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Multi‐party computation mechanism for anonymous equity block trading: A secure implementation of turquoise plato uncross

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Listed:
  • John Cartlidge
  • Nigel P. Smart
  • Younes Talibi Alaoui

Abstract

Dark pools are financial trading venues where orders are entered and matched in secret so that no order information is leaked. By preventing information leakage, dark pools offer the opportunity for large volume block traders to avoid the costly effects of market impact. However, dark pool operators have been known to abuse their privileged access to order information. To address this issue, we introduce a provably secure multi‐party computation mechanism that prevents an operator from accessing and misusing order information. Specifically, we implement a secure emulation of Turquoise Plato Uncross, Europe's largest dark pool trading mechanism, and demonstrate that it can handle real world trading throughput, with guaranteed information integrity.

Suggested Citation

  • John Cartlidge & Nigel P. Smart & Younes Talibi Alaoui, 2021. "Multi‐party computation mechanism for anonymous equity block trading: A secure implementation of turquoise plato uncross," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(4), pages 239-267, October.
    • Handle: RePEc:wly:isacfm:v:28:y:2021:i:4:p:239-267
    DOI: 10.1002/isaf.1502
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    References listed on IDEAS

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    1. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2013. "How efficiency shapes market impact," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1743-1758, November.
    2. Petrescu, Monica & Wedow, Michael, 2017. "Dark pools in European equity markets: emergence, competition and implications," Occasional Paper Series 193, European Central Bank.
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