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

John Cartlidge, Nigel P Smart*, Younes Talibi Alaoui

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

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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.
Original languageEnglish
Pages (from-to)239-267
Number of pages29
JournalIntelligent Systems in Accounting, Finance and Management
Volume28
Issue number4
Early online date1 Nov 2021
DOIs
Publication statusE-pub ahead of print - 1 Nov 2021

Bibliographical note

Funding Information:
This work has been supported in part by ERC Advanced Grant ERC‐2015‐AdG‐IMPaCT, by the Defense Advanced Research Projects Agency (DARPA) and Space and Naval Warfare Systems Center, Pacific (SSC Pacific) under contract No. N66001‐15‐C‐4070 and FA8750‐19‐C‐0502, by the Office of the Director of National Intelligence (ODNI), Intelligence Advanced Research Projects Activity (IARPA) via Contract No. 2019‐1902070006, by the FWO under an Odysseus project GOH9718N, and by CyberSecurity Research Flanders with reference number VR20192203.

Publisher Copyright:
© 2021 The Authors. Intelligent Systems in Accounting, Finance and Management published by John Wiley & Sons Ltd.

Keywords

  • dark pool
  • information leakage
  • information misuse
  • multi-party computation
  • secure trading
  • trust
  • Turquoise Plato Uncross

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