FastPaced Trading of MultiAttribute Goods Eugene Fink Josh

Fast-Paced Trading of Multi-Attribute Goods Eugene Fink Josh Johnson John Hershberger

Motivation • Build an automated exchange for trading goods and services • Combine the speed of the stock exchange with the flexibility of e. Bay +

Previous work • Combinatorial auctions - Complex goods • Standardized - Asymmetryexchanges between buyers and sellers - Illiquid • Standardized exchanges - Simple goods - Symmetry between buyers and sellers - Liquid

Research goals Build an automated exchange for non-standardized goods. • Allow complex constraints in the specification of desirable trades • Support fast-paced trading for markets with millions of orders

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

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.

Orders An order is a subset of the market along with a price function. Example: Any Mustang or Corvette; Mustang for $28, 000 or Corvette for $32, 000 , –$1 for every ten miles.

Orders Price Buy order Sell order

Matching A buy order matches a sell order if: There is item buy-items sell-items, such that buy-price(item) sell-price(item). Sell order Price Buy order

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.

Attributes A trader specifies acceptable items by attribute values. An item specification may include lists of values and numeric ranges. Example: Sell order Model: Mustang Year: 2003 Mileage: 0 Buy order Model: Mustang Year: 2001. . 2003 Mileage: 0. . 10 K

Attributes Sell order Model: Mustang Year: 2003 Price Year 02 01 00 03 Camry Mustang Corvette Buy order Model: Mustang Year: 2001. . 2003 Model

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

Main structures • Tree of fully specified orders • Unordered list of the other orders

Indexing tree Model Mustang Year 1996 Mileage 50 K 1996 Mustang, 50 K miles, $7, 000 1997 Mileage Corvette Year 1986 Mileage 1988 Mileage 20 K 1988 Corvette, 20 K miles, $4, 000

Indexing tree Model Mustang Year Corvette Camry Year 1996 1999 2000 1988 Mileage 50 K 180 K 20 K 1996 Mustang, 50 K miles, $7, 000 1999 Camry, 10 K miles, $18, 000 2000 Camry, 180 K miles, $5, 000 1988 Corvette, 20 K miles, $4, 000

Depth-first search Buy Order: Any car made after 1990 Model Mustang Year Camry Corvette Year 1996 1999 2000 1988 Mileage 50 K 180 K 20 K 1996 Mustang, 50 K miles, $7, 000 1999 Camry, 10 K miles, $18, 000 2000 Camry, 180 K miles, $5, 000 Best price 1988 Corvette, 20 K miles, $4, 000

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

Performance Experiments using a Pentium computer : • 2 GHz CPU • 1 Gbyte memory • 166 MHz bus

Cars and bonds orders per second • Car market with eight attributes: 1, 000 to 5, 000 orders per second • Bond market with two attributes: 4, 000 to 20, 000 orders per second 105 bonds 104 103 102 101 cars 103 104 102 number of orders 105

Artificial markets orders per second Synthetic market data: • 1 to 100 attributes • 300, 000 orders 105 104 103 102 1 3 30 10 number of attributes 100

Summary • General model for trading of multi-attribute goods • Fast identification of matches between buy and sell orders