UniswapV3 5bp pool
• UniswapV3: WETH/USDC (5bp ES, $5K–7.5K) [Float]: Effective spread for $5K-7.5K trades on UniswapV3 5bp pool
• UniswapV3: WETH/USDC (5bp ES, $10K–15K) [Float]: Effective spread for $10K-15K trades on UniswapV3 5bp pool
• UniswapV3: WETH/USDC (5bp ES, $50K–75K) [Float]: Effective spread for $50K-75K trades on UniswapV3 5bp pool
• Uniswap: WETH/USDC (ES, $1K–1.5K) [Float]: Effective spread for $1K-1.5K trades across Uniswap Protocol
• Uniswap: WETH/USDC (ES, $5K–7.5K) [Float]: Effective spread for $5K-7.5K trades across Uniswap Protocol
• Uniswap: WETH/USDC (ES, $10K–15K) [Float]: Effective spread for $10K-15K trades across Uniswap Protocol
• Uniswap: WETH/USDC (ES, $50K–75K) [Float]: Effective spread for $50K-75K trades across Uniswap Protocol
• internalization_rate [Float]: Rate of trades internalized by professional market makers
• Trade Size Specific PMM Ratio ($1K–$1.5K) [Float]: Professional Market Maker ratio for $1K-1.5K trades
• Trade Size Specific PMM Ratio ($5K–$7.5K) [Float]: Professional Market Maker ratio for $5K-7.5K trades
• Trade Size Specific PMM Ratio ($10K–$15K) [Float]: Professional Market Maker ratio for $10K-15K trades
• Trade Size Specific PMM Ratio ($50K–$75K) [Float]: Professional Market Maker ratio for $50K-75K trades
• daily_log_return [Float]: Daily logarithmic return for WETH/USDC
• daily_realized_volatility [Float]: Realized volatility measure for the day
• market_depth [Float]: Measure of liquidity depth in Uniswap markets
• log_average_gas_cost_usd [Float]: Logarithm of average gas cost in USD

Implementation Guideline

The data pipeline for the empirics from this paper is implemented through Dune Analytics queries. The table below maps dataset columns to their corresponding Dune queries. Dune queries can be accessed from the links in the table below, and the raw SQL can be found in this repository.:

• UniswapV3: WETH/USDC (5bp ES, $1K–1.5K) [Query 4511288]: Column swaes_1,000-1,500 USDC - https://dune.com/queries/4511288
• UniswapV3: WETH/USDC (5bp ES, $5K–7.5K) [Query 4511288]: Column swaes_5,000-7,500 USDC - https://dune.com/queries/4511288
• UniswapV3: WETH/USDC (5bp ES, $10K–15K) [Query 4511288]: Column swaes_10,000-15,000 USDC - https://dune.com/queries/4511288
• UniswapV3: WETH/USDC (5bp ES, $50K–75K) [Query 4511288]: Column swaes_50,000-75,000 USDC - https://dune.com/queries/4511288
• Uniswap: WETH/USDC (ES, $1K–1.5K) [Query 4522033]: Column swaes_1,000-1,500 USDC - https://dune.com/queries/4522033
• Uniswap: WETH/USDC (ES, $5K–7.5K) [Query 4522033]: Column swaes_5,000-7,500 USDC - https://dune.com/queries/4522033
• Uniswap: WETH/USDC (ES, $10K–15K) [Query 4522033]: Column swaes_10,000-15,000 USDC - https://dune.com/queries/4522033
• Uniswap: WETH/USDC (ES, $50K–75K) [Query 4522033]: Column swaes_50,000-75,000 USDC - https://dune.com/queries/4522033
• internalization_rate [Query 4514143]: Column internalization_rate - https://dune.com/queries/4514143
• Trade Size Specific PMM Ratio ($1K–$1.5K) [Query 4575910]: Column ratio_range_1000_1500 - https://dune.com/queries/4575910
• Trade Size Specific PMM Ratio ($5K–$7.5K) [Query 4575910]: Column ratio_range_5000_7500 - https://dune.com/queries/4575910
• Trade Size Specific PMM Ratio ($10K–$15K) [Query 4575910]: Column ratio_range_10000_15000 - https://dune.com/queries/4575910
• Trade Size Specific PMM Ratio ($50K–$75K) [Query 4575910]: Column ratio_range_50000_75000 - https://dune.com/queries/4575910
• daily_log_return [Query 4420754]: Column daily_log_return - https://dune.com/queries/4420754
• daily_realized_volatility [Query 4420754]: Column daily_realized_volatility - https://dune.com/queries/4420754
• market_depth [Query 4884606]: Column log_market_depth_usd - https://dune.com/queries/4884606
• log_average_gas_cost_usd [Query 4510136]: Column log_average_gas_cost_usd - https://dune.com/queries/4510136