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 goods and services
Combine the speed and liquidity of the stock exchange

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

Outline Previous work

Outline Previous work Complex exchange Data structures

Outline Previous work Complex exchange Data structures Josh, Jenny

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

Performance Josh, Jenny Jianli

Performance

Previous Work Combinatorial auctions Standardized exchanges

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

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

Performance

Complex Exchange Market Orders Fills

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

Orders An order is a subset of the market along with a price function.

Orders An order is a subset of the market along with a price function.
Example: Any Mustang or Corvette.

Example: Any Mustang or Corvette; Mustang for $38,000 or Corvette for $40,000.

Example: Any Mustang or Corvette; Mustang for $38,000 or Corvette for $40,000, –$1 for every ten miles.

Buy and Sell Orders Sell order Price Price Buy order

Buy and Sell Orders Sell order Price Buy order

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

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

Implemented Exchange Price Price Buy order Sell order

Implemented Exchange Sell order Price Buy order

Performance

Data Structures Tree of sell orders List of buy orders

Tree of Sell Orders Model Mustang Corvette

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

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

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

Trading Cycle Process all new orders Re-match all old orders Stop No
Yes

Processing For every new order: If it is a buy order,
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.

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

Performance

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

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

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

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

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

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

Any car made after 1990 Model Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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

Any car made after 1990 Model Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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 Best price

Depth-First Search Main drawback:
If there are many matching leaves, the search takes a long time.

With Limited Number of Matches
Depth-First Search With Limited Number of Matches Model Year Camry 1999 Mileage 1999 Camry, 10K miles, $18,000 10K Mustang Corvette Year Year Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 Mileage 50K 1996 Mustang, 50K miles, $7,000

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

Depth-First Search Buy Order: Any car made after 1990 With Limited Number of Matches Model Limit: 2 matches Year Camry 1999 Mileage 1999 Camry, 10K miles, $18,000 10K Mustang Corvette Year Year Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 Mileage 50K 1996 Mustang, 50K miles, $7,000

Depth-First Search Buy Order: Any car made after 1990 With Limited Number of Matches Model Limit: 2 matches Mustang Camry Corvette Year Year Year Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

Depth-First Search Buy Order: Any car made after 1990 With Limited Number of Matches Model Limit: 2 matches Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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 Best price among found matches

Depth-First Search Buy Order: Any car made after 1990 With Limited Number of Matches Model Limit: 2 matches Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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 Actual best price Best price among found matches

Depth-First Search With Limited Number of Matches Main drawback: The search may not find the best-price match.

Best-First Search Store the best price for each subtree
Use these prices to guide the search

Best Prices for Subtrees
Model Year Camry 1999 Mileage 1999 Camry, 10K miles, $18,000 10K Mustang Corvette Year Year Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 Mileage 50K 1996 Mustang, 50K miles, $7,000

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

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

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

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

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

Quality Function A buyer can specify a quality function that ranks the matching sell orders.

Quality Function A buyer can specify a quality function that ranks the matching sell orders. The system searches for the matches with the highest quality.

Quality Function Example Quality of a car: +4 for each year after 1970

Quality Function Example Quality of a car: +4 for each year after 1970
–5 for each 10K miles

Quality Function Example Quality of a car: +4 for each year after 1970
–5 for each 10K miles –6 for each $1,000

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

Any car made after 1990 Model Mustang Camry Corvette Year Year Year Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

Any car made after 1990 Model Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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

Any car made after 1990 Model Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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 Quality: 37 Quality: 3 Quality: 0

Any car made after 1990 Model Mustang Camry Corvette Year Year Year Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 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 Highest quality: 37 Quality: 3 Quality: 0

Monotonic Attributes The quality monotonically decreases with the price

Monotonic Attributes The quality monotonically decreases with the price Usually, it is also monotonic on several other attributes

Monotonic Attributes The quality monotonically decreases with the price Usually, it is also monotonic on several other attributes Car quality Increases with the year Decreases with the mileage

Best-First Search For every subtree, store the best value of each monotonic attribute Use these values to estimate the quality of the best match in every subtree

Best Values for Subtrees
Model Year Camry 1999 Mileage 1999 Camry, 10K miles, $18,000 10K Mustang Corvette Year Year Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 Mileage 50K 1996 Mustang, 50K miles, $7,000

