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 eBay +

Previous work Combinatorial auctions Standardized exchanges - Complex goods - Asymmetry between buyers and sellers - Illiquid - 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.

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

Orders Price Buy order Sell order Price

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

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

Attributes Year Model Price CamryMustang Corvette Buy order Model: Mustang Year: Sell order Model: Mustang Year: 2003

Outline Multi-attribute orders Search for matches Experimental results

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

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

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

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

Outline Multi-attribute orders Search for matches Experimental results

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

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

Artificial markets number of attributes orders per second Synthetic market data: 1 to 100 attributes 300,000 orders

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