AUM0 v5: the internal cross, on chain

Wall Street's quietest cost saver is the internal cross. When one of a
manager's funds is selling what a sibling fund is buying, the desk
matches them in-house and neither side pays the market. The SEC's rule
for it, 17a-7, makes one demand: the cross must happen at the
independent current market price.

Then researchers read four million of these trades. The prices were set
strategically to move performance between sibling funds, and a large
number were backdated. The rule asked for an independent price. Humans
were the ones typing it in.

Here nobody types it in.

cross()

When one wallet must sell what another must buy, anyone may cross them:
shares walk from the seller to the buyer, cash walks straight back, and
the only price the code can produce is the chain's official feed at that
block.

Both wallets must end strictly closer to their own targets, or the
whole cross reverts. A cross that favors one client at the other's
expense cannot be constructed.

Backdating is not a concept that exists here.

Neither side touches a pool, so nothing is lost to slippage, and the
worker who found the match is paid in full by both sides.

What that is worth, on the live chain

Ten thousand dollars of SNDK, both ways, at the same block, against the
same feed:

through the pool      5.3272 shares   the pool kept $785.91   worker paid  $0.00
crossed at the feed   5.7815 shares   to the wei              worker paid $199.98

Unchanged

Your stocks never leave your wallet. The contract holds nothing
before a trade and nothing after one.

Every fill is judged against the official feed, and a worker's pay
is docked dollar for dollar by whatever the fill cost the wallet.

There is no destination parameter anywhere in the contract.

Zero management fee. Zero performance fee.

Live

Desk edition   0xf7DBb9142A194F5f409c2c587cFC559D77C40358
Chain          Hood Chain (id 4663)
Assets         USDG plus twenty six, stocks through treasuries
Web            https://aumzero.com

Twelve unit tests on the desk, two more against the live chain and its
real feeds, on the worst pool the venue has.

The paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2023976
The rule: https://www.sec.gov/newsroom/speeches-statements/investment-management-statement-investment-company-cross-trading-031121