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

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

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

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

Search for Best Match Model Year Year Year Buy Order: Camry 1999 10K
Any car made after 1990 Model 91 Year Camry 1999 Mileage 1999 Camry, 10K miles, $18,000 10K Mustang Corvette 1996, 50K, $7,000 Year 2000, 10K, $5,000 Year 1988, 20K, $4,000 Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 Mileage 50K, $7,000 10K, $18,000 180K, $5,000 20K, $4,000 50K 1996 Mustang, 50K miles, $7,000

Search for Best Match Model Year Year Year Buy Order: Mustang Camry
Any car made after 1990 Model 91 Mustang Camry Corvette 1996, 50K, $7,000 Year Year Year 1988, 20K, $4,000 85 Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 50K, $7,000 10K, $18,000 180K, $5,000 20K, $4,000 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

Any car made after 1990 Model 91 Mustang Camry Corvette 1996, 50K, $7,000 Year Year Year 85 38 Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 50K, $7,000 10K, $18,000 180K, $5,000 20K, $4,000 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

Any car made after 1990 Model 91 Mustang Camry Corvette Year Year Year 37 85 38 Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 50K, $7,000 10K, $18,000 180K, $5,000 20K, $4,000 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

Any car made after 1990 Model 91 Mustang Camry Corvette Year Year Year 37 85 38 Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 10K, $18,000 180K, $5,000 20K, $4,000 37 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000

Any car made after 1990 Model 91 Mustang Camry Corvette Year Year Year 37 85 38 Mileage 2000 2000 Camry, 180K miles, $5,000 180K Mileage 1988 1988 Corvette, 20K miles, $4,000 20K 1996 1999 Mileage Mileage 10K, $18,000 180K, $5,000 20K, $4,000 37 50K 10K 1996 Mustang, 50K miles, $7,000 1999 Camry, 10K miles, $18,000 Highest quality: 37

Performance

Performance Empirical evaluation: 1,500 MHz CPU 1,024 Mbyte memory
166 MHz bus

Control Variables Search strategy Number of orders
Length of item description

Measurements Processing time Re-matching time Throughput

Processing Time Logarithmic Scale Linear Scale time (sec)
Re-match Stop? Logarithmic Scale Linear Scale 1,000 400 10 300 time (sec) 200 0.1 100 0.001 , , ,000 50K K K 200K 250K number of orders number of orders Best-First Search, Unlimited DFS, and Limited DFS

Re-Matching Time Logarithmic Scale Linear Scale time (sec)
Process Re-Matching Time Re-match Stop? Logarithmic Scale Linear Scale 1,000 400 10 300 time (sec) 200 0.1 100 0.001 , , ,000 50K K K 200K 250K number of orders number of orders Best-First Search, Unlimited DFS, and Limited DFS

Total Time Logarithmic Scale Linear Scale time (sec) number of orders
Process Total Time Re-match Stop? Logarithmic Scale Linear Scale 1,000 400 10 300 time (sec) 200 0.1 100 0.001 , , ,000 50K K K 200K 250K number of orders number of orders Best-First Search, Unlimited DFS, and Limited DFS

Throughput Number of attributes Orders per second 1 3 10 5,800 1,500
20

Throughput orders per second number of attributes
1 3 10 5,800 1,500 20 orders per second 1,000,000 10,000 100 1 number of attributes Best-First Search, Unlimited DFS, and Limited DFS

Main Results Use of quality functions Search for optimal matches
Performance evaluation

Future Work Extended sell orders
Advanced indexing structures, such as kd-trees and quadtrees Search for approximate matches Trading different commodity types in a common exchange

Exchanges for Complex Commodities: Search for Optimal Matches

Similar presentations

Presentation on theme: "Exchanges for Complex Commodities: Search for Optimal Matches"— Presentation transcript:

Similar presentations

About project

Feedback

Log in

Auth with social network:

Exchanges for Complex Commodities: Search for Optimal Matches

Similar presentations

Presentation on theme: "Exchanges for Complex Commodities: Search for Optimal Matches"— Presentation transcript:

Similar presentations

About project

Feedback