Fast-Paced Tradingof Multi-Attribute Goods

Eugene FinkJosh 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

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Previous work

• Combinatorial auctions

• Standardized exchanges

• Standardized exchanges

- Complex goods - Asymmetry between buyers and sellers - Illiquid

- Simple goods - Symmetry between buyers and sellers - Liquid

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

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 includelists of values and numeric ranges.

Buy orderModel: MustangYear: 2001..2003Mileage: 0..10K

Example:

Sell orderModel: MustangYear: 2003Mileage: 0

Attributes

A trader specifies acceptableitems by attribute values.

Attributes

0001

0203

Year

Model

Price

Camry Mustang Corvette

Buy orderModel: MustangYear: 2001..2003

Sell orderModel: MustangYear: 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 Mileage Mileage Mileage

50K

1996 Mustang,50K miles,

$7,000

1988 Corvette,20K miles,

$4,000

20K

1996 1997 19881986

Year Year

Model

CorvetteMustang

Indexing tree

Mileage Mileage

50K

1996 Mustang,50K miles,

$7,000

1988 Corvette,20K miles,

$4,000

20K

1996 1988

Year YearYear

Camry

1999

Mileage

1999 Camry,10K miles,

$18,000

10K

Mileage

2000

2000 Camry,180K miles,

$5,000

180K

Depth-first search

Model

Mileage

Year Year

CorvetteMustang

1996

50K

1996 Mustang,50K miles,

$7,000

Year

Camry

1999

Mileage

1999 Camry,10K miles,

$18,000

10K

Mileage

1988

1988 Corvette,20K miles,

$4,000

20K

Mileage

2000

2000 Camry,180K miles,

$5,000

180K

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 aPentium 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

orde

rs p

er s

econ

d

102

103

104

105

101 103 104 105102

: 1,000 to 5,000 orders per second

Artificial markets

number of attributes1 3 10 30 100

orde

rs p

er s

econ

d

102

103

104

105

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