trading of complex commodities
Download
Skip this Video
Download Presentation
Trading of Complex Commodities

Loading in 2 Seconds...

play fullscreen
1 / 54

Trading of Complex Commodities - PowerPoint PPT Presentation


  • 220 Views
  • Uploaded on

Trading of Complex Commodities. Josh Johnson. Trading. Buyers Sellers. For Example. Car Buyers Car Dealers. Another Example. Car Buyers Car Dealers Manufacturers.

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'Trading of Complex Commodities' - MartaAdara


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
trading
Trading

Buyers Sellers

for example
For Example

Car Buyers Car Dealers

another example
Another Example

Car Buyers Car Dealers Manufacturers

central marketplace6
Central Marketplace

Necessary?

Marketplace

central marketplace7
Central Marketplace

Necessary?

Bulletin board

central marketplace8
Central Marketplace

Necessary?

Bulletin board

Middleman

central marketplace9
Central Marketplace

Necessary?

Bulletin board

Middleman

Auction

central marketplace10
Central Marketplace

Necessary?

Bulletin board

Middleman

Auction

Exchange

examples of exchanges
Examples of Exchanges
  • Stock/Commodity exchanges
  • Specialized exchanges (e.g. specialist systems)
example of an order
Example of an Order

Buy a red Mustang

example of an order13
Example of an Order

Buy a red Mustang,

less than 2 years old

example of an order14
Example of an Order

Buy a red Mustang,

less than 2 years old,

willing to pay $25,000

example of an order15
Example of an Order

Buy a red Mustang,

less than 2 years old,

willing to pay $25,000

OR

Any color Corvette,

brand-new,

willing to pay $30,000

general case
General Case

An order describes a set of items, such as the Mustangs and Corvettes.

general case17
General Case

An order describes a set of items, such as the Mustangs and Corvettes.

The buyer wants to get oneof these items.

graphical view of an order
Graphical View of an Order

Space of all items

graphical view of an order19
Graphical View of an Order

Red Mustangs less

than 2 years old

Space of all items

graphical view of an order20
Graphical View of an Order

All color Corvettes

made this year

Red Mustangs less

than 2 years old

Space of all items

price
Price

Price is a function of an item.

$30,000

Price

$25,000

Corvettes

Mustangs

Space of all items

buy and sell orders
Buy and Sell Orders

Price

Buy order

buy and sell orders23
Buy and Sell Orders

Price

Price

Buy order

Sell order

matching
Matching

Two orders match if they intersect…

matching25
Matching

Two orders match if they intersect…

Price

Buy order

matching26
Matching

Two orders match if they intersect…

Sell order

Price

Buy order

for example27
For Example

Buy:

Red Mustang,

Made after 1998,

For $25,000 or less

OR

Any color Corvette,

Made in 2001,

For $30,000 or less

for example28
For Example

Buy:

Red Mustang,

Made after 1998,

For $25,000 or less

OR

Any color Corvette,

Made in 2001,

For $30,000 or less

Sell:

2001 black Mustang,

For $24,000 or more

OR

1996 red Mustang,

For $18,000 or more

OR

2001 silver Corvette,

For $28,000 or more

for example29
For Example

Buy:

Red Mustang,

Made after 1998,

For $25,000 or less

OR

Any color Corvette,

Made in 2001,

For $30,000 or less

Sell:

2001 black Mustang,

For $24,000 or more

OR

1996 red Mustang,

For $18,000 or more

OR

2001 silver Corvette,

For $28,000 or more

Intersect

for example30
For Example

Buy:

Red Mustang,

Made after 1998,

For $25,000 or less

OR

Any color Corvette,

Made in 2001,

For $30,000 or less

Sell:

2001 black Mustang,

For $24,000 or more

OR

1996 red Mustang,

For $18,000 or more

OR

2001 silver Corvette,

For $28,000 or more

Fill:

2001 silver Corvette,

For $29,000

slide31
Fill

A result of trading, that is, an item that

matches both orders.

slide32
Fill

A result of trading, that is, an item that

matches both orders.

Sell order

Price

Buy order

formal definition
Formal Definition
  • An order is
  • an item set I
formal definition34
Formal Definition
  • An order is
  • an item set I,and
  • a function Price: I R+
formal definition35
Formal Definition
  • An order is
  • an item set I,and
  • a function Price: I R+
  • A fill is
  • an item
formal definition36
Formal Definition
  • An order is
  • an item set I,and
  • a function Price: I R+
  • A fill is
  • an item , and
  • a price p,such that
matcher engine
Matcher Engine
  • Limitations:
  • Specific items in sell orders
  • Restrictions on buy item sets
  • No price functions
specific sell orders
Specific Sell Orders

Good:

Sell a red Mustang made in 1999

Bad:

Sell any color Mustang made before 1999

restrictions on buy item sets
Restrictions on Buy Item Sets

Good:

Bad:

Year

Year

Color

Color

no price function
No Price Function

Good:

Bad:

Price

Price

matcher architecture42
Matcher Architecture

Orders

User

interface

Matcher

Fills

Orders

User

interface

Fills

Orders

User

interface

Fills

matcher architecture43
Matcher Architecture

Orders

User

interface

Matcher

Fills

Index of

sell orders

Orders

User

interface

Fills

List of

buy orders

Orders

User

interface

Fills

trading cycle
Trading Cycle

Process all

incoming orders

Re-match all

pending orders

Stop

trading?

No

Yes

matching process
Matching Process
  • For each buy order, search the indexing
  • structure for matching sell orders
  • When finding matches, generate fills
fairness
Fairness
  • Prefer matches with better prices
  • Give priority to better-price orders
  • Give priority to earlier orders
extensions
Extensions
  • Order modification
  • Disjunctive orders
  • Confirmations
running time
Running Time
  • Almost linear in the number of orders
  • Almost linear in the length of order
  • description
  • Memory is the main bottleneck.
performance
Performance
  • 400 MHz PC with 384 Mbytes memory,
  • C++ implementation under Windows NT:
  • 100,000 pending orders
  • 500 new orders per second
extended architecture
Extended Architecture

User

Interface

Orders

Matcher

Broker

Orders

Fills

Fills

Orders

User

Interface

Fills

Broker

Orders

Orders

User

Interface

Fills

Fills

extended architecture51
Extended Architecture

Distributed Matcher

User

Interface

Orders

Matcher

Broker

Orders

Fills

Fills

Orders

User

Interface

Fills

Broker

Orders

Orders

User

Interface

Fills

Fills

broker functions
Broker Functions
  • Pre-compile complex orders
  • Handle price functions
  • Handle complex item sets
  • Shield the user from processing delays
  • Support automated trading
advantages
Advantages
  • Fewer limitations on orders
  • Extra features
  • Distributed computation
coming soon
Coming Soon
  • Broker algorithms
  • Empirical performance study
ad