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Exchanges for Complex Commodities: Search for Optimal Matches

Exchanges for Complex Commodities: Search for Optimal Matches. Jianli Gong. Committee: Eugene Fink Dmitry B. Goldgof Sudeep Sarkar. Motivation. Build an automated exchange for trading goods and services. Motivation. Build an automated exchange for trading

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Exchanges for Complex Commodities: Search for Optimal Matches

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  1. Exchanges for Complex Commodities:Search for Optimal Matches Jianli Gong Committee: Eugene Fink Dmitry B. Goldgof Sudeep Sarkar

  2. Motivation • Build an automated • exchange for trading • goods and services

  3. Motivation • Build an automated • exchange for trading • goods and services • Combine the speed • and liquidity of the • stock exchange

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

  5. Outline • Previous work

  6. Outline • Previous work • Complex exchange • Data structures

  7. Outline • Previous work • Complex exchange • Data structures Josh, Jenny

  8. Outline • Previous work • Complex exchange • Data structures • Optimal matches • Performance Josh, Jenny

  9. Outline • Previous work • Complex exchange • Data structures • Optimal matches • Performance Josh, Jenny Jianli

  10. Outline • Previous work • Complex exchange • Data structures • Optimal matches • Performance

  11. Previous Work • Combinatorial auctions • Standardized exchanges

  12. Combinatorial Auctions • Complex commodities • Asymmetry between • buyers and sellers • Illiquid • Examples: • OptiBid, SBIDS, eMediator

  13. Standardized Exchanges • Simple commodities • Symmetry between • buyers and sellers • Liquid • Examples: • Stocks, Futures

  14. Outline • Previous work • Complex exchange • Data structures • Optimal matches • Performance

  15. Complex Exchange • Market • Orders • Fills

  16. Market All items that can be traded form amarket. Example: All conceivable vehicles compose a car market.

  17. Orders An order is asubsetof the market along with aprice function.

  18. Orders An order is asubsetof the market along with aprice function. Example: Any Mustang or Corvette.

  19. Orders An order is asubsetof the market along with aprice function. Example: Any Mustang or Corvette; Mustang for $38,000 or Corvette for $40,000.

  20. Orders An order is asubsetof the market along with aprice function. Example: Any Mustang or Corvette; Mustang for $38,000 or Corvette for $40,000, –$1 for every ten miles.

  21. Price Sell order Buy and Sell Orders Price Buy order

  22. Sell order Buy and Sell Orders Price Buy order

  23. Fill: Red Mustang $34,000 Fills Buy order: Any Color Sports Car $36,000 Sell order: Silver Limo $50,000 or Red Mustang $32,000

  24. Implemented Exchange Specific sell orders. Good: Sell a red Mustang, made in 1999. Bad: Sell any color Mustang, made before 1999.

  25. Implemented Exchange Price Price Buy order Sell order

  26. Sell order Implemented Exchange Price Buy order

  27. Outline • Previous work • Complex exchange • Data structures • Optimal matches • Performance

  28. Data Structures • Tree of sell orders • List of buy orders

  29. Tree of Sell Orders Model Mustang Corvette

  30. Tree of Sell Orders Model Mustang Corvette Year Year 1996 1997 1985 1986 1988

  31. Tree of Sell Orders Model Mustang Corvette Year Year 1996 1997 1985 1986 1988 Mileage Mileage Mileage Mileage Mileage 50K 1996 Mustang, 50K miles, $7,000

  32. Camry Year 1999 2000 1988 Mileage Mileage Mileage 10K 180K 20K 1999 Camry, 10K miles, $18,000 2000 Camry, 180K miles, $5,000 1988 Corvette, 20K miles, $4,000 Tree of Sell Orders Model Mustang Corvette Year Year 1996 1997 1986 Mileage Mileage Mileage 50K 1996 Mustang, 50K miles, $5,000

  33. Trading Cycle Process all new orders Re-match all old orders Stop trading? No Yes

  34. Processing Process Re-match Stop? For every new order: If it is a buy order, search for matches; if not filled, add it to the list. If it is a sell order, add it to the tree.

  35. Re-Matching Process Re-match Stop? For every buy order: search for matches among the sell orders.

  36. Outline • Previous work • Complex exchange • Data structures • Optimal matches • Performance

  37. Optimal Matches The system searches for the best-price matches in the indexing structure.

  38. Optimal Matches • The system searches for the best-price matches in the indexing structure. • Depth-first search (Josh)

  39. Optimal Matches • The system searches for the best-price matches in the indexing structure. • Depth-first search (Josh) • Best-first search (Jianli)

  40. Camry Year 1999 2000 1988 Mileage Mileage Mileage 10K 180K 20K 1999 Camry, 10K miles, $18,000 2000 Camry, 180K miles, $5,000 1988 Corvette, 20K miles, $4,000 Depth-First Search Model Mustang Corvette Year Year 1996 Mileage 50K 1996 Mustang, 50K miles, $7,000

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

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

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

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

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

  46. 2000 1988 Mileage Mileage 180K 20K 2000 Camry, 180K miles, $5,000 1988 Corvette, 20K miles, $4,000 Depth-First Search Buy Order: Any car made after 1990 Model Mustang Camry Corvette Year Year Year 1996 1999 Mileage Mileage 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

  47. 2000 1988 Mileage Mileage 180K 20K 2000 Camry, 180K miles, $5,000 1988 Corvette, 20K miles, $4,000 Depth-First Search Buy Order: Any car made after 1990 Model Mustang Camry Corvette Year Year Year 1996 1999 Mileage Mileage 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

  48. 2000 1988 Mileage Mileage 180K 20K 2000 Camry, 180K miles, $5,000 1988 Corvette, 20K miles, $4,000 Depth-First Search Buy Order: Any car made after 1990 Model Mustang Camry Corvette Year Year Year 1996 1999 Mileage Mileage 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

  49. 1988 Mileage 20K 1988 Corvette, 20K miles, $4,000 Depth-First Search Buy Order: Any car made after 1990 Model Mustang Camry Corvette Year Year Year 1996 1999 2000 Mileage Mileage Mileage 50K 10K 180K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000 2000 Camry, 180K miles, $5,000

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

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