Fast-Paced Trading of Multi-Attribute Goods

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Fast-Paced Tradingof Multi-Attribute Goods
Eugene Fink Josh Johnson John Hershberger
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Motivation

• Build an automated
• exchange for trading
• goods and services

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Previous work

• Combinatorial auctions
• Standardized exchanges

- Simple goods - Symmetry between
buyers and sellers - Liquid
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Research goals
Build an automated exchangefor non-standardized
goods.

• Allow complex constraints in the
  specification of desirable trades

• Support fast-paced trading for markets with
  millions of orders

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Outline

• Multi-attribute orders
• Search for matches
• Experimental results

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Market
A market is a set of items that can be bought and
sold.
Example A car market is a set of all possible
vehicles.
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Orders
An order is a subset of the market along with a
price function.

Mustang for 28,000 or Corvette for 32,000
Example Any Mustang or Corvette
, 1 for
every ten miles.
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Orders
Price
Buy order
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Matching
A buy order matches a sell order if There is
item buy-items ? sell-items, such that
buy-price(item) sell-price(item).
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Attributes
A specific market is defined by a list of
attributes.
Example A used-car market is a set of all
possible vehicles, defined by model, year, and
mileage.
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Attributes
A trader specifies acceptableitems by attribute
values.
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Attributes
Sell order Model Mustang Year 2003
Price
Year
Buy order Model Mustang Year 2001..2003
03
02
01
00
Model
Camry
Mustang
Corvette
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Outline

• Multi-attribute orders
• Search for matches
• Experimental results

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Main structures

• Tree of fully specified orders

• Unordered list of the other orders

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Indexing tree
Model
Corvette
Mustang
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Indexing tree
Model
Corvette
Mustang
Year
Year
1996
1988
Mileage
Mileage
50K
1996 Mustang, 50K miles, 7,000
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Depth-first search
Buy OrderAny car madeafter 1990
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Outline

• Multi-attribute orders
• Search for matches
• Experimental results

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Performance
Experiments using aPentium computer

• 2 GHz CPU
• 1 Gbyte memory
• 166 MHz bus

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Cars and bonds

• Car market with eight attributes

4,000 to 20,000 orders per second

• Bond market with two attributes

bonds
cars
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Artificial markets

• Synthetic market data
• 1 to 100 attributes
• 300,000 orders

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Summary

• General model for trading of multi-attribute
  goods

• Fast identification of matches between buy
  and sell orders